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Unabated Risk Appetite

14 October 2015 by lberuti

Today, DTCC published their weekly statistics regarding clients’ positioning at the end of last week. The picture is unchanged across the board, in the sense that clients kept adding risk on all indices like they did the week before. They added $0.8bln of risk on iTraxx Main, $1.7bln on iTraxx Crossover (so that they are now net long risk across all series), $6.1bln on CDXIG and $2.1bln on CDXHY. iTraxx Financials Senior is the only index family where clients are still short risk, but even there they actually halved their short risk position. Investors’ concerns regarding the weakness in global growth appear to be more than matched by their faith in the central banks’ activism. They are convinced that the FED will not hike prematurely, and that the ECB, the BOJ and BOC all stand ready to increase their stimuli if needed. It is therefore no surprise that the current environment of negative bases (the risk premia of the indices are tighter than the sum of the risk premia of their individual constituents) persist.