• Tim Knight from...
    09/19/2014 - 20:15
    I was originally going to title this post "Jackie DeAngelis Must Die", but I thought she might take it the wrong way.

Sovereign CDS

Tyler Durden's picture

Sovereign CDS As A Proxy For Relative Risk





Interesting observation, correlating the ratio of US to Japan CDS (especially with Japan CDS' tightening 7 bps while USA CDS was 2 bps wider) versus the JPY/USD (inverted axis). Is the sovereign risk trade trying to find other conduits for expressing relative risk in this environment where no sovereign risk seems to exist anymore as all countries are expected to print, print, print all their problems away.

 
Tyler Durden's picture

Sovereign CDS As A Proxy For Relative Risk





Interesting observation, correlating the ratio of US to Japan CDS (especially with Japan CDS' tightening 7 bps while USA CDS was 2 bps wider) versus the JPY/USD (inverted axis). Is the sovereign risk trade trying to find other conduits for expressing relative risk in this environment where no sovereign risk seems to exist anymore as all countries are expected to print, print, print all their problems away.

 
Tyler Durden's picture

Sovereign CDS As A Proxy For Relative Risk





Interesting observation, correlating the ratio of US to Japan CDS (especially with Japan CDS' tightening 7 bps while USA CDS was 2 bps wider) versus the JPY/USD (inverted axis). Is the sovereign risk trade trying to find other conduits for expressing relative risk in this environment where no sovereign risk seems to exist anymore as all countries are expected to print, print, print all their problems away.

 
Tyler Durden's picture

More Observations: VIX - Sovereign CDS Divergence





As Zero Hedge postulated a month ago, the VIX - sovereign CDS inverse correlation is becoming more and more evident. Today's action is representative: as VIX continues to slowly trickle lower, US protection is 5 wider. With the G20 pledging trillions to battle every cough and sneeze of the markets, the question becomes what does all this mean for sovereign default risk, and thus VIX, and thus equity markets.

 
Tyler Durden's picture

More Observations: VIX - Sovereign CDS Divergence





As Zero Hedge postulated a month ago, the VIX - sovereign CDS inverse correlation is becoming more and more evident. Today's action is representative: as VIX continues to slowly trickle lower, US protection is 5 wider. With the G20 pledging trillions to battle every cough and sneeze of the markets, the question becomes what does all this mean for sovereign default risk, and thus VIX, and thus equity markets.

 
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