Friday, March 26, 2010

CDS update

Credit spreads are very important indicators to watch, so once again here is an updated version of generic credit default swaps. Spreads continue to slowly tighten, which is good, but they remain significantly higher than they were before the subprime crisis exploded. The bond market is still very cautious (and that is consistent with my take on equity valuation), and it's obvious we aren't completely out of the woods yet. But we are making progress, and that's what's important.


alstry said...


The WSJ is reporting possible criminal indictments coming down on Calpers.....

Do you think if this could influence CDS spreads down the road.

Here is a real life article on how CDS were mismarked leading up to 2007.....the guy referenced in the article only made about you think it could happen again?

alstry said...


Do you think it is strange that CDS spreads are narrowing when defaults keep reaching record levels....even from the most credit worthy????

NEW YORK (Reuters) – Delinquencies on mortgages rose to nearly 14 percent in late 2009, led by a sharp increase in seriously overdue home loans held by the most credit-worthy borrowers, U.S. banking regulators said on Thursday.

The percentage of current and performing mortgages fell to 86.4 percent at the end of the fourth quarter of 2009, down 0.9 percent from the previous three months, marking a decline for the seventh consecutive quarter, the report by the Office of the Comptroller of the Currency and the Office of Thrift Supervision said.

It appears defaults are getting much worse on the margin....we are now killing the most credit worthy.