Tuesday, March 17, 2009

Loans Versus Bonds Relative Value: March 17

Since I last wrote about the bond to loan differential on February 19 (original post) things have deteriorated in credit land. The average loan yield has widened by 9 bps to 857 bps while the average bond is now over 300 bps wider at 1740 bps. It seems the equity market rollercoaster has no impact on credit markets (especially in names that have both secured and sub debt) which know just one direction: down.

Notable movers from the last round up include Neiman Marcus and TRW bonds, which have moved 1,191 and 1,505 bps wider respectively. Of the 30 names in the index, only 7 bonds have tightened with the best outperformer being Charter Communications at -112 bps over the past month. On the loan side, while most names have also widened (TRW and Neiman Marcus holding the trophy here as well), Invista staged a dramatic 1,135 bps tightening, along the lines of Zero Hedge's recommendation for a negative hedge here last time this name was discussed.
This week not many negative basis secured-bond relationships: Alliance Imaging has a -70 bps basis although there are better opportunities out there.

(hat tip Loanconnector.com for raw data) Sphere: Related Content
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