In line with recent equity price actions as the Obamaboom takes shape due to the automatic stabilizers, and soon to be enhanced by the fiscal adjustments.
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Spreads narrowing as the Obamaboom takes hold?
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| Country | 5yr CDS/10yr CDS | Change | Curve | Euro/USD |
| Austria | 242/262 | -5 | -20/-5 | 8/18 |
| Belgium | 137/147 | -3 | -10/-2 | 6/12 |
| Finland | 78/88 | -2 | -3/0 | 4/9 |
| France | 83/93 | -5 | -4/0 | 5/10 |
| Germany | 80/90 | -3 | -4/0 | 5/10 |
| Greece | 240/265 | unch | -25/-8 | 9/20 |
| Ireland | 330/360 | -10 | -30/-10 | 10/22 |
| Italy | 184/194 | -5 | -12/-2 | 7/11 |
| Netherland | 122/130 | unch | -8/0 | 5/12 |
| Norway | 53/65 | unch | -2/2 | n/a |
| Portugal | 125/138 | -4 | -12/0 | 8/14 |
| Spain | 140/153 | -2 | -8/-1 | 8/14 |
| Sweden | 136/152 | -3 | -8/-1 | n/a |
| UK | 142/158 | -5 | -8/-2 | 6/12 |
| US | 85/98 | -3 | -4/0 | 3/6 |
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Some new wides and the stock market hits new lows.
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While several spreads are heading back towards the wides, along with equities, trading volume is up as securities trade more at levels based somewhat more on analysis rather than simply forced liquidations.
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Closing at the tights of the day.
One of the only ways to hedge higher tax rates.
| Start | Term | Frequency | Gross | Net | MBA Fwd | Hedge Cost | Floor Wgt | Cap Wgt |
| 5.00 | 5.00 | 12 | 98.74% | 90.56% | -8.18% | 3.996% | 60.5 | -62.6 |
| 5.00 | 10.00 | 12 | 102.13% | 92.92% | 4.032% | -9.21% | 65.1 | -70.5 |
| 2.00 | 8.00 | 12 | 96.91% | 86.52% | 3.653% | -10.40% | 58.1 | -58.4 |
| 7.00 | 8.00 | 12 | 103.55% | 93.98% | 4.087% | -9.57% | 66.9 | -73.8 |
| 5.00 | 15.00 | 12 | 103.83% | 93.02% | 3.957% | -10.81% | 67.3 | -74.5 |
| 10.00 | 10.00 | 12 | 107.48% | 93.70% | 3.931% | -13.78% | 72.2 | -83.0 |
| 15.00 | 15.00 | 12 | 110.80% | 90.35% | 3.686% | -20.45% | 76.6 | -90.8 |
| 20.00 | 10.00 | 12 | 112.13% | 88.71% | 3.637% | -23.42% | 78.4 | -93.9 |
| 15.00 | 5.00 | 12 | 108.82% | 90.67% | 3.764% | -18.15% | 74.0 | -86.1 |
Using cap and floor hedge ratios from existing trades:
| 5.00 | 5.00 | 12 | 98.74% | 92.94% | 3.996% | -5.79% | 33.0 | -13.0 |
| 10.00 | 10.00 | 12 | 107.48% | 99.11% | 3.931% | -8.37% | 38.0 | -24.0 |
| 1.00 | 15.00 | 4 | 99.80% | 88.40% | 3.637% | -11.40% | 20.0 | -15.0 |
**1×15 including 12% rate hedge
| Feb-26-09 | Change from Feb-25-09 | Change from Feb-19-09 | Change from Dec-31-08 | |
| 3M | 77.37500 | -1.12500 | -0.62500 | -10.12500 |
| 6M | 79.75000 | -1.25000 | -0.75000 | -9.25000 |
| 1Y | 83.62500 | -1.25000 | -0.50000 | -6.87500 |
| 2Y | 86.12500 | -1.25000 | -0.50000 | -5.37500 |
| 3Y | 88.25000 | -1.25000 | -0.50000 | -4.25000 |
| 4Y | 90.12500 | -1.25000 | -0.50000 | -3.37500 |
| 5Y | 91.50000 | -1.25000 | -0.50000 | -2.75000 |
| 6Y | 92.43750 | -1.12500 | -0.37500 | -2.56250 |
| 7Y | 93.37500 | -1.00000 | -0.25000 | -2.37500 |
| 8Y | 94.00000 | -1.08330 | -0.33330 | -2.41670 |
| 9Y | 94.62500 | -1.16670 | -0.41670 | -2.45830 |
| 10Y | 95.25000 | -1.25000 | -0.50000 | -2.50000 |
| 12Y | 96.75000 | -1.25000 | -0.50000 | -2.25000 |
| 15Y | 98.5000 | -1.25000 | -0.50000 | -2.50000 |
| 20Y | 100.37500 | -1.25000 | -0.37500 | -3.37500 |
| 25Y | 101.62500 | -1.18750 | -0.43750 | -3.75000 |
| 30Y | 102.87500 | -1.12500 | -0.50000 | -4.12500 | 40Y | 103.87500 | -1.37500 | -0.50000 | -4.3750 |
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Weakness in credit matching weakness in equities.
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Thanks!
Germany and France touch 100, up from 5 cents not long ago and climbing rapidly.
Ireland on the verge of going parabolic.
| Country | 5yr CDS/10yr CDS |
| Austria | 235/260 -10/0 |
| Belgium | 143/153 -5/0 |
| Finland | 80/95 -1/+2 |
| France | 88/100 -3/0 |
| Germany | 88/100 -1/+1 |
| Greece | 240/270 -20/-8 |
| Ireland | 355/380 -60/25 |
| Italy | 184/194 -10/0 |
| Netherlands | 123/135 -5/0 |
| Norway | 50/60 -3/+2 |
| Portugal | 140/150 -10/-2 |
| Spain | 148/160 -10/-2 |
| Sweden | 136/150 -5/0 |
| UK | 150/165 -5/0 |
| US | 90/105 -3/0 |
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Some recent widening with the deteriorating economy.
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