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Alpha Is Back… In The US At Least

07 November 2014 by lberuti

The general credit market traded sideways today. In Europe, iTraxx Main and iTraxx Corssover saw their theoretical hardly move. Their quoted prices were a bit more volatile during the session, but their daily variations were minimal (+1bp for Main at 64.5bps and +2.5bps for Crossover at 352.5bps). But it was a different story in the US, even if indices felt quite sticky around their current levels (66bps for CDX IG and 345bps for CDX HY). All the bright spots in this grapple showing the intensity of the daily moves come from American companies (except STENA which moved in sympathy with RIG). Results announcements eventually seem to impact CDS trajectories. GNW (Genworth Holdings, Inc) continued its torrid ride in the wake of its announced $844mln loss and saw its 5 year risk premium widened another 90bps to 405bps. It is now one of the 3 names trading above 400bps, with RIG (Transocean Inc) which also widened today by 40bps to 425bps after delaying its 3rd quarter earnings release (the company will take impairment charges of $2.76bln) and AVP (Avon Products Inc). The monolines were also on the move, and widened following MBIA shareholders friendly action (they will buyback $200m stocks). The outperformers were mainly commodity related companies retracing part of their recent aggressive move wider.