Saturday, 14 March 2009

Diferencial con el Bund (10 años)

Fuente: Bloomberg, 13 marzo 2009

El mercado me sigue sorprendiendo. El diferencial entre el Bund y el bono del Tesoro español a diez años se sitúa otra vez en los 100 puntos básicos, después de haber llegado a casi 140 hace menos de dos meses. Es más, el mercado le devuelve a España un nivel de confianza bastante por encima de Italia y Portugal en lo que ha esta medida respecta.

El escenario en el mercado de los credit default swaps (CDS) es algo distinto. Mientras que el precio del CDS sobre deuda española a diez años se sitúa en los 136 puntos básicos, el CDS de Portugal se situaba hoy en sólo 123 puntos básicos. El CDS sobre la deuda italiana se sitúa en 183 puntos. Tengo unos gráficos de Bloomberg muy bonitos de los precios de los CDS en los últimos seis meses pero no consigo subirlos sin perder el formato - muy frustrante!

Y 24 horas después lo conseguí - aquí están para aquellos a quienes les interesen. Directamente de la terminal, que todavía no domino muy bien así que "comments and advice welcome".

Spanish Govt 10-year Credit Default Swap

Italian Govt 10-year Credit Default Swap

Portuguese Govt 10-year Credit Default Swap

German Govt 10-year Credit Default Swap


  1. Hi,

    Do you get the swap quotes from a Bloomberg terminal, or the website? If the latter, can you post a link?


  2. Comment answered in the updated post itself. Lucky enough to have access to a terminal this year.

    Annoyingly, unlike with other data, I am not able to download the numbers hence I am pasting the Bloomberg charts directly. Anyway, now that I have found them I will certainly make a point of updating the charts on a regular basis, probably on Friday afternoons.

    I am really puzzled by the markets' view of Spain's public finances. I really think they are in a very precarious and rapidly deteriorating position and I just don't see how the Government plans to dig the country out of this hole.

    And then I do not understand the inconsistencies between Bund differentials and CDS rates (such as Portugal having a lower CDS but much higher Bund differential).

  3. Here's an answer to your question...

    It's a market, not an economic or probability, issue.

    Interesting that the general tightening of yield spreads this week was on the back of a big jump in the bund rate. The real underestimating that might be taking place in the market is about the seriousness of German economic problems and the ability of the Bundesbank to deliver in accordance with the party line.

    Go on as they will about ill-managed fringe states, the fact that they won't be selling very many Audis to them as things stand might be thought to encourage some convergence.