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R.I.P. CDX IG Series 9

19 December 2017 by lberuti

The credit market has begun its hibernation period, and activity has been very thin over the last few sessions. Last week, central banks’ meetings failed to deliver any shock. The Spanish elections are the only event between now and New Year’s Eve, and the market is adopting a very relaxed approach towards their results. Recent polls have been too close to call, but, irrespective of the outcome, investors do not seem to expect a unilateral declaration of independence. Despite a few credit stories –M&A activity with Disney buying assets from Fox or Thales buying Gemalto; Newlook bordering on default following the debacle of Steinhof which impacts its South African owners -, the bulk of the activity consisted in position squaring, which led to index protection selling as bleeding negative carry until the New Year seems an unbearable thought to many. We shall see next year if it was a wise thing to do. Finally, for those who have been following the CDS market for a few years, we had to mention that CDX IG Series 9 10Y, which was the instrument of choice of the infamous London Whale, is maturing tomorrow. Arbitragers now fighting to capture a few cents will remember fondly the 1.8% discount at which this index was trading compared to its fair value at the end of 2011. On that note, the teams of DataGrapple and Hellebore Technologies wish you a very merry Christmas and a Happy New Year!