Credit Default Swaps (CDS)

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Credit Default Swaps Quotes and Charts

Charts: 5Y CDS, 10Y Bond Yields, Inflation
5Y CDS
Inflation 10Y Bond Rates
5Y CDS Inflation
10Y Bond Rates

Greece CDS
Greece  10Yr B.
US Treasury CDS dollar USA 10Yr B.
Portugal CDS Portugal 10Yr B.
China Gov CDS  China 10Yr B.
Ireland CDS Ireland 10Yr B.
Japan CDS  yen Japan 10Yr B.
Spain CDS Spain 10Yr B.
Canada CDS dollar Canada 10Yr B.
Italy CDS peso Italy 10Yr B.
Australia CDS dollar Australia 10Yr B.
PIIGS CDS euro PIIGS  10Yr  B.










Belgium  CDS Belgium 10Yr B.
Brazil CDS real Brazil 10Yr B.
France CDS France 10Yr B.
India  CDS rupee India 10Yr B.
Austria CDS Austria 10Yr B.
Russia CDS ruble Russia 10Yr B
Netherlands CDS Netherlands 10Yr B
Ukraine CDS Ukraine 10Yr B.
Germany CDS  Germany 10Yr B.
Kazakhstan CDS Kazakhstan 10Yr B
Sweden CDS krona Sweden 10Yr B.



U.K. CDS  pound U.K. 10Yr B.
Mexico  CDS Mexico  10Yr B.
Poland CDS  zloty Poland 10Yr B.
Turkey CDS  Turkey  10Yr B.
Hungary CDS Hungary 10Yr B.
South Africa CDS rand S. Africa  10Yr B
Bulgaria CDS  Bulgaria 10Yr B



Latvia CDS Latvia 10Yr B.
South Korea CDS won S. Korea  10Yr B.
Iceland CDS Iceland 10Yr B.
Israel 5y CDS shekel Israel  10Yr B
Finland  CDS Finland 10Yr B.
Venezuela CDS Venezuela 10Yr B.
Switzerland  CDS swissie Switzerland 10Yr B
Chile CDS  Chile  10Yr B
Norway CDS
Norway 10 Yr B

Indonesia CDS
Indonesia 10Yr B
Sources:   Bloomberg,   CNBC,    Trading Economics

7. Selected Corporate CDS Quotes

ALCOA     AT&T      BERKSHIRE HATHAWAY      BOEING    CATERPILLAR      DOW CHEMICAL 
 

FAIRFAX FINANCIAL HOLDINGS   FORD       FORD MOTOR CREDIT CO       GENERAL ELECTRIC 
   

GENERAL ELECTRIC CAPITAL      HEWLETT-PACKARD      IBM

MCDONALDS       PFIZER        TATA MOTORS      US STEEL     WALMART


The buyer of a credit default swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. By doing this, the risk of default is transferred from the holder of the fixed income security to the seller of the swap.

The main goal of credit default markets is to establish market prices for a given default risk.  Credit default contracts are also used as part of the mechanism  behind many collateralized debt obligations (CDOs).

What is a Credit Default Swap ?
CDS prices are usually quoted in basic points.  A CDS price of 100 BPS  means that the credit insurer will charge 1% each year for covering the risk against default. Read more from: Wikipedia Investopedia   The International Investor  

Fitch Warning: :  CDS prices can be a useful analytical tool. However, it is important to recognize the potential limitations caused by both their inherent volatility and incidence of false positives during stress periods.

 Credit Default Swaps & Counterparty Risk (ECB)

Default Probabilities

Estimated 5 Yr Cumulative Probability of Default (CPD)
&  5Yr Credit Default Swaps (5Y CDS)


Calculated from 2010  CMA Global Sovereign Credit Risk Report
( CPD = 0.0016 5Y CDS 0.843
  R²=0.9908 )



ECB - Watch (Charts)

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 ECB Weekly Financial Statements 2011    2010

Central Banks Interest rates





Source: IMF Fiscal Monitor Sept 2011


Exposure-to-PIGS
Source: Dallas Federal Reserve Bank


 
Most and Least Risky States:


Source:  July 2011 CMA Sovereign Risk Report

Which Sovereign Countries Defaulted in the Past?

1820 to 1920       1920 to 1980    1981 to 2003

30.08.2010


The value of the 5Y CDS market had ballooned to an estimated $45 trillion,
according to the International Swaps and Derivatives Association -
This is over twice the size of the U.S. stock market





Credit Default Swaps (Mark-it)                   5Y CDS Market Data             Real Time quotes


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  Sourse: BIS - The Future of Public Debt.

Gross Public Debt  &  Net Foreign Asset Position
http://www.treasury.govt.nz/publications/media-speeches/speeches/pdfs/tp-savinginnz-sep10.xls




(1) ECB  http://www.ecb.int/pub/pdf/other/ecbeurostatworkshoponpensions201002en.pdf page 84 (Belgium: Estimates ABN AMRO 2003)
(2) OECD http://www.oecd.org/dataoecd/5/51/2483816.xls Tab Gross Financial Liabilities
(3) OECD http://www.oecd.org/dataoecd/5/51/2483816.xls Tab Tax Receipts




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