The CDS market in September is typically dominated by one event: the semi-annual roll. The outperformance of single names observed during August was maintained in the run up to the roll on September 20, with the skew between the Markit iTraxx indices and their theoretical levels all but eliminated.

However, it was business as usual after the roll – the skew on the iTraxx Europe was back to 5bps by month-end and on the