10 August 2015 by pdonnat
With the Assumption, the next weekend is the peak of the holiday season in France. The credit market has started the week as if it were already a Friday ahead of a long french weekend. The credit indices have been strong all day long with sellers of credit index protection and sellers of credit index options. The investors do not want to pay any premium. They are expecting a grind tighter in a low volatility environment over the next sessions. The single CDS did not shared the positive tone looking at the daily variation of the single CDS (see attached Grapple). ABGSM ( Abengoa SA) spread is unchanged while the stock price is up 20%. ABGSM won a 600M€ contract for a biomass power station in the UK. The CDS is unmoved and the price is closing 60% upfront + 5% running on the five years.