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Closer to the hike, the CDS market is puzzled

06 November 2015 by pdonnat

With a 70% probability of a rate hike in December, with 2 year Treasuries trading at the highest of the last five years and with more than a percent drop in the euro-dollar, what is the reaction of the CDS market ? None.... The CDS market was rather puzzled. Like most Friday, the market was little active today. Only a few protection have been bought into the close. Looking at the DataGrapple heat map on the daily variation of the single name CDS, we see an under performance of the emerging sovereigns and the mining sector. This should remind us August but the conviction is fine.