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What They Sold

11 January 2017 by lberuti

This morning, DTCC published their volume statistics for the first week of January. They shown that clients have been busy during these few sessions. In the US, after a few defaults were announced in December – among them the unexpected self-imposed credit event of iHeartCommunications -, they have trimmed their exposure to CDXHY by $544mln – they remain long risk for roughly $2.8Bln though – but sold another $4.2Bln of CDXIG protection, increasing their long risk exposure to $41.0Bln on series 27 alone – and $44.4Bln across the 3 most recent series. In Europe, they shown unweathering belief in the investment grade universe and sold a further $5.8Bln protection on iTraxx Main – increasing their long risk position to $23.0Bln on the 3 most recent series – and they sold a further $2.0Bln protection on iTraxx Financial Senior, while they left their iTraxx Crossover unchanged. That explains to a large extent the seemingly unstoppable rally of the first few sessions.