RSS feedSovereign spreads
’CDS, Wanted: Banned or less naked
Ok, who moved first?? Was it you, bond yield? Or was it you, CDS spread? It was you, wasn’t it.. Quick, shoot the messenger! Get him!!!
Maybe that’s not exactly what’s happening in the discussion of the transition mechanism between CDS spreads and bond yields.
CSAs the Spanish way [updated]
Hot on the heels of Portugal’s two-way CSA, comes a partial step from Spain.
From the excellent Chris Whitall, over at Risk Magazine:
The Spanish debt office is in negotiations to amend collateral agreements on its derivatives trades to ease the funding burden for its bank counterparties.
Not stressed but skittish
RBS are back with an update of their European stress test tracker. And they’re starting to sound a wee bit nervous, noting that, “the stress tests might have failed to ring fence the periphery.”
CDS Port(ugal) in a sovereign storm
Warning: This is not your standard PIIGS Club Med European peripheral CDS post.
Risk’s excellent Duncan Wood reports on Tuesday that Portugal’s debt office is now agreeing to post collateral to derivatives dealers.
CDS report: Sovereign spreads lost ground
The rally in credit and equity markets lost momentum today amid a dearth of news, either positive or negative. The Markit iTraxx Europe index was over 1bp wider at 75bp, while the Markit iTraxx HiVol was trading around 111bp,
Spreads that speak for themselves
Here’s a simple exercise, mapping financial sector credit risk against sovereign risk in Europe using data from CMA Vision:
CDS report: All eyes on Dubai World
Gavan Nolan of Markit wrote this CDS report
European credit indices rallied today as the economic climate remained supportive of risk assets. The Markit iTraxx Europe index closed at 84bp, 1.5bp tighter than yesterday’s level.
CDS report: Is Greece the only sovereign on a slippery slope?
Gavan Nolan of Markit wrote this CDS report
The difference between sovereign and corporate CDS spreads in Europe this week reached its smallest level since February as public finances came under increasing scrutiny.
Charts du jour, EM spreads edition
Emerging market sovereign spreads appear to be on a steady tightening path.
In fact, data compiled by RBC Emerging Markets Monthly Analytics show this to be the case in every regional class they follow bar Argentina.