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Clients’ Positionning

22 April 2015 by lberuti

Even if today’s session eventually panned out to be a bit different on the back of a late rally during European markets’ last hour of trading, credit - and more precisely credit indices - have largely underperformed other asset classes recently. Last week, while the Eurostoxx was down 1.4%, iTraxx Main widened by 9bps, from 53bps to 62bps. This underperformance is consistent with the statistics released this morning by DTCC. Together with the traded volumes which feed our different grapples on a weekly basis, they also publish the aggregated open positions of clients and dealers. It was then possible to see among investors a sharp reduction of long risk positions (or an increase in short risk positions depending on the index) in all iTraxx S23 indices between the 13th and the 17th of April. On the back of the uncertainty surrounding Greece, investors reduced their exposure on iTraxx Main by $6.7bln. They are still long risk for a hefty $17bln though, so we might have more of this underperformance phase going into May.