The differential between the five-year and the 10-year iTraxx Europe Index is about 23 basis points. This is close to record highs. At the end of last September, when the new Series 4 Index was rolled out, it was 19bp. Roughly half of this 4bp steepening in five months is a result of rolldown, as the five-year index tightens faster over time because of exaggerated steepness of the curve in the shorter maturities, but 2bp represents genuine steepening.
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