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A Profitable Week For Credit Longs

24 June 2014 by HCM

It is slightly less than a week that the most recent single name roll took place. Datagrapple graphs the “on-the-run” CDS maturity, which means that for 5 year we have moved from June 2019 to September 2019 between the 17th June and today. Despite this maturity extension and upward risk premium slopes, two third of the names have seen their “on-the-run” 5 year risk premium decrease over the last week. This grapple shows that most names have moved of their tightest level, but nevertheless credit had a very good run across the investment grade universe. If you factor in the roll-up the curve (which accounts for roughly 5% of the 5 year CDS spread), all names are effectively tighter.