17 February 2015 by lberuti
Investors have been paying a lot of attention to the developments in the negotiations between Greece and their European creditors recently. That has led to many stop and go situations for risky assets. The range has not been very wide on credit indices (5bps on iTraxx Main since the beginning of February and 18bps on iTraxx Crossover), but we have visited both the tight and wide ends a few times already since the 1st of February. The frequency of these vibrations has been quite high and single names’ risk premia have struggled to keep pace. In the end, the moves of the theoretical values of credit indices have been muted and the volatility was essentially down to change in basis. Over the last 2 weeks, the basis of iTraxx Crossover, the most volatile of the credit index family, was a good indication of the progress made by Mr Varoufakis and his European counterparts.