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Compression Driven By Positioning

24 June 2015 by lberuti

DTCC released their weekly statistics this morning and, even though things have probably changed somehow since the beginning of the week given the magnitude of the moves the credit market has experienced, they back some of the trends that were at play recently. Among them was compression, and it is still clear for all to see on the above grapple. iTraxx Main (ITXEB) has tightened faster than iTraxx Crossover (ITXEX) based on its historical beta. The fear that Grexit could become reality prompted buy side investors to cut their long risk positions on ITXEB series 23 by $6.3bln to $14.2bln, while they actually added risk on ITXEX series by $300m to $1.3bln.