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Scratch And Look Under The Surface

18 January 2017 by lberuti

Today was option expiry, and it certainly felt like it added stickiness in the credit index market. For instance, iTraxx Main (ITXEB) spent the whole morning wrapped around 70bps – which was an important option pin – with a bid/offer spread inferior to 0.1bp. We had to wait until noon for ITXEB to move 0.5bps, but generally speaking, credit indices did not move at all. The same cannot be said for single names though. With all the air time granted to PM May’s speech yesterday and the arrival of Mr Trump at the White House, it would be easy to forget that the reporting season is now in full swing. And today, some results’ publications generated considerable price moves. PFDLN ( Premier Foods Plc ) issued a profit warning and said that their profits would be 10pct lower than they had hoped. That sent their 5-year risk premium 45bps wider at 412bps. At the other end of the spectrum, QUIBB (Financiere Quick) announced that average restaurant sales per converted Burger King outlets was above €4m on a rolling 12-month basis to end of last calendar year. That sent their 5-year risk premium 161bps tighter at 836bps.