Volatility trading has room to run, say strategists, as market holds firm after rally
Big intraday swings have abated from the credit market, but spreads are finely poised in their mid-range positioning between the March peaks of the crisis and pre-crisis levels. According to strategists, this leaves plenty to play for in volatility trading

Intelsat CDS has no deliverables for an auction, says DC
CDS contracts referencing Intelsat Investments look to have no deliverable obligations, according to the Americas Determinations Committee, making a pay-out to protection buyers unlikely

JC Penney becomes seventh bankruptcy credit event to hit index tranches
JC Penney has triggered a bankruptcy credit event, the Americas Determinations Committee has ruled

RBC makes it three CDS auctions in a row after debuting this month
Morgan Stanley and Royal Bank of Canada have been added to the list of participating bidders this week for credit event auctions to settle CDS referencing Ecuador and Diamond Offshore Drilling

JC Penney bankruptcy weighs on CLO and CDX HY baskets
CLO managers hold nearly $250 million of the debt of JC Penney, which filed for chapter 11 protection in the US Bankruptcy Court for the Southern District of Texas on Friday

Intelsat triggers bankruptcy credit event
Intelsat Investments has triggered a bankruptcy credit event, the Americas Determinations Committee has ruled

Idiosyncratic risk keeps traders on their toes as volatility abates
Global credit markets are ending the week at wider levels, after early gains, with optimism waning on the likely pace of recovery from the coronavirus pandemic and nervousness ahead of key economic numbers next week. But volatility has clearly abated from the picture, replaced by greater focus on some of the more troubled companies and sectors

DC agrees to consider Intelsat bankruptcy credit event
The Americas Determinations Committee has accepted a request to rule on whether Intelsat Investments has triggered a bankruptcy credit event, after parent company Intelsat SA filed for Chapter 11 protection

Frontier CDS auction pays less than bonds had indicated
A credit event auction to settle Frontier Communications CDS produced a slightly better result than expected for protection sellers

Diamond deliverables point to 89 cents pay-out on CDS
An auction to settle CDS referencing Diamond Offshore Drilling looks set to have four deliverable obligations, all of which are quoted around 11 cents

DC sets Neiman Marcus CDS auction date
A credit event auction to settle Neiman Marcus CDS will be the fifth taking place this month

Frontier CDS to be settled today with RBC joining bidders
Frontier Communications CDS will be settled today in a credit event auction, with 10 dealers participating

Morgan Stanley joins bidders for Frontier CDS auction
Morgan Stanley has been added to the list of participating bidders for a credit event auction this week to settle Frontier Communications CDS

CLOs on lookout as Neiman recovery signals slump and DC confirms credit event
Five-year CDS referencing Neiman Marcus widened by four points to 95.25 points up front, according to IHS Markit, as the Americas Determinations Committee confirmed the US retailer has triggered a bankruptcy credit event

US retailer bankruptcy spells hit for CLOs and CDX HY tranches
US retailer Neiman Marcus's filing for chapter 11 protection opens the prospect of a fourth credit event in the CDX HY index and a sixth for on-the-run HY tranches, as well as a hit for CLOs

Base correlation tumbles as idiosyncratic risks emerge
The market-distorting power of government and central bank interventions has been easily observable in bond/CDS differentials during the covid-19 crisis — as noted in various Creditflux articles this past month. But an even more extreme reaction appeared in CDX index tranches on 9 April, when base correlation measures plummeted following the US Federal Reserve’s unveiling of a $2.3 trillion aid package

CDX HY and tranches hit as Whiting protection buyers win big pay-out
Whiting Petroleum CDS have settled at a final price of just seven cents, meaning a 93 cents pay-out to buyers of protection on the Denver headquartered exploration firm

Credit finely poised despite German affront to ECB bond buying programme
Credit markets have hit a moment of near equilibrium, with little change in most spreads, as the market seeks firmer answers to questions lockdown easing, earnings, oil supply/demand and political stand-offs

Whiting CDS heads to auction, with Morgan Stanley joining bidders
The credit event auction to determine Whiting Petroleum CDS takes place today, with Morgan Stanley added to participating bidders and the pay-out to protection buyers expected to be as much as 90 cents in the dollar 

Frontier CDS auction final list points to 75 cent pay-out
An auction next week to settle Frontier Communications CDS will have 20 deliverable obligations, according to a final list published by the Americas Determinations Committee. The cheapest of these suggest a payout on CDS of around 74.5 cents

European credit converges further with US after White House stokes coronavirus dispute
The mood hangs heavy in credit markets as the week begins, with the US having ramped up its war of words with China over the origin of coronavirus and much of Europe returning from 1 May holidays to catch up on Friday's move wider

US-Europe relative value gap closes as market sell-off resumes
Credit markets are heading wider into the weekend, with European underperformance closing a relative value gap that had opened with the US last Friday. The moves accompany detoriation in equity markets, stoked by the threat of a renewed US-China tariff war, pressured bank results, airline job cuts and poor UK economic numbers

Mood lifts on stressed credits as European high yield leads rally
Some of the widest trading companies in European credit made a sharp move tighter on hopes of government support extending into high yield, as rallying momentum picked up this morning across the market before a US-led reversal

Diamond set to be fourth CDS auction in May
An auction to settle CDS referencing Diamond Offshore Drilling will take place on 22 May, the Americas DC has said, adding to auctions earlier in the month for Whiting Petroleum, Frontier Communications and Ecuador

Selecta and Southwest battered as market trades flat as a pancake
Single name credit movements are taking focus as market volatility abates, with Selecta Group and Southwest Airlines earnings putting them among the biggest wideners