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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lolmao500's picture

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

lizzy36's picture

Hey but Greeenspan is attending the FOMC meeting.

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

BOOYAH.

The4thStooge's picture

Lets get Volker in there for the trifecta.

cosmictrainwreck's picture

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

Smiddywesson's picture

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

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

mayhem_korner's picture

Hey but Greeenspan is attending the FOMC meeting.

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

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.

http://youtu.be/yqVFJNcQ4X0

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.

http://youtu.be/7WIvZu4dPQQ

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...

LawsofPhysics's picture

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

Tense INDIAN's picture

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

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.

lolmao500's picture

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

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 activated....ad infinitum.

Cognitive Dissonance's picture

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

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.

ZeroPower's picture

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

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.

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.

azzhatter's picture

Serious woody by Mr. Goldie today

azzhatter's picture

Serious woody by Mr. Goldie today