09 September 2015 by lberuti
Between the 20th and the 24th August, it was literally impossible to sell risk and all asset classes experienced some tough times. Intraday, iTraxx Main (ITXEB) touched 80bps and iTraxx Crossover (ITXEX) 380bps when the angst was at its worst… But these days are long gone now. More state intervention in China and a potentially still accommodative FED for a bit longer (a September rate hike is no longer investors’ base case scenario) were enough to completely turn the table. Equities rebounded vigorously from the recent lows and risk premia came back down in creditland. The magnitude of the moves in credit were less impressive than on equities on the way out and on the way in, but the grind tighter has been steady since the beginning of the week. A number of shorts cut their index positions as they see the September roll fast approaching. They provided a deep offer to both ITXEX and ITXEB and sent the bases to deeply negative levels.