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Greece’s Ups And Downs

26 May 2015 by lberuti

The ups and downs of the relationships between Greece and their creditors can easily be followed by tracking the spread between iTraxx Main (ITXEB) in Europe and CDXIG in the US. They are both benchmarks for investment grade credits in their region, but ITXEB is the only one to include banks. That explains why ITXEB is often used as a quick way to hedge a portfolio against a Grexit. Since last fall, CDXIG’s risk premium trades wider than ITXEB’s, but whenever risks of an accident are rising, investors are bidding up protection on ITXEB narrowing the gap between the two. The not very reassuring news flow over the week-end has brought Greece back into the spotlight. While CDXIG was almost unchanged at 64.5bps today, ITXEB was more than 2bps wider at 63.25bps.