Monday, April 23, 2012

Spanish Bank and Sovereign Debt Risk Monitor (Maturity Schedule, Yields, CDS)

Chart source: Tesoro.es
Since Spain seems to be the new Greece these days, I thought I'd link to quotes and charts of Spanish government bond yields, Spain's 5-year credit default swap, Spanish bank CDS, the German-Spanish 10Y yield spread (if bunds remain a safe haven), and a chart of Spain's monthly debt maturity schedule in 2012. April, July and October are the biggest months. You can also search for Spanish stocks on Bloomberg.com that trade on the Bolsa de Madrid (Madrid Stock Exchange). In this post I just linked to quotes that are hard to find on the web. I'm not sure where Spanish bank bond quotes are. Credit default swaps are essentially tradable bond insurance contracts that price and protect against default risk in the illiquid cash bond market. If there's a credit event (default), or in Greece's case a "restructuring event", the CDS holders would get a payout at par. But it all depends on the type of credit event and the contract language. The Spanish 5Y CDS spread (rate) made a new record high on 4/10/2012.

FYI: Letras del Tesoro = 3-18 months; Bonos del Estado = 3-5 years; Obligaciones del Estado = 10-30 years. More info here: http://www.tesoro.es/en/deuda/index_deuda.asp.

Spanish government bond yields, CDS (credit default swap), and issuance/redemption calendar:

Spanish bank CDS (delayed I believe):

Articles:

TORRE DEL ORO AMB GIRALDA DE FONS
Torre del Oro y Giralda en Sevilla, España (Xavier68 on Flickr)

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