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Dispersion

07 March 2014 by HCM

If you look at the daily change in fair value on all indices (iTraxx Main’s has moved +0.07bps, iTraxx Xover’s -1.00bps and CDX IG’s -0.04bps), you would be forgiven for thinking the session was probably a bit dull. But first you would be missing the intraday volatility that the credit market has experienced today (nothing extraordinary, but still 2.5bps from peak to trough). And also you would mainly be missing the significant dispersion between the different names. To only name two, the 5 year risk premium of CERVTECSUB (Cerved Group Spa) was 70bps tighter (ie almost 3.5% in cash price price) after Il Sole indicated this morning that the company is looking to list before the summer and is holding talks to appoint banks, while the 5 year CDS of SWY (Safeway Inc.) traded 35bps wider (ie 1.5% in cash price) after it agreed to be bought by Cerberus Capital Management which intends to merge it with Albertsons (the 5 year CDS of which was 45bps tighter by the way).