Index rollover tightens CDS spreads

Posted by 7Star Saturday, March 21, 2009

European credit spreads tightened markedly on Friday, as a result of a bi-annual rollover of the credit derivative indexes. The indexes had been expected to tighten after the roll-over took effect, as some companies with wide spreads were removed from the indexes. The rollover was the key focus in the absence of any big moves in European or US equities.

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