European CDS Rerack #1

Tyler Durden's picture

The European CDS rollercoaster has troughed. And now it goes back up...


                                               5Y                          10Y                5/10's                        

  • ITALY                         429/437  +11            415.5/429.5       -16/-1                           
  • SPAIN                        361/369  +10              345/361          -13/-3                           
  • PORTUGAL                 1100/1140  +30          835/905        -280/-220                         
  • IRELAND                    725/755  +25             575/645        -160/-100                         
  • GREECE                     59.5/61.5  -0.5          59.5/63.5       -0.5/2.5
  • BELGIUM                    289/299  +7               286/300          -6/4                           
  • FRANCE                     167.5/170.5 +3        181.5/191.5       15/20                           
  • AUSTRIA                    154/162  +4            167.5/177.5       12/17                           
  • UK                             84.5/87.5  +2              99/105          14/18                           
  • GERMANY                   88/91    +0.5          106.5/112.5       17/21



  • SOVX          317/321  0
  • XO              745/749 +5 
  • MAIN        174.5/175.5 +3
  • SEN 16:      236/239 +6.3                 
  • SUB 16:  465/475 +1.8

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IMA5U's picture

ah  a return to the good ol dayz

RobotTrader's picture

Looks like lots of guys are going to start piling right back into VXX, TZA, FAZ, etc.

BrocilyBeef's picture

Any chance the table posted above could be formed as a real table with a td here and a tr there...

JawsMusic's picture

Why is greece lower than Germany?

I don't understand this table, the other PIIGS are high, yet Greece, the country EVERYONE expects to default any day now is low???


Can someone explain in plain english what this table shows?



Schmuck Raker's picture

GREECE                     59.5/61.5  -0.5

X100                   =5950/6150  -500 ?

But, I'm not sure - at all.

ZeroPower's picture

This question on Greece spreads is posted literally every single day.

Because Greece CDS contracts trade in the 2000++ bp range and thus leading to a bid/ask you can drive a truck through, its inefficient to label it in bps anymore, and so we use a recent convention which is points upfront.

If youre inclined to read more, google for 'the big bang MarkIt' which is a convention from '09 that explains new ISDA standards.

Dont worry, Greek CDS trades many many x higher than any other sov.

5yr CDS typically costs less on absolute basis than 10yr, but in times of crisis we see the curve invert and near-dated contracts are pricier than longer term contracts, implying threat of default is greater in the immediate term. Also, because CDS can be tailored to ltierally any specification (curr, time, entity, covenants, etc) you ask, one would be surprised to see the levels which 1yr or 6mo CDS on distressed names trades at.

Finally, 5/10s is the spread between 5yr and 10yr CDS - again, typically should be positive, but the real shitty country's are negative due to curve inversion.

o2sd's picture

Thanks for the explanation.

Because Greece CDS contracts trade in the 2000++ bp range

Is the market even liquid at this range? I know some like to live life in the fast lane, but doesn't 2000bps imply 100% chance of default in 5Y?

Also, because CDS can be tailored to ltierally any specification (curr, time, entity, covenants, etc) you ask

I wonder if the 30D market is liquid. If you thought Europe could obfuscate, lie, stone wall, prevericate and generally muddle along for another month, there is a lot of yield there for the taking.

RobotTrader's picture

Put/call ratio closed at 1.49 couple days ago, and 1.29 yesterday.  Watch it open up at 1.50 or something today.

RobotTrader's picture

Today's "safe havens":  AAPL, TLT, UUP.  Watch the Wildebeest herd pile right into those instruments right at the open.

virgilcaine's picture

Perfect short entry across the asset spectrum.  In bear mkts we sell/short the rallies such as we had.

I trade 27 of the futures mkts.. you could have entered short on every one via trend .

Minoan's picture

Everything is under control.The unions in Greece,just turned the 24h general strike on coming Wednesday to a 48h.

virgilcaine's picture

Its all bogus and its all one market

El Viejo's picture

Anymore on the rumor of Finland withdrawing from the EU???