Big day today: Greek CDS auction

It is a big day in credit derivative markets as one of the first major and meaningful credit event auctions on a sovereign will be taking place.

When a short beats a CDS

In sovereign-land

Citius, Altius, Fortius for Greek CDS

Is the proposed Greek debt rollover plan a default or not? Market participants worldwide are having a problem agreeing on the technicalities and that continues to propel Hellenic Republic CDS citius, altius, fortius

Ireland tries to put a cork on Anglo Irish losses

In what seems to be a weekly occurrence for the nation which Cork City calls home, Ireland credit default swaps crossed another psychological barrier (of 400) when it jumped about 20 bps in London early morning trading

Euro Bank CDS little changed right after EU stress test results

The day after the EU released the results of its European bank stress tests, credit default swap markets showed little reaction with maybe a slight tightening bias. Keep in mind though that the results were released after European markets were closed and as a result only American markets have actually had a chance to fully digest the results. European markets can begin trading the news today.

Quanto CDS gaining significance in the Greek trade

What is better than buying credit default swaps protecting several million dollars of Euro-denominated Greek sovereign debt?

Mythology across the Aegean Sea as told by CDS

It was perhaps many thousands of years ago when King Aegeus of of Athens threw himself into the water after (mistakenly) believing Theseus, his heir to the throne, had died in battle trying to kill the Minotaur, a half-man half-bull headed ancient figure on the island of Crete. Ever since that (mis)adventure, the waters between Greece and Turkey have been called the Aegean Sea in remembrance of this event.

As ancient myths and stories of the past still live on in the year 2010, people can only imagine what kind of stories and events of today will be remembered by the people of the year 50,000. One contender could be the legacy of current Greek President Karolos Papoulias who may (jokingly) consider jumping into the sea if his Prime Minister George Papandreou is unable to contain and kill off all the (financial) attacks on the Hellenic Republic. Descendants of Greece (if they survive) may well talk of the crisis their country went through “back in 2010″ and the “successful efforts of their leaders in combating problems” while across the sea descendants in Turkey (if they remember) talk about the “myth of crisis that faced the region as told by the Greeks was all just a mirage and nothing to worry about.” What a difference a trip across the sea can make.

Greek CDS hits record high 1131 bps today

Credit default swaps protecting the debt of Greece rose to a new record and the second day (so far) trading above the 10% level. Greek CDS had previously hit successive highs of 1127 bps yesterday and 970 bps on Wednesday according to CMA. The current 1131 bps level implies a default probability of 69% in 5 years.

The CDS move higher may be more technical than fundamental given that Greek’s 10-year cash bond spread to German bunds is somewhere between 7.80% and 7.89% which is lower than yesterday’s 7.91%.

The terrorist attack in Athens today does not appear to have caused too much of an impact in early trading so far.

First bond yields, now Illinois CDS overtake California

We began the week reporting how bond yields on Illinois State general obligation debt had overtaken similar bond yields on California State debt so it probably isn’t a surprise to end the week reporting how Illinois credit default swap prices have now also overtaken California credit default swap prices. Illinois is now the highest priced (high price implying riskiest or most likely to default) municipal entity in America.

Investors are clearly worried about the state of this state’s finances and other impending issues including a teachers pension fund that is underwater and trying to swim back to shore carrying anchors tied to the creditworthiness of companies and sovereign states like MetLife, Brazil and Korea.

CDS liquidity drying up as Bid-Ask spreads widen

Bid-ask spreads on popular credit default swap indices are reaching new local highs amid signs that investors are growing more concerned about corporate (and sovereign) credit.