High Yield CDX Spreads Widened (CDX.NA.HY.8, CDX.NA.HY.9)

High yield credit default swap spreads widened yesterday. CDX.NA.HY.Series 8 and Series 9 were the most active on CMA's website. I'm not a CDS trader, but the curve is steep and could be flattening or default risk is being repriced on high yield credits (more info from @credittrader 1, 2).

From CMA Datavision's "Largest Widening Spreads" list on 3/1/2011

5-Year Mid CDX.NA.HY.Series 8: 117.02 basis points, +21.24 bps, +22.17%
5-Year Mid CDX.NA.HY.Series 9: 147.22 basis points, +12.00bps, +8.88%


On Markit.com they provide information everyday on the most recent series or "roll", which is currently CDX.NA.HY.Series 15.

3Y CDX.NA.HY: 276bps
5Y CDX.NA.HY: 407bps
7Y CDX.NA.HY: 440bps
10Y CDX.NA.HY: 427bps


To your left is a chart of 5Y CDX.NA.HY.Series 15. The red line is the index spread which rises when credit conditions deteriorate, or when curve and basis trades are being played.

CDS indices would be interesting to analyze if I could watch them trade on an exchange and chart out free data. On 9/19/2008, three days after Lehman went bankrupt, I charted out the investment grade credit default swap index future (CX: CBOT CDR Liquid 50 NAIG Index, post ). Unfortunately it never took off because it would've made the CDS market more transparent. It looks like banks are rolling out electronic platforms to trade CDS (Barclays, UBS, Credit Suisse), so we'll see what happens. The CBOE is coming out with Credit Event Binary Options (CEBOs) or credit options, which is a pure play on bankruptcy. See their website: http://www.cboe.com/micro/credit/introduction.aspx. The future looks bright for real-time credit ratings.

Related Posts

Comments

HTML Comment Box is loading comments...