Thursday, June 10, 2010

Swap spread update: systemic risk is fading


As further followup to my posts on the European credit crisis and swap spreads (here and here), I note that U.S. 2-yr swap spreads have now fallen almost by half since their May 25th high. European 2-yr swaps are down from a high of 90 bps to just under 77 bps. Europe still has some significant problems, but increasingly it appears that the risk of contagion in the U.S. market is low. Without contagion effects, the eventual impact of the Euro debt crisis is likely to be relatively small. More good news on the margin: the Vix index fell to 30.6 today, down from its May 21st high of 48.

3 comments:

Public Library said...

Eurozone CDS are heading back to their highs...

http://www.calculatedriskblog.com/2010/06/update-on-european-bond-and-cds-spreads.html?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+CalculatedRisk+%28Calculated+Risk%29&utm_content=Google+Feedfetcher

Public Library said...

Shocking how you can say systemic risk is fading when it never went anywhere. Crazy world we live in.

John said...

Whew! I do love it when the grandkids come to visit but they always seem to bring their micro-friends from daycare with them. Feeling much better today.

Well, I've run out of my medicine again. Reuters is reporting that 'SEC Associate Director King to join High Frequency Trader and SUPPEMENTARY LIQUIDITY PROVIDER ...GETCO'. (emphasis mine). It sure looks to me like the crooks know the police VERY WELL.