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The Week That Was

12 May 2017 by lberuti

It is a week now that French people elected Mr Macron as president, and the pace of risk premia tightening has slowed quiet dramatically. They effectively kept grinding tighter until Wednesday, before consolidating a bit to finish unchanged on the week. iTraxx Main (ITXEB) and CDX IG closed at 63bps, iTraxx Crossover (ITXEX) at 256bps, and CDX HY at 328bps. Compared with the dramatic moves which followed the results of the first round of the French presidential election which sent ITXEB 11bps tighter and ITXEX 35bps tighter, the market felt pretty dull. It traded sideways in average volumes, as if investors had already done their business over the last couple of weeks. Many also decided to protect themselves against the most adverse outcomes using options they bought in March and early April, which on the 24th April were left so far out of the money that they did not require a lot of rehedging.