IG 13 Constituent Spread Update
Below we present an analysis of the 125 names that make up the CDX IG 13 index. The index closed at 97.75 today, with constituent names trading between 873 bps on the wide side, to 29 bps on the tight side. While in March the ten widest names were all trading north of 1000 bps, now even bankrupt AIG and ILFC are inside. With just 40 bps of theoretical tightening, a basket of the 10 tightest names could be a generational opportunity for a catastrophe hedge. The ten widest names are:
- ILFC - 872 bps
- AIG - 653
- Valero Energy - 249
- UnitedHealth Group - 219
- MetLife - 213
- Alcoa - 210
- Hartford - 209
- General Electric Capital Corp. - 196
- RR Donnelley - 188
- Southwest Airlines - 185
And on the tight side of the index we have:
- Lockheed Martin Corporation- 43 bps
- The Walt Disney Company - 43
- Computer Sciences Corporation - 43
- AT&T Mobility - 42
- The Black & Decker Corporation - 40
- The Sherwin-Williams Company- 40
- McKesson Corporation - 39
- Campbell Soup Company - 38
- International Business Machines - 34
- Hewlett-Packard Company - 29
In 3 years, when you tell someone you could have bought HP at 29 bps, they very likely will think you are either insane or richer than John Paulson.
| Attachment | Size |
|---|---|
| IG 13 Sort Alpha.pdf | 456.34 KB |
| IG 13 Sort Spread.pdf | 456.57 KB |
(1 vote)
»
- Login or register to post comments
- Printer-friendly version
- Send to friend
on Tue, 12/08/2009 - 21:30
#157437
Looks like the dominoes are lined up and ready to be triggered. Everyone is hanging off one side of the boat whale watching. All it takes is a little shove in the correct direction and thar she blows.
If it looks to good to be true, it probably is.
on Tue, 12/08/2009 - 21:52
#157457
Where can I learn about how to read CDS spreads? A 101 course if you will. From what I have seen with Greece, Dubai, and AIG, higher clearly means more default risk. Other than that I am stumped and wikipedia provides no answer.
on Tue, 12/08/2009 - 23:30
#157547
Here's a real life example for Dubai World in a nutshell:
http://www.bloomberg.com/apps/news?pid=20601009&sid=aNWuIiWzwKoI
The relevant paragraphs are:
Sukuk
Credit-default swaps on Dubai’s government debt jumped 42 basis points yesterday to a week-high 542, according to CMA Datavision prices at 5 p.m. in London. That price implies a 31 percent probability of Dubai default, up from 29 percent on Dec. 7. The swaps traded as high as 632 basis points Nov. 27, implying a 36 percent chance of default, CMA prices show.
The contracts, which fall as perceptions of credit quality improve, pay the buyer face value in exchange for the underlying securities or the cash equivalent should a borrower fail to adhere to its debt agreements. A basis point is 0.01 percentage point and is equivalent to $1,000 a year on a contract protecting $10 million of debt.
on Tue, 12/08/2009 - 23:40
#157553
A Beginner's Guide to Credit Derivatives
http://www.probability.net/credit.pdf
on Tue, 12/08/2009 - 23:41
#157555
A Beginner's Guide to Credit Derivatives
http://www.probability.net/credit.pdf
on Tue, 12/08/2009 - 23:46
#157558
A Beginner's Guide to Credit Derivatives
http://www.probability.net/credit.pdf
on Wed, 12/09/2009 - 00:21
#157577
....see, I told you not to hang around with Tyler and Marla, they will mess your head!
And to impress your friends by talking Dr Tyler tight side lingo, you might want to test your new found knowledge by reading threw this Standard & Poor's post on Bristol-Myers Squibb's CDS spreads (2006-to current)
Hope that helps, but, if in the morning you find you have a rash, wash with a mild soap.... Rinse and Repeat.
on Wed, 12/09/2009 - 11:56
#157960
If your quality of life is being effected by your debt situation and if you're thinking about a consolidation loan or even bankruptcy, let the experts at EMC Debt Relief assist you today.
debt settlement
on Thu, 02/04/2010 - 22:46
#218432
Dude, it's "affect". Not as Mr. Anonymous's affect was that of a slimy, snake-oil salesman who'd been out on the road too long. No, it's affect like, "Mr. Anonymous was sure that missing 3rd grade wouldn't affect his carreer prospects."