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Four-Week Old And Not Trading

17 April 2018 by lberuti

It was another strong day for Corporate and Financial synthetic credit instruments. The price action was relentlessly strong, although the pace of the tightening of risk premia does feel like it is starting to slow down a bit now. Investment grade spreads were unchanged to 3bps tighter, while high yield spreads were unchanged to 15bps tighter. There was some two-way interest on most credits and buyers of single reference CDS are no longer on strike. So much so that some arbitrage activity took place on the iTraxx Crossover index, where arbitragers bought index protection and sold single name protection. But it was confined to “off-the-run” series, as it seems the recent additions to iTraxx Crossover Series 29 have not found a clearing level yet. The market makers are still quoting wide bid-offer spreads and appear very reluctant to buy or sell risk on any of them.