Trading volumes in the nascent Dow Jones iTraxx CJ index have skyrocketed in recent weeks after domestic investors have been piling in to sell protection. "Transaction volumes have been good," said Nobukazu Saeki, chief manager of the credit trading department at Mitsubishi Securities in Tokyo. He noted trading on the index has averaged up to JPY10-20 billion (USD94-189 million) a day in recent weeks, up from around JYP1-2 billion in prior months.
"People expect the index to tighten in closer to its theoretical value," Saeki noted. He explained investors have been primarily selling protection on the iTraxx CJ index, which is comprises of 50 names. It has a midpoint of 20.5 basis points whereas the intrinsic value of the sum of the credits is believed to be around 19bps.
The benchmark index, launched in September, integrates the two previous credit indices in Japan: the CJ 50 and the TRAC-X Japan.
