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10 June 2015 by lberuti

Since the end of last week, the tone got more acrimonious between Greece and their creditors. Investors duly took note of the change in rhetoric and cut their credit index long risk positions across the board as shown by the statistics published by DTCC (-$4bln on iTraxx Main; -$2.9bln on iTraxx Crossover). That translated into a drift wider on the indices, and today was no exception. Well, until the beginning of the afternoon, because once the rumour had it that Germany would be ready to offer Greece a staggered deal aid, the market was left… staggered. There was an aggressive phase of short covering, and credit indices were left much tighter. The bulk of the move (between 65% and 75%) was down to changes in bases though. As we have seen many times before, single names will wait until tomorrow before playing catch up, just in case some form of denial comes from Europe overnight and dampens this early enthusiasm.