Spreads vs volatility

chart of the month


The first half of this year has swung from untrammelled optimism in February to the unbridled pessimism witnessed for two months since the middle of March. The correlation-led sell-off in the collateralised debt obligation space exacerbated matters, leaking through into the main credit indices in mid-May. That pessimism prompted investors to visit synthetic credit markets more than their cash cousins, as shown by the chart above, which highlights the performance of the main iBoxx cash bond i

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: