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09 August 2017 by pdonnat

The credit index market was not immune to the negative headlines on North Korea. Looking at publicly reported trades in the swap data repositories – the tip of the iceberg - more than 6 B€ and 12 B$ investment grade credit indices traded today in Europe and in the US, twice the average daily volumes since early July. The correction was long overdue. At London close, the volume weighted average price was 54.75 bps for a 55 bps close for the European index and 60.2 for a 60 bps close for the US index. The indices have been prompt to widen due to the large amount of options written on these indices. The rest of the credit complex traded better. The cash credit with the recent jumbo issuance like the BAT one is still attracting investors interest. The credit derivatives single names response to the weakness was mixed. In average, they did not widened as fast as the index. The credit index bases are closing wider across the board.