Investors Expect Increased Vol, Wider Spreads

A majority of corporate bond investors are expecting implied volatility to increase and investment-grade and high-yield spreads to widen in the second half of the year, according to the results of a quarterly Morgan Stanley investor poll.

  • 30 Jul 2004
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A majority of corporate bond investors are expecting implied volatility to increase and investment-grade and high-yield spreads to widen in the second half of the year, according to the results of a quarterly Morgan Stanley investor poll. More than 81% of the responding firms in the survey expect the VIX, which measures implied volatility of companies in the Standard & Poor’s 500 Index, to range between 15 and 22 through the rest of the year. It currently trades at 15.7; high-yield and the VIX have traditionally been highly correlated. Fifty-six percent of the polled investors also expect spreads to widen by the end of the year.
 
In fact, the investors may be prescient: low volatility started to pick up in the middle of last week in response to earnings reports and an increase in volatility lies ahead, said Gregory Peters, executive director and head of credit strategy at Morgan Stanley in New York.
 
More than 110 firms are represented in the poll, with 55% of those in investment-grade, 15% in high-yield and the remaining respondents responsible for multi-asset portfolios. Of the other results, 32% cited terrorism and geopolitical concerns as the biggest risk to the credit markets today, while 12% said rising rates are the most significant risk.
  • 30 Jul 2004

GlobalCapital European securitization league table

Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 Bank of America Merrill Lynch (BAML) 6,665 23 12.97
2 Citi 5,781 17 11.25
3 BNP Paribas 3,715 15 7.23
4 Barclays 2,853 9 5.55
5 Credit Suisse 2,783 8 5.42

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 99,250.27 279 13.04%
2 Bank of America Merrill Lynch 92,153.61 267 12.10%
3 Wells Fargo Securities 72,661.39 222 9.54%
4 JPMorgan 52,367.24 169 6.88%
5 Credit Suisse 41,885.89 127 5.50%