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It Is Still A Bear Grind

03 February 2016 by lberuti

Credit indices have been weak throughout the session, and they were no different from all other risky assets today in that respect. The most striking feature of the move wider so far - over the last few days, but that is true since the beginning of the year - is that we have not seen any panic. Credit investors have not had their “coyote moment” yet, when they suddenly realise that they have gone over the edge and that they are hanging in the air. Some sessions have been brutal - iTraxx Main (ITXEB) widened by almost 6bps today and closed above 100bps at 104bps for the first time since 2013 -, but bases – the difference between the traded value of an index and the therotical value computed with the risk premia of its individual constituents - remain large across the board and it is still worth in excess of 50cts at the close on ITXEB. The latest DTCC statistics show that investors are still long risk on most indices. They are slowly bleeding in this steady bear grind.