With the equity market sell off yesterday, it is not surprising that the weakness as a result of bad economic data spread to all products, notably credit. The CDS heatmap, or in this case redmap, demonstrates how bad the mauling in IG NA was, where for each name tighter there were about 40 credits wider. With all assets approaching a correlation of one, we fondly salute to the memory of relative value analysis.
Tyler Durden - Founder
Marla Singer - Foil
Travis - Author
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on Fri, 11/20/2009 - 21:47
#138064
why would KFT cds move negative?
people ought to be buying cheese right?
on Fri, 11/20/2009 - 22:16
#138071
Cheese and chocolate don't go together...
on Fri, 11/20/2009 - 22:26
#138074
not according to my fondue master
on Fri, 11/20/2009 - 23:47
#138091
Thanks for the update TD ... might be helpful for a lot of us if you put together a quick technical primer on how to analyze what the CDS Heatmap is saying.
on Sat, 11/21/2009 - 00:12
#138099
Yes please, nothing helpful in the wild.
on Sat, 11/21/2009 - 00:03
#138095
doesn't the credit picture tip us off to whats coming? now if I could just read the map. sorry!!!! latebloomer
on Sat, 11/21/2009 - 00:05
#138096
"With all assets approaching a correlation of one . . ."
all?
wrong! gold did well, and up despite dollar rise.
on Sat, 11/21/2009 - 00:46
#138111
Markit up! Or down........
http://www.deepcapture.com/the-markit-group-a-black-box-company-that-devastated-markets/
on Sat, 11/21/2009 - 01:18
#138114
Looking at the bond market, the yields have crashed in the last week. The pattern and steepness of the curve seems to suggest a strong and sustained down move. In the equities market too a lot of defensive shifting of the portfolios is happening as well.
Evidence seems to be strong for such a move.
I have completely hedged my portfolio to zero dollar exposure. I hold equal eur/usd long and shorts. I reduced my silver bets. My avg price still stands at 16.96. I have a feeling (no eveidence) that silver can come back to its previous suppot of 17.5 and then shoot.
Will see how the week goes and how the yield curve behaves.
posted a quick bond market update at my site if you guys want to take a look
Massive Crash coming
As I said such activity in Bond market can be normal esp when Ben stands to speak next week but it does give the creeps. His language will define the course over the next few weeks.Better to be dollar zero exposure.
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Fresbee
on Sat, 11/21/2009 - 07:25
#138148
Your definition of a massive crash is the 900 level? You're a tool and your spam blog suks. Go away.
on Sat, 11/21/2009 - 06:32
#138146
I appreciate the work, and assume that it is intended for those in the know to get a snapshot, birds eye view, (insert description here). However, if it possible to include a basic legend (block location/color intensity significance), it would be value added for the curious.
on Sat, 11/21/2009 - 11:35
#138193
October 16, 1987, good call by Marty. It can happen again.
http://www.youtube.com/watch?v=2MyToTwag34
on Sat, 11/21/2009 - 13:23
#138232
TD, it may be time to do an in-depth look at possible carry trade participants, vehicles and motivations.
Perhaps with the title: Cautious Carry-Trade Critters
Who really has access to the cheap capital, in large enough quantities, to make the Asia short term bond play? and aren't these same players under control of the Federal Reserve system?
Are FED member banks investing in foreign bonds, rather than US Treasuries? Perhaps, this way the FED wants to better scrutinize the member banks books to understand capital outflows under the guise of verifying solvency?
If not the big banks, than who? GSEs?
As you can see I have much more questions than answers at this point on US Carry Trade.
Thanks,
Mark Beck
on Sun, 11/22/2009 - 21:15
#138916
Tyler, Have you tried this mapping on sovereign CDSs? They are on the move, as you mentioned in another post,
Bets rise on rich country bond defaults
By David Oakley in London
November 22 2009
FT
The mounting level of debt in the industrialised world is prompting a growing number of investors to use the derivatives market to bet on the chance of rich governments defaulting on bonds.
The volume of activity in sovereign credit default swaps – which measure the cost to insure against bond defaults – linked to the US, UK and Japan have doubled in the past year because of concerns about their public finances.
CDS volumes for Italy, which has one of the highest debt burdens of the developed economies, are now the highest for an individual country, according to the Depository Trust & Clearing Corporation.
In contrast, the outstanding volume of CDS linked to emerging nations such as Russia, Brazil, Ukraine and Indonesia have been flat or fallen in the past 12 months as investors have become less interested in trading the risks of those countries
http://www.ft.com/cms/s/0/f4f9a4f0-d791-11de-b578-00144feabdc0.html
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