IG Series 12 may be tighter than series 11, says JP Morgan

Looking forward to the 20 March index roll, JP Morgan credit researchers calculate that the theoretical value of North American investment grades series 12 could be 40 basis points tighter than series 11, at 244bp. The theoretical value of HiVol series 12 has been calcuated at 532bp, which is 129bp tighter than series 11.

Additionally, the theoretical value of CDX high-yield series 12, which will be launched on 27 March, is calculated at 1,677bp. It is 179bp tighter than series 11.

HiVol 12, like its predecessor, will be driven by financials, insurance, and reits sectors as they make up nearly 37% by weight in the new index, say analysts.