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What To Do With The AQR Results?

24 October 2014 by lberuti

In Europe, trading slowed a little bit today after what has been a hectic week which saw risk premia going from the widest levels since April to almost the tightest levels of the year (iTraxx Main S21 is trading at 58bps). Credit spreads stabilised with a small consolidation bias. The underperformance of Consumer Non-Cyclical still came from UK retailers, where the TSCO’s ( Tesco Plc ) saga is still unfolding and the name another 27bps wider. The financial sector, and more specifically banks, proved the most challenging for investors. They seemed unable to decide what to make of the leaks which inevitably occurred during the session regarding the AQR results. On the one hand failure of more than just a few banks shows that the regulator is getting serious about the exercise and is a positive. That brought a few offers of single name protection to the market. On the other hand, failure of more than just a few institutions is not exactly great news. That provided a bid to iTraxx Financial indices.