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