CDS Rerack: All Red On (Negative) Roll Day

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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