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The Return Of Alpha?

02 July 2014 by HCM

As a whole, the credit market was stable today, and the fair values of the different indices did not move that much. iTraxx Crossover was 1.5bps tighter at the close, but that masks a few disparities as this grapple shows with its red and green patchwork. PORTEL’s (Portugal Telecom SGPS SA) risk premium is still on a random path as investors struggle to get a grasp on the company’s links with Espirito Santo group. AFFP (Société Air France) and BAB (British Airways Plc) saw their risk premia tighten respectively by 20 and 10bps, as they benefitted from stabilising crude price and orphaning chatters (again). The 5 year CDS of OTE (Hellenic Telecommunications Organization S.A.) closed 10bps wider after the company announced a deal to refinance their 2015 and 2016 bonds. Idiosyncratic risk has made a comeback recently, particularly among high yield issuers.