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CDS Rerack: All Red On (Negative) Roll Day

Tyler Durden's picture


Judging by the futures one may be forgiven to assume that sovereign default risk in Europe has moderated today. One would also be 100% wrong. It's contract roll day and Italy downgrade day (first of many: Moody's on deck) not to mention algo ES futures ramp up ignore day, and as a result everything is wider across the board, and Italy 5 Year hit 520 earlier, a new all time record.

  • ITALY           502/510  +16    
  • SPAIN          405/415  +5      
  • PORTUGAL  1120/1170 +55                                
  • IRELAND      790/830  +10                         
  • GREECE        56/60   +1                                                                                                                  
  • BELGIUM     267/277  +3                               
  • FRANCE       184/187  +6.5                                
  • AUSTRIA      143/149  +4                                 
  • UK               82/85   +1                     

And with half of Europe inverted, it is no surprise that many of the rolls are in fact negative.              

  • ITALY           .5/1.5                                           
  • SPAIN            1/2                                             
  • PORTUGAL   -24/-14                                           
  • IRELAND      -20/-10     
  • GREECE          0/.5  (PTS)                                     
  • BELGIUM         2/3                                             
  • FRANCE        3.5/4                                             
  • AUSTRIA     3.25/3.75                                          
  • UK             3.25/3.75                                          
  • GERMANY    2? /3?

Perhaps most notably, the new series 17 IG and series 16 Main are trading notably wider than their fair-values in early trading - suggesting the desire to roll shorts/hedges is stronger than the ES ramp would suggest:

  • IG17 133.75 vs 132.25bps fair-value
  • Main16 126 vs 124.75bps fair-value

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Tue, 09/20/2011 - 09:01 | 1688272 lolmao500
lolmao500's picture

So China cuts the money to big banks in Europe and CDS only go up a few percents? Total bs.

Tue, 09/20/2011 - 09:02 | 1688278 lizzy36
lizzy36's picture

Hey but Greeenspan is attending the FOMC meeting.

Two Fed Chairmens must be better than one....right.


Tue, 09/20/2011 - 09:04 | 1688290 The4thStooge
The4thStooge's picture

Lets get Volker in there for the trifecta.

Tue, 09/20/2011 - 09:09 | 1688311 cosmictrainwreck
cosmictrainwreck's picture

lol.....unfortunately, Paul would probably have a stroke/heart atack with those 2 idiots in the room 

Tue, 09/20/2011 - 09:17 | 1688351 Smiddywesson
Smiddywesson's picture

Two Fed Chairmens must be better than one....right.

Throw in a few nobel lauriets for good measure, just like LTCM

Tue, 09/20/2011 - 09:21 | 1688368 mayhem_korner
mayhem_korner's picture

Hey but Greeenspan is attending the FOMC meeting.

New print-o-matic 5T requires two to assemble.

Tue, 09/20/2011 - 10:00 | 1688506 Cognitive Dissonance
Cognitive Dissonance's picture

And 300 million to screw.

Tue, 09/20/2011 - 09:02 | 1688279 Don Birnam
Don Birnam's picture

I certainly hope we receive some clarity from Ben S. regarding, specifically, WHICH "Twist" he and his board will be implementing.

The standard "Twist" is rather tired -- hell, everyone knows this one. I would suggest that this "Twist" has already been discounted by the market.

Now, if Ben truly wants to shake up the house and get this economy moving and grooving in some blue suede shoes, this is the plan, my man. Joey Dee & the Starliters are good for at least 100 bips in GDP.

Tue, 09/20/2011 - 09:03 | 1688281 John Law Lives
John Law Lives's picture

What a joke the markets have become as algos move markets based upon how big the insider hominids think the next crack pellet be...

Tue, 09/20/2011 - 09:03 | 1688283 LawsofPhysics
LawsofPhysics's picture

Let the bulls run through the E.U. already and then let all the BRICs cleanup the bullshit.

Tue, 09/20/2011 - 09:05 | 1688293 Tense INDIAN
Tense INDIAN's picture

the CDS can keep on going higher ...when does the point come whn it really triggers something??

Tue, 09/20/2011 - 09:09 | 1688301 damage
damage's picture

CDS being expensive triggers nothing. It just means it costs more to buy CDS.

If Greece defaults in such a way that the CDS get triggered then those who own CDS get money rained down upon themselves.

Tue, 09/20/2011 - 09:14 | 1688334 lolmao500
lolmao500's picture

Except most likely those who are supposed to pay them can't pay them.

Tue, 09/20/2011 - 09:16 | 1688342 Ethics Gradient
Ethics Gradient's picture

And the people that sold the CDS get shafted.

If that's enough to detonate the company that sold them then any CDS taken out on them gets activated. If that's enough to detonate the company that sold them then any CDS taken out on them gets activated. If that's enough to detonate the company that sold them then any CDS taken out on them gets activated. If that's enough to detonate the company that sold them then any CDS taken out on them gets activated. If that's enough to detonate the company that sold them then any CDS taken out on them gets infinitum.

Tue, 09/20/2011 - 09:06 | 1688294 Cognitive Dissonance
Cognitive Dissonance's picture

Ignore those ugly facts behind the curtain. I am the mighty OZ.

Tue, 09/20/2011 - 09:08 | 1688308 disabledvet
disabledvet's picture

This really is confetti. The surprise of course is that we're not getting the intended inflation. Instead we have sovereign defaults and homeless firemen, policemen, etc. "must have bubbles" theology is leading to a total annihilation of the EU. Obviously you can never re-create the last bubble so the best that can be said is "This time is a New Bubble." Apple obviously is the poster child. Once that thing goes to zero then I guess "it's the end game to America" as well. Total insanity.

Tue, 09/20/2011 - 09:09 | 1688313 ZeroPower
ZeroPower's picture

One can arb the roll - few bp here and there, just dont get stuck with a now OTR issue

Tue, 09/20/2011 - 09:15 | 1688340 lolmao500
lolmao500's picture

This euro-centric doom is boring me. When is the North American doom coming?

I want benefits cut, I want strikes everywhere. I want protests everywhere. I want pissed off people punching their congress critters... I want some action.

Tue, 09/20/2011 - 09:18 | 1688355 gjp
gjp's picture

The surprising thing is that anyone is still paying for CDS when interpretation of the 'default' event seems to lie with the sellers of CDS.  The big bank sellers of derivatives are in the back rooms pulling political strings and will make sure that printing, or redefining terms, will mean that CDS never pay.

Did anyone see Doug Noland's piece this weekend, musing about the 'value' of financial market insurance products.  Suspect, to say the least, just another tool for fleecing suckers.  At least in this case they would be 'sophisticated' hedge fund suckers, but in the end we all know financial losses and activities are funded by the productive general population one way or another.

Tue, 09/20/2011 - 10:21 | 1688589 azzhatter
azzhatter's picture

Serious woody by Mr. Goldie today

Tue, 09/20/2011 - 10:22 | 1688591 azzhatter
azzhatter's picture

Serious woody by Mr. Goldie today

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