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Roll In May?

17 May 2017 by lberuti

The happy few who can afford the subscription to DTCC’s “live” volumes statistics – they are now made available to the general public with a 4 week-time lag – will have noticed that almost the whole short risk position held by buy side institutions consists in purchases of iTraxx Crossover Series 26 – on which clients hold $3.5Bln of protection – while these same clients are slightly long risk on iTraxx Crossover Series 27. They have not rolled their hedges into the most recent series. That goes a long way in explaining why the basis of the series 27 is not meaningfully more positive than the basis of other series. Expressed in bps – i.e. adjusted to factor the difference in maturities -, the basis of iTraxx Crossover series 27 barely trades at the same levels as the bases of the older series 26 and 25. If iTraxx Crossover still appear to be the hedging instrument of choice, the roll process which was initiated on the 20th March is far from over and one should probably expect some action on that front in the not too distant future.