15 March 2018 by pdonnat
The credit indices started the day on a weak tone. The Crossover index traded up to 261bps, 5bps wider than yesterday close (according to OTCStreaming) just when the US came in. The investment grade index traded up to 51.6bps. The US market brought some strength and the Crossover credit index traded back to 253bps. Many players are waiting for the index and single names roll next week. The price action is erratic. In the meantime, it would be worth to work on the most interesting pair CDS trade: Italy 5Y CDS versus Russia 5Y CDS relative value. They are both trading around 102 and the were very close one to another over the past year. They are both at the center of the news, Italy with short term risks and Russia more medium term risks. Both CDS have the potential to be more than just a March shower.