24/7/2013: Q2 2013 CDS report: spotlight on Irish CDS performance

CMA published Q2 2013 report on CDS markets. Here's the top 30 table of riskiest sovereigns (ranked by probability of default over 5 years):

Note Ireland's significant improvement from Q1 2013, moving from 20th most risky (5 year CPD of 15.7% and mid-point CDS  at 188.64) to 27th most risky (5 year CPD down to 14.0% and CDS at 165.22).

18/7/2013: One table, four entries, wealth of irony...

One cannot contain a sense of deep irony when looking at today's mid-day CDS markets snapshot from CMA:

In one table we have:

• Euro area CDS spread from Finland (implied cumulative 5 year probability of default of 2.02% - which is asymptotically zero), Greece (implied CPD of 50.85% after two previous defaults), and Cyprus (implied CPD of 65.39% after previous default). 
• Egypt (implied CPD of 41.22% after a coup d'etat) 

That's, as Mario Draghi put it on June 25th, "reflect[s] on the importance of a stable euro and a strong Europe" or perhaps, as he put it "the euro area is a more stable and resilient place to invest in than it was a year ago" or may be "I am confident that the project for Europe will continue to evolve towards renewed economic strength and social cohesion based on mutual trust, both within and across national borders, and above all stability". Take your pick... (link)

20/6/2013: China Volcano Blowing Up at Last?

Good title to a research note, as I tell my students in MSc in Finance, does the following things:

1. Captures attention of the reader for the right reason
2. Conveys enough information for the reader to continue reading, but not enough to end up with a feeling that all that needs to be known is already expressed in the title
3. 'Sells' the story without over-exaggeration
4. Commits the story to memory.

Today's 'good title' award is for the folks from Markit, for the note titled "Perfect Storm" - a simple, run of the mill account of the day when Asian CDS markets got bashed on China's end of things:

And while on China, excellent article in the FT today on Chinese steel giant Wisco: http://www.ft.com/intl/cms/s/0/fa98c4e2-d830-11e2-9495-00144feab7de.html

Read and weep... China has managed to perfectly waste a USD586 billion stimulus from 2008. That's a lot of burning of cash, if you ask me.

Here's mid-day CDS wideners by order of magnitude:

And here's yesterday's:

That's 40bps in two days. Whacking-cracking... 

On June 6th, China's CDS were at 91.61 with CPD of 7.71%. Chinatastic...

And with that China is heading for a classic sugar crunch just as the punch run out. Over the last three weeks, China's interbank loans rates jumped from about 3% to over 7%, having hit last week 9.6%.

Someone, dial Bank of Japan, quickly!

13/5/2013: Cyprus CDS

It doesn't look like anyone (save for Olli Rehn) is betting on Cyprus' 'vast gas wealth' to be anywhere near its current account anytime within the next 5 years...

26/2/2013: 'Italy effect"

Mid-day 'Italy effect' or may be 'democracy effect' or 'No Goldie Sachs Boy in Rome effect'? CDS markets (via CMA) the EU has not banned... yet

Also, note that everyone in the periphery is being clubbed: Ireland and Portugal inclusive (we can safely assume that Tunisia, Sweden, Russia and Bulgaria have been coupled into the group on ad hoc bases).

12/2/2013: Small step down, but doesn't hurt either...

Nice move in CDS markets for Ireland earlier today - not large, but good positive. Also, note relative distance in implied probabilities of default between Ireland and Portugal: