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All Square Now?

22 June 2016 by lberuti

DTCC published their weekly statistics this morning, and they go a long way in explaining the rough patch risk premia went through. They show that on all index families, clients have been buying protection. On iTraxx Main they reduced their long risk position by roughly $5bln given the rising political uncertainties in Europe. That still left them with a healthy $20bln long risk position though. On iTraxx Financials Senior (ITXES), they increased their short risk positions by more than $1.5bln. As of last Friday, it was standing at levels close to what they were holding at the height of the Greek crisis last summer. In CDX IG, Buy Side institutions trimmed their long risk positions by $7.5Bln, but that remains close to their largest positions over the last 4 years. Important moves took place on Monday, which means that people have kept adjusting their positions, but yesterday and today daily variations were minimal, barring a 5bps move on ITXES. It looks as if they are pretty much where they want to be in terms of market exposure, and they are now bracing themselves for the aggressive moves that will no doubt take place on Friday morning.