Single name performance points to correlation activity, says CDR

Credit Derivatives Research today speculates that some correlation desks may be using the tails of CDX HY13, given its liquidity, to manage their IG9 exposure in super-senior versus junior mezz positions. CDR bases this possibility on the underperformance of wider trading IG9 names in HY13.

CDR allows that volumes are low currently, so interpreting interpreting these moves might overly zealous. HY and IG once again leaked tighter in today’s session, but analysts note that high beta underperformed low beta names and indices once again outperformed single-names

CDR also highlights that IG is now almost three standard deviations tighter than its 50-day moving average - the richest since Jan 2007. The last time IG was three standard deviations from the average was 9 March this year.