Friday, 15 June 2012

End of Week Credit Market Charts Update

Below is our customary update of credit market charts, including the usual suspects: CDS on various sovereign debtors and banks, bond yields, euro basis swaps and a few other charts. Charts and price scales are color coded (readers should keep the different price scales in mind when assessing 4-in-1 charts). Where necessary we have provided a legend for the color coding below the charts. Prices are as of Friday's close.

CDS spreads on Spain and Italy remain near their recent highs, while those on Greek debt have shot up to a new post PSI deal high of 11,728 basis points – an increase of about 3,000 basis points in just one week -  as traders warily eye the upcoming election. We would point out to this that regardless of the election outcome, Greece is bankrupt anyway. In the rest of euro area and the CEE nations, CDS spreads have behaved better and begun to correct.

Something seems to be cooking in Morocco, but we're not sure what at this point. If any information is forthcoming, we'll let our readers know. Fact is, CDS on Morocco's sovereign debt have lately moved a good bit higher.

Our European bank CDS index is also ticking up again after initially declining on the Spanish bank bailout news.

5 year CDS on Portugal, Italy, Greece and Spain – CDS on Greece once again go 'vertical' – click chart for better resolution.

5 year CDS on France, Belgium, Ireland and Japan – pulling back - click chart for better resolution.

5 year CDS on Bulgaria, Croatia, Hungary and Austria - click chart for better resolution.

5 year CDS on Latvia, Lithuania, Slovenia and Slovakia - click chart for better resolution.

5 year CDS on Germany (white) , the US (orange) and the Markit SovX index of CDS on 19 Western European sovereigns (yellow) - click chart for better resolution.

5 year CDS on Bahrain, Saudi Arabia, Morocco and Turkey - click chart for better resolution.

Three month, one year, three year and five year euro basis swaps – more or less in bounce mode now, but they remain at unhealthy levels - click chart for better resolution.

Our proprietary unweighted index of 5 year CDS on eight major European banks (BBVA, Banca Monte dei Paschi di Siena, Societe Generale, BNP Paribas, Deutsche Bank, UBS, Intesa Sanpaolo and Unicredito) – once again ticking up - click chart for better resolution.

10 year government bond yields of Italy, Greece, Portugal and Spain – a slight down-tick in Spanish and Italian yields on Friday - click chart for better resolution.

Austria's 10 year yield, UK gilts yield, Ireland's 9 year yield (ignore the orange line, that quote continues to be stale for some reason). The 'safe havens' have begun to look a little less safe lately - click chart for better resolution.

5 year CDS on Australia's 'Big Four' banks  – 'risk on'! - click chart for better resolution.

Addendum: The D.I.Y. Euro zone bulletin

We want to point our readers to this hilarious D.I.Y. EZ bulletin (pdf – hyperlink: devised by Tim Price of PFP  Wealth Management.
A snip:

"As this piece was written before the results of the Greek elections were known, we have prepared a multiple-choice  commentary for the benefit of readers  – simply  choose from the following options as applicable. Following the [shock / expected / bizarre] election of [New Democracy / Syriza / die Nationalsozialistische Deutsche Arbeiterpartei], the Eurozone was returned to a state of [normality /  bowel-clenching terror / North Rhine-Westphalia] today. With the political scene now clarified, Greece was reported to be [calm / closed / on fire]. The Eurozone debt crisis was revised by ratings agency Moody’s from [neutral / severe / hysterical] to [bad / very bad / worse]. Welcoming the Greek election results,  Eurozone officials were said to be [elated  / confused / sheltering in a storm drain]. In defiance of crude national stereotypes, the French responded to the Greek results by way of [fine dining / lowering the retirement age / surrendering]. Ahead of the EU summit on June 28, France called for [a stability pact / common Eurobonds / croissants].

 Charts by: Bloomberg

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