Seems the only way to describe Bank of America’s CDS curve after Monday’s (margin?) disaster. Citi appended for contrast:
One-year BAC CDS jumped from 99bps to 285bps, according to Markit data. Well.
Plenty going on the other banks too (in fact, looking at the 3-5 year curve movements, Morgan Stanley’s curve seems to be flattening quite a bit too — an 8bps spread here, to BAC’s 3bps).
All charts via Lisa Pollack of Markit. What’s also of some note is Bank of America common stock’s relationship to the 2007 tranches of the ABX index in recent days — a subprime correlation hammered home by Jeff Gundlach for a while now actually. Lisa’s helped crunch the ABX numbers for us on this relationship. One thing seems clear. It (plus subprime?) are baaack:
Is it just margin calls? We’ll reserve judgement…
Credit ratings cliff risk, redux – FT Alphaville