• Reminder we will roll to S41 iTraxx indices, alongside CDX IG (rolls to S42) on Wednesday. CDX HY rolls a week later (27th).
  • Main looks like a relatively flat roll (~+3bps) on the 5 constituent change (-2.2) & standard 6-month term extension (+5.2).
  • CDX IG should be slightly higher roll (~+7bps) on 3-constiuent change but net wider spread for the name change & marginally steeper term premium.
  • In HY, distressed Atos is the big removal in Xover while CDX HY (provisional changes) sees 3 removals & 4 additions given Rite Aid has already been auctioned off from the index in early Nov (moved -20bps tighter on it).

CREDIT MACRO: CDS roll coming up

Last updated at:Mar-18 15:55By: Piri Muthu
  • Reminder we will roll to S41 iTraxx indices, alongside CDX IG (rolls to S42) on Wednesday. CDX HY rolls a week later (27th).
  • Main looks like a relatively flat roll (~+3bps) on the 5 constituent change (-2.2) & standard 6-month term extension (+5.2).
  • CDX IG should be slightly higher roll (~+7bps) on 3-constiuent change but net wider spread for the name change & marginally steeper term premium.
  • In HY, distressed Atos is the big removal in Xover while CDX HY (provisional changes) sees 3 removals & 4 additions given Rite Aid has already been auctioned off from the index in early Nov (moved -20bps tighter on it).

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