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Dispersion Still On The Rise

04 September 2015 by lberuti

Despite the publication of the much talked about NFP in the US (which people struggled to interpret because of revisions contradicting the headline numbers) and of a jobless rate which now stands at a 7-year-low (which eventually led people to think that FED is closer to lift and triggered a broad based equity sell off), the price action on credit was fairly muted. The bulk of the names in the investment grade space did not see their 5 year risk premium move by more than a couple of bps, but there were a few outsized moves, especially in the commodity related area. Risk in that space has still not find a clearing level, and the CDS of AALLN ( Anglo American Plc ), GLEINT ( Glencore Plc ) and XTALN (Xstrata Ltd) have been on an uninterrupted upward trajectory since the beginning of June, bringing them respectively to 367.5bps, 447.5bps and 250bps from roughly 170bps a quarter ago.