German Bund Yields Make New Lows, Spanish Bond Yields Spike, CDS at New Record High

Sovereign debt fears are back in the eurozone again and money is piling back into German bunds as a safe haven. At what point do the eurozone bailouts start to affect the German bund market? The 10-year Spanish government bond yield is currently at 5.978%, 75 basis points below the previous high of 6.729% on 11/25/2011. The 10-year Spanish-German bond yield spread is at 4.33 (433bps), 36 basis points below the high of 4.69 (469bps) on 11/22/2011. Keep an eye on Portuguese, Italian, and French bond yields as well.

Credit default swaps were in play as well. Uh oh basis traders, CACs this time? According to Gavan Nolan of Markit, Spain CDS closed at a new record high today at 489bps, the previous high was 487bps on 11/23/2011. Cyprus (CDS 1158bps) and Portugal (CDS 1134bps) have the highest default probabilities, according to CMA. Spain came in last on the top ten list, with a default probability percentage of 34.51%. The State of Illinois had a higher default probability than Spain, which came in seventh place at 42.61% (CDS 256bps).

European bond yield and spread updates (with data from Bloomberg.com)

2-year German bund yield: 0.093% (GDBR2:IND, switch the number for different year)
5-year German bund yield: 0.622%
10-year German bund yield: 1.643%
30-year German bund yield: 2.362%

2-year Spanish bond yield: 3.363% (GSPG2YR:IND)
5-year Spanish bond yield: 4.904%
10-year Spanish bond yield: 5.978%
30-year Spanish bond yield: 6.528%

Spain-German 10-year bond yield Spread: 4.33 (SPAINGER10)

Spanish-German 10 year yield spread (bloomberg.com)

Articles:

Spanish Notes Lead Slump as German Yields Fall to Records (Bloomberg)
Top Forecasters See Euro Weakness Returning on Spain (Bloomberg)
Spain Bond Yields Rise, Reviving Fears of a Renewed Euro Crisis (NYT)
EURO GOVT-Spanish yields rise as growth fears slam periphery (Reuters)