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Bond Market News

Bank AT1 Perps Slip Following SVB Collapse

Monday saw a massive selloff in banks’ bonds, with the move most prominent in AT1 perpetuals. This followed the collapse of Silicon Valley Bank (SVB) in the US over the weekend. Among the prominent banks, losses were led by Credit Suisse AT1s, which were down by up to 15%. Its 5Y EUR credit default swap (CDS) spreads hit a new record high of 478bp and its stock was down as much as 15% to new lows. Other prominent names on the losers list included AT1s of JP Morgan, Deutsche Bank and Bank of America.

Given the fall in benchmark yields on Monday, the selloff in banks’ AT1s is best captured by looking at the widening in credit spreads. In the table below, we have listed 15 USD denominated AT1s from popular European and American banks – sorted by the Z-Spread (Term of the Day, explained below) change over the past week.

Bank AT1s ZS-2

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