Those of us who stayed up to watch the Brexit television coverage knew that in a few hours’ time the June 24 trading session would go down in history. The mainstream media were inevitably obsessing about the post-Brexit collapse in sterling, but the credit markets were focused on the Markit iTraxx indices. Big moves were expected by market participants, and they weren’t disappointed.

The Markit iTraxx Europe opened the day at 75bps; it closed at 95bps, a widening of 26%.