Bloomberg:
Trading of credit-default swaps insuring U.S. Treasuries has doubled as the government struggles to agree on plans to cut its budget deficitand raise the $14.3 trillion national debt limit.
A total of 819 contracts covering a net notional $4 billion of debt were outstanding as of May 20, up from 449 contracts covering $2 billion a year ago, according to the Depository Trust & Clearing Corp. Average daily trading volume surged to $490 million last week from $10 million the week before, making the U.S. the fourth most active among 1,000 contracts tracked by DTCC, up from 633rd.
Swaps insuring Treasuries for five years are trading at 50 basis points, according to CMA. That compares with 37 basis points in April and a record 100 basis points at the peak of the financial crisis in 2009. One-year contracts are now more expensive than Panama, the Philippines and Mexico, CMA prices show.
Anyone else see the humor here?
This is my effort to help fit the pieces together to get a better picture of the capital markets.
“It ain’t what you don’t know that gets you into trouble. It’s what you know for sure that just ain’t so.”
Showing posts with label CDS. Show all posts
Showing posts with label CDS. Show all posts
Thursday, May 26, 2011
Tuesday, October 19, 2010
Net Notional CDS Protection - Changes in the Top 10
Today I thought we would look at where folks are adding protection (buying protection, long CDS) over the last month. Keep in mind that the data is a week old (the newest DTCC will give folks like me). Here goes:
One month ago:
Italy is taking top honors, followed up by Germany, Spain, Brazil then France. Fast forward to October 8th:
Top 5 names remain the same, but the UK jumps ahead of CDS on loans. Fast forward to October 15th:
Top 5 are still the same, but Brazil jumps 2 slots to edge out Germany.
Now I ask you, where are folks betting there will be trouble?
I found this exercise interesting, did you?
One month ago:
Top 5 names remain the same, but the UK jumps ahead of CDS on loans. Fast forward to October 15th:
Now I ask you, where are folks betting there will be trouble?
I found this exercise interesting, did you?
Thursday, October 14, 2010
Citi CDS Trading Tighter Than BAC
Citigroup’s rate fell below Bank of America’s this week for the first time since September 2007.
The five-year swap rate for Bank of America rose today to 200 basis points, according to Phoenix Partners. The rate stood at 180.5 basis points yesterday, based on Bloomberg data. Each basis point equals 0.01 percentage point and amounts to $1,000 a year on a contract protecting $10 million of debt. Citigroup’s rate was 165.4 basis points yesterday.
Lets not forget that Citi disposed of the majority of their toxic assets to the govt and wrote down a massive amount of the rest. I have long said that Citi's books are cleaner.
Disclosure: Long C equity and preferreds.
The five-year swap rate for Bank of America rose today to 200 basis points, according to Phoenix Partners. The rate stood at 180.5 basis points yesterday, based on Bloomberg data. Each basis point equals 0.01 percentage point and amounts to $1,000 a year on a contract protecting $10 million of debt. Citigroup’s rate was 165.4 basis points yesterday.
Lets not forget that Citi disposed of the majority of their toxic assets to the govt and wrote down a massive amount of the rest. I have long said that Citi's books are cleaner.
Disclosure: Long C equity and preferreds.
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