29 March 2016 by lberuti
Investors were back after a 4-day week-end, and it is fair to say that they did not rush to rotate positions on their return. A fair bit of attention still goes into rolling CDS positions at the moment. It was certainly true for CDXHY. Indeed, each new series of CDXHY is issued a week after all other indices and CDXHY26 began trading yesterday. The composition of series 26 is very close of the composition of series 25, and 4 of the 10 additions were actually included in CDXIG series 25. The risk premium of CDXHY26 (at 461.5bps) is quite similar to the risk premium of CDXHY25 (at 453.5bps) and since yesterday, if the CDXHY roll was busy, there did not appear to have any bias so far: long and short risk positions seem to have been moved on the new series in equal measure. It is quite stunning to see that the bases (difference between the quoted value of an index and its theoretical computed using the risk premia of its constituents) of the 4 most recent series of CDXHY are all worth 50bps (give or take a few bps).