Index rollover tightens CDS spreads

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.
By 1619 GMT, the investment-grade Markit iTraxx Europe index was at 172.50 basis points, according to data from Markit, 10.50 basis points tighter than the former series 10 index late on Thursday. The Markit iTraxx Crossover index, now made up of 45 mostly "junk"-rated credits from 50 in the previous index, was at 927 basis points, 178 basis points tighter than the former series 10 index.