As anyone watching the financial news this week knows, the focus was all on the banks and their perceived creditworthiness. Given the events in Switzerland and the treatment of the Credit Suisse AT1 bonds last weekend, the bank perpetual debt market became the epicentre of stress as a severe repricing of this asset class got underway.
Let's take a quick look at what the trade figures tell us, all based off our unique MiFID transparency dataset. Here we are analysing the like-for-like change in activity from last week to this.
Whilst it's no surprise to see Credit Suisse right up there in terms of change in trading activity, it is clear there was a marked impact on volumes going through the market in other issuers' bonds.
Taking a look at the maturity split, it seems that traders found it easier to transact in shorter dated bonds.
The drop in trade count for perps may be somewhat expected, but if we look at changes in volumes going through, it seems there was actually an ability to transfer some significant risk in the AT1 market.
Drilling into the perp market further we see the trading activity being dominated by other European banks names, notably DB, Rabo and Credit Ag.
We see a similar picture on a volume basis, although HSBC dominates due to heavy trading of the HSBC 8% PERP issued the prior week.
And finally, let's take a look at the price action on a few of these issues. The DB 10% PERP saw really heavy activity throughout the period, acting as a bellwether for the sector and becoming the focal point for the market itself at the end of this week as price formation headed sharply lower again.
The BNP 7.375% PERP also saw intense trading activity throughout the period.
And finally, to CS itself. The price activity on the CS 6.25% PERP really does sum up what a brutal couple of weeks this has been for the holders of these bonds.
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Let's see what next week brings. Best of luck and stay safe.
