Tuesday, 31 January 2012

Eurozone crisis


Europe Awakes To Sea Of CDS Redness


30 January, 2012

With a Greek default imminent, and this time ISDA having no chance to kill CDS as a hedging mechanism as the trigger event will be more than present, investors have once again jumped at the opportunity to close lucrative basis trade opportunities, as a result sending all of Europe broadly red in spread terms. 

Notable: Portugal CDS, which contrary to media reports elsewhere has been trading points up front for a few weeks now, just hit a record 40 pts up. 

And what is worse is that the 5/10s, which should be inverted for a country as distressed as this, isn't.


                         5Y                       10Y                  5/10's Rolls                     
ITALY             416/426 +21       393/413          -23/-13
SPAIN            368/378 +20       342/362          -20/-10
PORTUGAL  39/40.5 +0.5       41.5/44.5         2.5/5.5
IRELAND      610/640 +5          440/510          -180/-120
GREECE       62/64   0              63/67              0.5/3.5
BELGIUM      238/248  +8         226/246         -14/0
FRANCE       169/174  +6.5     190.5/198.5    19/23
AUSTRIA      170/176  +5         184.5/194.5    14/19
UK                  77/81   +2             92/98               14/18
GERMANY   88/91   +4.5          107.5/113.5     18/22





Holy Cow, Portuguese Bonds!
30 January, 2012

Yield on the 10-year going astronomical.
Here's the intraday look. It's now above 17%.





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