​ECB Put: Sept. Payer Spreads Lacking Demand Despite Likely Summer Widening

Investors are largely snubbing payer spreads in Sept-Dec maturities despite consensus that CDS indices will likely experience widening over the summer as they increasingly become macro indicators for market participants and central bankers. The view from one firm is that the strike of the ‘European Central Bank Put’ is likely around 105bps, meaning investors should forgo being short the market at levels above 100-105bps, yet market participants have warned against estimating such a strike until the impact of the central bank’s corporate sector purchase programme (CSPP) can be better gaged.