Help! - Timely

[Anonymous]

Does anybody have any CDS data for the 30-year U.S. treasury bond?
Did the CDS spread rise on the date the Bernanke confirmed QE2, and has it continued to rise since? Is this partly why the yield on the 30-year has risen so much recently?
Thanks in advance

 

[JoeyDVivre]

The 30-yr treasury yield because many of the banks decided to sell (I guess 670B wasn’t enough). You would think that Treasury CDS prices and interest rates would move together in the same direction but they don’t (anybody want to calculate a correlation? I’m too lazy). We live in a messed-up world. The basic calculation is that there is a flight to quality, so people pay more for the bonds and then the flight to safety includes people insuring them.
If the US defaults on its debt, which counterparties are going to pay up on their CDS exposure? Would there really be anyone who works for the govt insisting that CDS counterparties must pay their obligations even though the US govt isn’t paying theirs?

 

[Deleted User]

JDV, do you have the CDS spread data in front of you now?
if so, how did it change from Nov 3rd to now? i know the yield on the 30 year has risen by ~25bps since then. just wondering if any of that increase can be quantified as credit risk or if it is mostly a change in inflation expectations…

 

[JoeyDVivre]

I would need a Bloomberg - doesn’t someone have a Bloomberg?

 

[justin88]

NYC has a Bloomberg. Can we give him to you?
Seriously though, I think risk managers buy crazy CDS like this purely to lower their VaR numbers. Lol.

 

[mar350]

MattLikesAnalysis Wrote:
——————————————————-
> Does anybody have any CDS data for the 30-year
> U.S. treasury bond?
i couldn’t find the 30 so here’s the data or the 10yr: CUSA1U10
Date Last Price
11/12/2010 56.035
11/11/2010 57.455
11/10/2010 56.805
11/9/2010 56.885
11/8/2010 60.965
11/5/2010 57.425
11/4/2010 55.61
11/3/2010 51.875
11/2/2010 51.85
11/1/2010 51.09
me thinks it has more to do with inflation than risk…no one took the imf guy seriously when he suggested going back to the gold standard.

 

[Deleted User]

thanks mar!
it did go up a little bit though. i figured credit risk would accounted for at least a fraction of the increase in yield.