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Corporate Credit Improvement - 19 November 2008
| Ticker | CLIP | Name | Doc Clause | 5Y Today | Daily Chg (bp) | Weekly Chg (bp) | 28 Day Chg (bp) |
|---|---|---|---|---|---|---|---|
| SBIIN-StateBkIn | YG9770 | St Bk India | CR | 483 | -7 | 3 | -88 |
| HANABK | 449F97 | Hana Bank | CR | 524 | -6 | 70 | -107 |
| STSP | 8ABBB0 | Singapore Telecom Ltd | CR | 138 | -6 | 13 | 9 |
| KOREAT | 4CA8ES | KT Corp | CR | 387 | -5 | 53 | -78 |
| SHNHAN | 8A69DH | Shin Han Bk | CR | 519 | -4 | 69 | -93 |
| DBB | DE8FFT | Deutsche Bahn AG | MM | 86 | -3 | 1 | 12 |
| INVSA | W0C913 | Inv AB | MM | 282 | -2 | 13 | -15 |
| MTRC | 5A8ADE | MTR Corp Ltd | CR | 120 | -2 | 8 | 16 |
| SESG | LTB30H | SES | MM | 147 | -2 | 6 | 16 |
| CPB | 1E786B | Campbell Soup Co | MR | 43 | -1 | 8 | 7 |
SBIIN-StateBkIn - State Bank of India, a proxy for the sovereign itself, was steady following the release of inflation data. The inflation rate, as measured by the wholesale price index, fell to 8.9% from 8.98% in the previous week. The Reserve bank of India has already cut interest rates by 150bp to 7.5% and is expected to cut further in the months ahead. However, any gains have been lost in today's sell-off
HANABK / SHNHAN - Korean banks Hana and Shin Han and telecoms groups KT Corp and Singapore Telecom were among only a handful of names to tighten yesterday in a declining market. The tentative rally, however, has proved short-lived as Asian markets have declined significantly today. Concerns over the US economy - consumer prices fell by the largest amount on record - have heightened negative sentiment in the region. Investors were also worried by balance of trade data from Japan, which showed exports falling by 7.7% in October. Japan announced that it was in technical recession earlier this week.
Corporate Credit Deterioration - 19 November 2008
| Ticker | CLIP | Name | Doc Clause | 5Y Today | Daily Chg (bp) | Weekly Chg (bp | 28 Day Chg (bp) |
|---|---|---|---|---|---|---|---|
| SPG-LP | 8AAG87 | Simon Ppty Gp L P | MR | 743 | 140 | 268 | 338 |
| M-RHI | 5AB773 | Macy s Retail Hldgs Inc | MR | 978 | 132 | 362 | 482 |
| VNO-LP | 9BB947 | Vornado Rlty LP | MR | 856 | 110 | 180 | 249 |
| AVB | 0F87CC | Avalon Bay Cmntys Inc | MR | 600 | 106 | 162 | 204 |
| HIG | 457B66 | Hartford Finl Svcs Gp Inc | MR | 826 | 104 | 222 | 163 |
| CLI-LP | 5A98CY | Mack Cali Rlty LP | MR | 650 | 103 | 166 | 164 |
| SLMA | 7FC86R | SLM Corp | MR | 944 | 103 | 101 | -213 |
| DEXBB-FSAInc | 348DFY | Finl Sec Assurn Inc | MR | 930 | 95 | -175 | -368 |
| EQR-ERPOperLP | 28EGCE | ERP Oper Ltd Pship | MR | 595 | 93 | 168 | 191 |
| AKS-Corp | 0A169A | AK Stl Corp | XR | 825 | 91 | 140 | 211 |
SPG-LP / VNO-LP / AVB - US REITs have widened sharply in recent weeks amid signs that defaults are set to rise in the sector. The downturn in the economy has reduced the value of commercial property and led to higher vacancies. REITs are trying to shore up their balance sheets by selling assets but market conditions are making this difficult. Mall owner General Growth Properties warned recently that it could be forced to file for bankruptcy protection due to liquidity pressures. The commercial mortgage backed securities (CMBS) market indicates that the situation has worsened in recent days. The Markit CMBX AAA 5 index, which tracks the CMBS market, has spiralled beyond 700bp (it was 200bp at the beginning of November).
The sell-off has been sparked by reports that two big CMBS deals were heading for default. The loans were backed by two hotels and a retail centre in California. More delinquencies can be expected in a deflationary environment and risk aversion will increase around names with commercial property exposure.
M-RHI - The turmoil in the commercial mortgage sector didn't help sentiment among retailers. Department stores such as Macy's and JC Penney posted weak results for the third-quarter and same-store sales are indicate a steep downward trend. The upcoming holiday season will be crucial, though the pricing environment will put margins under pressure.
HIG - Hartford Financial widened sharply amid concerns over its exposure to CMBS. The life insurer has more than $15 billion of exposure to CMBS, commercial mortgage real estate loans and CDOs backed by CMBS. This is a significant portion of its book value and losses from these securities could force it to raise capital.
G7 Industrialised Countries CDS
| Ticker | CLIP | Name | 5Y Today> | Daily Chg (bp)> | Weekly Chg (bp)> | 28 Day Chg (bp)> |
|---|---|---|---|---|---|---|
| USGB | 9A3AAA | Utd Sts Amer | 36 | 1 | 3 | 5 |
| JAPAN | 4B818G | Japan | 42 | 2 | 4 | 7 |
| DBR | 3AB549 | Fed Rep Germany | 31 | 1 | 3 | 3 |
| UKIN | 9A17DE | Utd Kdom Gt Britn & Nthn Irlnd | 72 | 4 | 10 | 16 |
| FRTR | 3I68EE | French Rep | 44 | 1 | 4 | 5 |
| ITALY | 4AB951 | Rep Italy | 119 | 0 | 16 | 25 |
| CAN | 27CBJG | Canada | 13 | 0 | 0 | 0 |
Sovereign Credit Improvement
| Ticker | CLIP | Name | Doc Clause | 5Y Today> | Daily Chg (bp)> | Weekly Chg (bp)> | 28 Day Chg (bp)> |
|---|---|---|---|---|---|---|---|
| CZECH | 255AD5 | Czech Rep | CR | 167 | -2 | 2 | -33 |
| INDON | 49ACF8 | Rep Indonesia | CR | 929 | -1 | 230 | -87 |
Sovereign Credit Deterioration
| Ticker | CLIP | Name | Doc Clause | 5Y Today> | Daily Chg (bp)> | Weekly Chg (bp)> | 28 Day Chg (bp)> |
|---|---|---|---|---|---|---|---|
| ROMANI | 7ECDET | Romania | CR | 700 | 71 | 106 | 87 |
| RUSSIA | 7FB37H | Russian Fedn | CR | 922 | 65 | 170 | -41 |
| PANAMA | 6FHABI | Rep Panama | CR | 419 | 44 | 58 | -129 |
| COLOM | 1AE857 | Rep Colombia | CR | 416 | 43 | 56 | -130 |
| BRAZIL | 115CCB | Federative Rep Brazil | CR | 410 | 41 | 53 | -134 |