CDS-prices

[gsgs]

can we have the actual prices for CDS (credit default swaps) please ?
Please help searching.

These are the instruments which dominate the financial markets
with a volume of >$50T.
They influence the econony, the country-ratings.
But the prices are somehow secret, they are only traded in
private contracts between banks.

Reporters, politicians, citizens are apparantly not much interested.

Please help to find CDS-prices, i.e. for country-loans to determine
which country is considered how risky, financially.


for USA I found this:
http://money.cnn.com/2008/09/30/mark...ion=2008100109




--------edit2-----------
I found a chart here:
http://www.silobreaker.com/NewsTrend...0,11_ 792475&
but it's not clear to me, whether it's volume,price or #mentioned in articles

------edit3----------
http://209.85.135.104/search?q=cache..._1014972.shtml

> The FT also reports that investor fears over the risk of many emerging market countries’
> defaulting on their debt has risen sharply as Iceland’s financial collapse has hit sentiment,
> discouraging funds from investing in these economies.
> The market is pricing the risk of default for countries such as Pakistan, Argentina, Ukraine
> and Iceland at 80 per cent or higher

[over which time period ?]

> as the banking systems of these countries come under increasing pressure due to the
> credit crisis.
> Trading in credit default swaps – a form of insurance against bonds’ defaulting – indicates
> expectations that Pakistan has a 90 per cent chance of defaulting on its debt.

[100% if we wait long enough, just as any other country]

> CDS spreads on Pakistan, which is haemorrhaging foreign exchange reserves to prop up a
> weak rupee, have risen to a record 3,026 basis points, or a cost of more than $3m to
> insure $10m of debt over five years. This is a threefold jump since the collapse of
> Lehman Brothers on September 15.

the debt runs over 3 years or the CDS ?
So there is a 6% yearly chance that Pakistn will default ?
------edit3---------------------

http://www.imf.org/external/pubs/ft/...figure1_33.pdf

19:Germany
22:Netherlands
36:USA
42:UK
64:Spain
66:Portugal
67:Italy
78:Greece
(probability in promille that a 10-year-loan will default (I assume))

138:Brazil
156:Hungary
145:Korea, Rep.
135:Mexico
055:Poland
215:Russia
215:Turkey
585:Ukraine
550:Venezuela

(probability in promille that a 5-year-loan will default (I assume))

-----------edit4-----------
http://www.imf.org/external/pubs/ft/...figure1_37.pdf

http://www.imf.org/external/pubs/ft/...1/pdf/text.pdf

------edit5------------
good overview about the CDS-market (but no prices) : (hattip Mousehound)
http://www.cnbc.com/id/27193149

------edit6----------
here some prices and charts : (hattip Mousehound)
http://www.dbresearch.com/servlet/re...TERNET_EN-PROD

[gsgs]

CDS , 23.Oct,24.Oct.2008,29.Oct.,07.Nov,14.Nov.,19.Nov
----------------------------------------
0571,0576,0385,0308,0357,0424 Brazil
0574,0595,0380,0332,0423,0481 Hungary
0620,0660,0565,0300,0350,0410 Korea,Rep.
0580,0575,0373,0301,0345,0405 Mexico
0275,0270,0200,0175,0230,0265 Poland
1056,1071,0882,0498,0755,0929 Russia
0777,0838,0585,0400,0525,0574 Turkey
2535,2534,2755,1653,1811,1999 Ukraine
2224,2360,2266,2003,2084,2078 Venezuela



can someone open the .reweb files from the dbresearch page ?
It would be useful to have some values from previous months in the list,
the charts are not so instructive

[gsgs]

I keep hearing CDSs were the culprit of the current crisis.
Banks make transactions of enormous volume in CDS,
which is just gambling.

But I wonder if it's not just the other way round :
banks can't secure their risks now, because they mustn't trade CDSs
and so they are more reluctant to give credits.

[Curious]

A few days old ... but it gives you the idea.

http://www.bondvigilantes.co.uk/blog...759300000.html

[gsgs]

thanks a lot. So apparantly these data are available at some protected Bloomberg subscription page

the country-ratings of the rating agencies should also be downgraded (?)
but this CDS-data is daily and may well influence the worldwide
share-prices, what do you think ?


23.Oct.2008
-------------------

872:Iceland
700:Lebanon
189:Israel
133:Greece
093:Ireland
086:Italy
077:Spain
072:Portugal
061:Austria
057:Belgium
054:UK
042:Sweden
038:Netherlands
035:France
034:Finland
030:Germany

3617:Argentina
1950:Venezuela
1737:Ecuador
566:Brazil
555:Mexico
550:Columbia
533:Peru
515:Panama
261:Chile

2371:Ukraine
1133:Kazakhstan
947:Russia
935:Latvia
745:Turkey
605:Estonia
600:Lithuania
550:Bulgaria
540:South Africa
540:Hungary
383:Croatia
230:Poland
197:Czech
177:Slovakia

[gsgs]

CDS have come down a lot, almost halfed since 23.Oct.
see the updated numbers and graphs above


can someone find it for OECD countries like USA,Germany,Italy,... ?
I think this is important and should be permanently available and updated,
more important than Dow Jones or Gold,
yet it is hard to find.


CDS , 23.Oct,24.Oct.2008,29.Oct.,07.Nov
0571,0576,0385,0308 Brazil
0574,0595,0380,0332 Hungary
0620,0660,0565,0300 Korea,Rep.
0580,0575,0373,0301 Mexico
0275,0270,0200,0175 Poland
1056,1071,0882,0498 Russia
0777,0838,0585,0400 Turkey
2535,2534,2755,1653 Ukraine
2224,2360,2266,2003 Venezuela


http://www.imf.org/external/ns/search.aspx?lan=eng&NewQuery="credit%20default%20s waps"&col=SITENG&Filter_Val=N&page=1&sort=date

http://www.markit.com/information/pr...dx/curves.html

07Nov08        ,Ser.,Vers.,Coupon, RED ID  , Price ,Spread,  High  ,  Low  
CDX.NA.HY      ,11  ,1    ,5.000%,2I65BRBQ2,80.568%,1123  ,90.138% ,78.584%
CDX.NA.IG      ,11  ,1    ,1.500%,2I65BYAS4,98.297%,0188  ,103.18% ,96.728%
CDX.NA.IG.HVOL ,11  ,1    ,3.850%,2I65B3AP8,96.495%,0473  ,98.869% ,94.199%
CDX.NA.XO      ,11  ,1    ,3.400%,1D764IAO5,95.005%,0465  ,99.409% ,94.665%
CDX.EM         ,10  ,1    ,3.350%,2I65BZAJ1,87.793%,0665  ,97.367% ,76.929%
CDX.EM.DIVERS. ,8   ,1    ,2.800%,2165EKAH2,88.853%,0571  ,96.600% ,77.234%
CDX.NA.HY.BB   ,11  ,1    ,5.000%,2I65BVAV3,94.799%,0640  ,98.084% ,92.104%
CDX.NA.HY.B    ,11  ,1    ,5.000%,2I65BSAU2,83.096%,1023  ,88.463% ,80.805%

it would also be interesting to see an update of the first curve above about
US-treasury credit default swaps, how it was affected by the election,
by the decrease of CDS for emerging market countries the last weeks.

where to find it ? Why is it so secret ? Why is apparantly noone else interested
to see these ?

[gsgs]

http://www.bloomberg.com/apps/news?p...g&refer=europe
http://www.bloomberg.com/apps/news?p...d=ajMvhbk5NDHg
Credit-Default Swaps on Italy, Spain



15 Nov 2008: ECUADOR DELAYS DEBT PAYMENT, RAISING DEFAULT FEARS


Japan,Asia:
http://www.imf.org/external/pubs/ft/...s/miniane3.jpg

[gsgs]

24-Nov-2008 , 5Y , UK : 100 above libor
23-Nov-2008 , 5Y , UK : 88.2
24-Nov-2007 , 5Y , UK : 2
24-Nov-2008 , 5Y :
BNP: 58.8
Commerzbank:65.2
Credit Agricole:68.6
Lloyds TSB: 95
HSBC: 99.2

(hattip renegade)

[ltow]

ALL YOUR CDS ARE BELONG TO US
50 trillion is total CDS
Y/N?

[gsgs]

Nov.24.2008 , 10year
USA : 49.8

Sep.24.2008 , 10year
USA : ~25

Dec.03.2008 , 10year
USA : 50

Dec.4.2008 , 10year
USA : 56

Nov.29.2008,10Y
USA : 60

Nov.29.2008, 5Y
USA : 46

Dec.01.2008 , 10year
USA : 68.4

Dec.01.2008 , 5year:
USA : 52.5

http://www.thedeal.com/dealscape/200...ed_betting.php

Dec.01.2008, 5year
Italy : 155

Dec.02.2008 , 10 year CDS
USA : 66.4

5year:
UK : 106.4
Italy : 161.5
France : 56.8

According to the Depository Trust & Clearing Corp., the gross notional amount of swaps protecting for U.K. debt as of Nov. 21 was $12.6 billion, while the gross notional amount of swaps on U.S. notes was $4.3 billion. As comparison, swaps protecting against a Russian default had a gross notional value of $111.5 billion, and Brazil's was $150.0 billion.

Dec.4.2008 , 5year CDS on government bonds:
Germany : 42.3
Italy : 184.1
France : 58.7
USA : 60
UK: 113.4

Dec.10.2008, 5 year CDS:
USA: 67
U.K., Netherlands, Italy
UK : 115
Italy : 189
Netherlands : 93.5
France : 57.5
Germany : 49

Ukraine: 3000
Kazakhstan : 559

Dec.10.2008
UK : 125.3


search google news for "credit default swaps" and "cma datavision" , sort by date
http://news.google.com/news?hl=en&ta...2 2&scoring=n
http://www.cmavision.com/News/CMA_Da..._CDO_Software/

[gsgs]

so, my extended calculated graph from above,
for securing US-debt looks like this :



note, that the scaling had to be adapted, so the graph
fits on the screen

it's considered 10 times more likely now that USA-10-year bonds
will default than it was considered in Jan.2008 !


the chance that 10-year treasuries will be paid back is ~91.5%

[gsgs]

http://www.thedeal.com/dealscape/200...insight_in.php

Credit Default Swap Data - Week ended 10/31/2008
The DTCC began releaseing data on what companies and countries investors are buying default protection against. Here's a list of the top 12 companies companies and five countries with the highest volume of contracts being sold to protect against their defaulting.

Company # of contracts sold
GMAC LLC 13,602
COUNTRYWIDE HOME LOANS, INC. 11,919
MERRILL LYNCH & CO., INC. 9,931
MORGAN STANLEY 9,913
THE GOLDMAN SACHS GROUP, INC. 9,793
GENERAL MOTORS CORPORATION 9,683
GENERAL ELECTRIC CAPITAL CORP.8,457
CIT GROUP INC. 8,180
CENTEX CORPORATION 8,076
BEAR STEARNS COMPANIES INC. 7,968
FORD MOTOR COMPANY 7,962
LENNAR CORPORATION 7,942

Sovereign debt # of contracts sold
REPUBLIC OF TURKEY 14,093
FEDERATIVE REPUBLIC OF BRAZIL 11,664
RUSSIAN FEDERATION 7,651
ARGENTINE REPUBLIC 5,535
BOLIVARIAN REPUBLIC OF VENEZUELA 5,127

[gsgs]

Deutsche Bank and a private consulting firm called PFC, based in Washington, have determined that Venezuela needs the price of oil to average $97 a barrel to balance its accounts, while in 2000 that South American country only required the price to be $34.

Russia will need $70 oil. These countries are going to need to produce and sell what they can, which is in conflict with the need to control production and move prices higher.

[gsgs]

http://seekingalpha.com/article/1092...ross-the-board

Country default risk as measured by CDS-prices
cost per year to insure $10000 worth of 5-year-debt

2008/01/01 , 2008/11/07 , 2008/12/04 , country
----------------------------------------------
  460.7  4453.0  4014.5  Argentina
  451.5  2016.7  2175.0  Venezuela
   64.7   613.8  1103.9  Iceland
   87.5   523.3   773.4  Russia
  153.5   638.3   771.5  Indonesia
  101.6   662.8   669.6  Egypt
  126.2   529.6   591.3  Vietnam
  201.8   508.3   577.9  Kazakhstan
  333.3   800.0   550.0  Lebanon
   78.6   435.7   533.2  Bulgaria
  166.5   445.0   463.5  Turkey
  153.0   418.3   459.6  Philippines
   78.3   397.3   427.5  South Africa
   46.5   335.0   401.5  South Korea
  130.0   339.2   373.3  Colombia
  103.0   331.4   370.5  Brazil
  115.7   332.1   359.6  Peru
   70.0   322.7   348.2  Mexico
   55.0   220.0   338.4  Thailand
   43.5   228.3   301.8  Malaysia
   22.1   122.5   246.6  Greece
   26.3   185.0   244.5  Poland
   ----   105.5   225.4  Ireland
   ----   166.7   215.0  China
   30.1   185.0   214.8  Chile
   20.3   100.4   179.5  Italy
   33.5   161.3   173.2  Israel
   18.2   118.3   168.3  Slovakia
    8.1    72.7   148.7  Austria
   18.2    73.1   115.8  Spain
   17.7    71.2   114.6  Portugal
    8.9    57.3   113.4  UK
   ----    74.8    90.0  Australia
   10.6    48.8    88.8  Belgium
    8.0    35.7    60.0  USA
    9.7    36.7    58.7  France
    8.5    39.5    50.0  Japan
    6.9    27.5    42.1  Germany

70% probability that Venezuela will default at least once within the next 5 years




CDS on banks, Dec.10.2008

http://seekingalpha.com/article/1101...r-default-risk

[gsgs]

delete

[gsgs]

Slovakia , 5y , 7.Jan.2009 : 150 (203 in Oct.2008)
Hungary , 5y , 7.Jan.2009 : 368
Ukraine , 5y , 7.Jan.2009 , 3000 (400 in Aug.2008)

[so it costs $3M per year, $15M in total to protect only $10M of debt ! - how can it be ?]

demanding an upfront payment with a midpoint of 54.75 % ?
a buyer would now need to pay $5.475 million upfront plus $500,000 a year over five years

[in addition to the $3M per year ?]

Iceland, 5y also upfront basis

Ukraine had $13.5B debt in Oct.2008

Ukraine, 2875 bps over US Treasuries

yield on Ukraine's $1B Eurobond due 2016 is 25% (7% one year ago)


Ecuador’s default last month

Brazil’s bonds due 2040, which fell as much as 25 percent last year, gained 30 percent since mid-October

Ecuador’s bonds plunged 73 percent in 2008 and Argentina’s lost 58 percent

Argentina, 5y , 08.Jan.2009 : 3713 (1800 in Oct.2008)
Venezuela, 5y , 08.Jan.2009 : 2918 (1292 in Oct.2008)

[gsgs]

Ireland , 14.Jan.2009 : 217 (Sept.2008 : 30)
Spain , 14.Jan.2009 : 122 (Sept.2008 : 51)
Portugal ,14.Jan.2009 : 120 (Sept.2008 : 40)
Greece ,14.Jan.2009 : 238 (Sept.2008 : 78)


January 13 2009

total euro zone debt issuance expected to swell to close to 1 trillion euros this year
-- and 20 billion euros this week alone --

10y Portugal = 113
Greek=247
Belgian=98
France=60
Dutch=70
Spain=105
(relative to German)

5y Spain = 109.3
Greece=235
Ireland=191.4

USA , 5y , =55

S&P said in a "reasonable worst-case scenario," U.S. net general government debt could rise from its 2008 level of 42 percent of GDP to as much as 75 percent by 2011

[leistb]

Originally Posted by gsgs

Ireland , 14.Jan.2009 : 217 (Sept.2008 : 30)
Spain , 14.Jan.2009 : 122 (Sept.2008 : 51)
Portugal ,14.Jan.2009 : 120 (Sept.2008 : 40)
Greece ,14.Jan.2009 : 238 (Sept.2008 : 78)

Any column headers in reference to the data after the country and the date? What does 217 (sept. 2008 : 30) mean?

[gsgs]

compare with post #14, which has prices from Dec.04


Jan 14,2008
Markit iTraxx Europe index = 175bp (+6)
Markit CDX IG (US) = 227bp(+9)
Citigroup = 400bp
Nortel filed for bancruptcy
Ecuador refused to pay interest last month


(2009-Jan-16)
Ireland : 257.2 (+37)
Germany : 54.2 (+3)
Austria 146.5 (+7)
Spain : 139.7 (+10) but down to 129 later
Tesco : 122
Nestle : 72.50
Anglo-Irish : 481.3 (+5)
BNP Paribas : 64
Soc Gen : 97.57
Credit Agricole : 73.33.
iTraxx Europe : 164(+-5,"tighten")
iTraxx Crossover : 988 (+-26)
Markit data however showed a different story with Germany, Austria and Spain
all trading below their all-time highs

[gsgs]

http://magictour.free.fr/usacds.GIF

stable at ~85 since October

http://www.reuters.com/article/marke...31292120090204

Feb.04.2009
According to CMA DataVision, five-year U.S. CDS spreads stood at 82 basis points on Wednesday, having closed on Tuesday at a record 85.9 basis points. As a result, it currently costs $82,000 a year to protect $10 million of U.S. debt.

[usda]

Sure sounds like we need to keep Afghanistan...for the opium trade...it might be the thing that keeps us going...

[gsgs]

US, Europe mull joint CDS regulation
Posted by Gwen Robinson on Feb 20 05:49.

US, UK, and European regulators are in talks to jointly regulate the $28,000bn credit-default swap market, the Federal Reserve said Thursday, reports Bloomberg. Regulators including the Fed, UK’s FSA, German FFSA and the ECB met Thursday to discuss sharing regulation activities and a possible information-sharing agreement. Their goal would be to apply consistent standards to the market and provide support across jurisdictions, the Fed said, adding that the group plans a meeting “in the near future”.

[Curious]

Originally Posted by gsgs

http://magictour.free.fr/usacds.GIF

stable at ~85 since October

http://www.reuters.com/article/marke...31292120090204

Feb.04.2009
According to CMA DataVision, five-year U.S. CDS spreads stood at 82 basis points on Wednesday, having closed on Tuesday at a record 85.9 basis points. As a result, it currently costs $82,000 a year to protect $10 million of U.S. debt.

And if the US Defaults on it's obligation exactly WHO is going to have any money to pay off on that bet?

And with WHAT are they going to pay it off with?

This sounds like pissin away good money since it is in my mind at least an "Uninsurable Event" ... just as taking out insurance against a all life ending asteroid hit would be.

Sheesh ... all this is is GAMBLING. (since the gamblers make money as the rates for the insurance fluxuate up and down).

Curious

[gsgs]

maybe against gold or Euro

you won't insure the whole US-debt by one person



Credit default swap protection against Austrian sovereign debt was 85 basis
points wider in the week, at 240bp. Meanwhile, the risk premia associated with Germany and
France — mostly unaffected thus far– also rose. This was largely down to concerns the
nations could be forced to rescue other European sovereign states
Germany’s CDS is 22bp wider this week at 86bp, and France’s CDS is also
up 18bp at 88bp, a roughly 25 per cent rise for each.

Japanese credit risk moved into positive direction, 30bp widening this week.
US, credit markets generally closed better across the board on Thursday.
UK : 5bp tighter at 158bp

23.Feb.:
Europe main CDS-index at 397.83bp from 390.3bp.
CDS on US debt 100bp from 90
Japanese CDS 477bp down from 499

[gsgs]

(hattip Kent Nickell)

http://www.ft.com/cms/s/0/2970532c-0...nclick_check=1

ABX, an index of mortgage derivatives.

From late 2005 to the middle of 2007, around $450B of CDO(collateralised debt obligations)
of ABS(asset backed securities) were issued, of which about one third were created from
risky mortgage-backed bonds (known as mezzanine CDO of ABS) and much of the rest
from safer tranches (high grade CDO of ABS.)

$305B of these CDOs are now in a formal state of default,
biggest pile from Merrill Lynch , followed by UBS and Citi.

$102B of CDOs has already been liquidated
at an average rate of 32% , mezzanines only 5%

ABX now suggests that triple A subprime mortgage assets are worth around 40 cents on the dollar