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Index Bases: More Of The Same

24 September 2015 by lberuti

The roll and the launch of the new series of indices have not brought a sea of change to the credit market. On the one hand, credit indices remain an investment vehicle of choice and most index rolls between new series and the previous ones trade below their fair value (with the exception of iTraxx Financials in Europe where clients are still short risk). This means that new series are more expensive (i.e. they trade tighter relative to their values) than the previous ones. On the other hand, there are numerous stories affecting single names. The commodities’ saga is still unfolding, Emerging Markets are a concern to investors, and the automotive sector is having a brutal time (particularly in Europe) to name a few. So one should not be surprised to see the negative index credit bases environment persist for some time.