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YTD and MTD CDS Heatmaps

Submitted by Tyler Durden on 03/14/2010 16:40 -0400

Presenting an update of North American Investment Grade CDS. While Month To Date the credit market has ripped in line with equities, with just CTL and AA marginally wider for the period, Year to Date the vast number of names is still wider than at January 1, or at beast unchanged, demonstrating that credit is certainly not as enthused about the equity market activity over the past two and a half months.

Month To Date:

And Year To Date:

source: Citi

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Sun, 03/14/2010 - 17:03 | 265179 Anonymous

For someone who is not that smart, what do all the colors mean?

Sun, 03/14/2010 - 18:20 | 265241 Lionhead

Blue is good, tighter; black is about the same; red is not good, wider.

Sun, 03/14/2010 - 18:11 | 265231 Anonymous

tyler,

how do you create this? excel? prop software?

Sun, 03/14/2010 - 18:52 | 265271 Anonymous

Many charts and graphs in this site are from (very) expensive Bloomberg terminal feeds.

Mon, 03/15/2010 - 05:31 | 265620 Anonymous

this is a citigroup-tool. I used to have access but forgot the passwd...

Mon, 03/15/2010 - 05:33 | 265622 Anonymous

https://fidirect.citigroup.com/public/login.cgi?t=/&f=y

Sun, 03/14/2010 - 18:30 | 265251 dcb

I'd like to know where I can find cds spread data. I'd like to do some graphic charting.

Mon, 03/15/2010 - 07:48 | 265643 Anonymous

http://www.markit.com/cds/most_liquid/index.html

Sun, 03/14/2010 - 20:00 | 265322 rubearish10

The lag could mean the upstart of a credit squeeze here.

Sun, 03/14/2010 - 21:34 | 265403 Budd Fox

It is the re-start of higher speeds of an ongoing one. Extend and pretend and mark to fantasy cannot go on forever.Banks have liquidity problems by themselves and are definitely NOT lending. The FDIC is insolvent and backed only by the Fed Inkjets..and the wildebeests are feeling that everything is NOT so right.

Fasten your seat belt...or grab one.

Sun, 03/14/2010 - 21:07 | 265376 Anonymous

R can output this with ease using heatmap()

pretty cool to look at anyways!

Mon, 03/15/2010 - 00:34 | 265524 Anonymous

Source cited says "source: Citi"

You may want to look there.

Thu, 04/15/2010 - 08:39 | 301666 mark456

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YTD and MTD CDS Heatmaps

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