Counterparty Risk Soars To Highest In Over A Year, European CDS Sliding, LIBOR-OIS Spikes, High Yield Spreads Blowing Out, Overnight ECB Lending Soars

Tyler Durden's picture

We wish we had some good news to report this morning.... But we don't.

Well, there is one piece of good news - the ECB reported earlier that the bank that scrambled last week, as a result of a dollar funding squeeze, to find $500 million from the ECB at punitive rates (which sent the market tumbling the next day after we reported it) did not need this money today. However, more than offsetting this was a surge in overnight borrowing under the ECB's just as punitive Marginal Lending Facility, which yesterday saw a borrowing surge from €555 million to €2822 million, the highest since August 10, when it hit €4058 million. This Eurobank scramble for general cash was not lost on the market which as noted before already sent bank CDS to record wide levels, and additionally pushing 3-month USD Libor - the broadest indication of bank counterparty risk - to the highest level in 12 months, with the BBA printing at 0.31428%, up from 0.31178%: the highest since precisely a year ago. This is also the longest stretch of gains since November 2005. Related, the dollar OIS spread of 22.93 bps was the highest since August 9, 2010. There is no sign this will slow. Shifting to the broader market, the BAML High Yield Master Index shows that while retarded stocks may or may not do something or another, high yield is a different story entirely. Per Bloomberg, spreads widened to +746 vs +732 the previous day, the widest spread since December 2, 2009 when it was +749, according to the BAML High Yield Master II Index. Riskiest bonds, rated triple-C or under, widened to +1228 from +1203 the previous day, the widest since October 16, 2009 when it was +1232. Spreads for low beta BB rated bonds widened to +569 vs +557 the previous day, the widest since December 1, 2009 when it was +575. Lastly, the table below of Sovereign European CDS says the remainder of the story. We now are skeptical Europe can survive through the end of the year, especially when we finally find the time to finally present some rather unpleasant Dexia news.

ITALY               375/385    0      
IRELAND          830/882    0      
GREECE            46.5/49   +0.5   
SPAIN              373/382    -2     
PORT            1010/1061   +20    
BELGIUM         252/264    +2     
FRANCE           160/167    -3     
AUSTRIA          121/130   -2  
ENG                  83/87       0      
GERM               84/87     +1

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wombats's picture

Bullish for BofA?  Everybody else looks even worse?

hugovanderbubble's picture

Bank of America has more than 70.000  Mn$ in PIIGS bonds

More than 32.000 Mn Losses in Countrywide...

They need a urgent recap of 18.000 to 24.000 Mn$....


The bank is toasted...

cowdiddly's picture

They originally bought 800billion worth of Mozillo loans. Agent Orange strikes again and still walks.

Widowmaker's picture

And walk he will. His "trial" was all about double jeopardy.

The guy is the definition of organized crime.

The next time you hear about the orange-nigger will be his end -- and good riddance.

jkruffin's picture

Hope you got GOLD before Benny comes out an announces his QE3, because GOLD will skyrocket once he hints it....hence why Benny Boy is being so hush hush....

cossack55's picture

The Bernank does not need to speak, he has CNBC.

RSloane's picture

No shit! Oh tell us Stevie L., what did you learn today at Jackhole? Oh, thank you Stevie for your hard hitting investigative critical reporting. We would never have known you were reading off of a Fed press release.

JohnnieWalker's picture

Clarke & Dawe explain the credit crisis in under 3 minutes:


Iriestx's picture

If yesterday taught me anything, this is very, very bullish for equities.

alexan99's picture

Why wouldn`t the EUR fall if the liquidity scream is so loud?

Cdad's picture

Probably because China can't get enough of this soon to be busted currency.  You know, the effect of the last and worst allocator of capital racing in to prop up their previous investment.  I think they call it averaging up.

The Eurodollar is a sell, this fact notwithstanding.  

rubearish10's picture

You see, it's not the Euro's turn yet. We had the Budget Ceiling Show, then the Downgrade Show (over the weekend special, then the Market Response to the Downgrade Show (sequel from Downgrade Show, then the SocGen French Bank Failure Show , then the Qaddafi vs NATO REBELS/Free Libya Show and soon to come the Bernank Comedy Hour. 

So, as a network provider of Goose Goose in our face mind fucking therapeutic entertainment chain transmissions, the Euro Show has been canceled until a time slot could be determined. Although, since there's been such great ratings from the Sheeple Populous, I'm not sure we'll even see even Euro Reruns.

alexan99's picture

I thought that the Euro-Crisis and the Politics Kindergarten with increasing likelyhood of a EURO-breakup is by far the biggest show in town - even more as the Ben Bernanke can print as much as he wants to save the TBTF banks but the Europeans can`t... probably the Chinese are promised to get some ports, islands and stuff like that in exchange for buying the Euro with USD. In this case it is very funny that the USD paper money is still buying some real assets via the Chinese after all...

rubearish10's picture

Even some of the "longest running" features have an end date. I think it's coming too! However, for now, the "playbill" has been printed, released and distributed. So, no changes please. We have yet another PM buying opportunity.

IMA5U's picture

but europe is back in the green


The Bernake will save us   RISK ON

Hedge Hunter's picture

Transitory spikes. Nothing to see here, please move along....

Fix It Again Timmy's picture

Most governments seem intent on following the Webvan business plan - indeed, even Webvan would be around today, IF it could print money...

Catullus's picture

This is their justification for Operation Twist.  But they still won't announce a LSAP

youngman's picture

Conspiracy bitches.....I had to say that

Now on a serious and silver were pushed down for the expiry this week...the banks did not want anyone else to make Friday PM´s will be going back up...yesterdays 300 point gain in the US stock market was a HFT made selling opportunity I think...get out while you can...treasuries will sell...when the Fed said no interest rates for two years....then it opened the window for banks to borrow at 0.25% and buy treasuries.....probably for the next 10 that market is no longer a least not for us little guys...
Europe is showing the world that gold is a reserve currency....everyone seems to want it to back up the loans to Greece......makes one wonder....when...not if

apberusdisvet's picture

All such news is ultimately good for gold.  The Fed trolls pre-announced the latest gold correction; the criminals have managed less than a 5% one.  Is that the best they can do?  Memo to Hugo:  selectively assay the gold before it gets stowed onboard ship; be concerned if no insuror will write you a trip or contents policy;  stay away from the Bermuda Triangle.

oogs66's picture

i'm not sure you really wish you had good news to report :)