UBS le 21 juillet sur un downgrade...

UBS via ZH:

If the US were avoid default, but have its long-term rating cut to ‘double-A’ while its short-term rating is affirmed at A-1+, then the impact on the fixed income market would be material but not catastrophic. We estimate that US Treasury 10-year yields may rise by as much as 20-25bp while the shape of the interest rate curve would likely steepen, particularly towards the long end of the curve. US Treasuries would also likely underperform the government debt of other highly rated countries, namely German Bunds. The term structure of volatility would likely invert further as the value of short expiries rises compared to long expiries, reflecting these near-term uncertainties. Corporate credit spreads may tighten as the perceived credit-worthiness of corporate America is viewed as improving while the government deteriorates. This is particularly true at the long end of bond curves where marginal changes in credit worthiness are felt most acutely. Finally, Financials, specifically Banks, are likely to suffer a re-rating by credit markets as a bank’s credit quality is rarely viewed better than its home country.


Evidemment la messe n'est pas encore dite mais sur les deux points en gras, c'est précisément l'inverse qui s'est passé pour l'instant. Le downgrade de la dette US a conduit à un rally dans la dette US comme envisagé hier par le blogo. Et un rally substantiel. Le 10 ans s'est resserré de 26bps (au lieu d'un écart de 25 prévu par UBS!). Et le 10 ans allemands n'est plus que 6bps sous l'américain ce qui est l'écart le plus faible depuis un moment (en réduction de 16bps par rapport à vendredi. On note aussi un écart entre l'oat et le bund qui se rapproche de 100bps à 87. Ecart creusé récemment et qui fragilise le coeur de la monnaie européenne.