Markit has published the December 2015 edition of the Global fixed income focus. The publication includes a monthly market update and special reports that leverage the breadth and depth of Markit's pricing and analytical datasets across the various fixed income markets. Here are the highlights from this month's publication:
- In a new Liquidity section, we analysed trends in dealer offering and bid wanted in competition (BWIC) quote volumes to assess changes in liquidity for various securitised products over the course of 2015. Figure 1 shows the average relative BWIC activity across CLO, CMBS, and non-agency MBS based on the weekly number of unique bonds on BWICs and normalised based on relative sector activity levels.
- The leveraged loan market continued its slide, with the Markit iBoxx USD Leveraged Loan index (MiLLi) declining 1.02% during the month, to end the year at -1.04%. 2015 is only the second time since 1992 that the US leveraged loan market finished in negative territory, with 2008 being the other time.
- US high yield (HY) bonds drove the majority of risk sentiment during the month, as bond returns suffered one of their worst months of 2015. Both $ HY, as represented by the Markit iBoxx $ Liquid High Yield index, and Euro HY suffered losses of -2.3% and -2.5%, respectively.
- December capped off a phenomenal year for the municipal bond market versus most other markets, where it appeared to completely shun the global macro-economic distress that plagued the broader equity and bond sectors.
- The ‘January effect’ that has consistently led to rallies across securitised products in the past has apparently skipped this January, as liquidity did improve after the holidays, but the entire sector has been unable to overcome the headwinds from the record sell-off in global equity markets that began on the first trading day of 2016.
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