マークイット 中国・フィリピン・ブラジル他 ― 2009/01/17 16:31
Credit Crisis Contraction Gaining Positive Traction
Interest-Rates / Credit Crisis 2009
Jan 14, 2009 - 04:58 PM
As far as the outlook for the credit derivative indices are concerned, Markit said: “Optimists have been declaring that all of the bad news has been priced into spreads, and we are set for a lengthy rally. The implausible default rates implied by current spread levels give this theory a measure of support. But the coming weeks are likely to see a torrent of negative news, and it is improbable that the CDS market can continue its stoic resistance. The upcoming US earnings season will be key, as will the progress of Obama's fiscal stimulus package through Congress. We have already seen several defaults this year, and we are sure to see many more in the coming months.”
Lastly, the tables below show some country CDS statistics, again courtesy of Markit . These prices represent the cost per year to insure $10,000 of debt for five years. For example, Italy is in most trouble among the G7 countries with a cost of $155 per year to insure $10,000 of debt.
It is noteworthy that Germany, Japan and France at the moment all have a lower default risk that the US. It now costs $55 per year to insure $10,000 against US default for the next five years. Although this is down from $65 a month ago, the corresponding numbers were $8 early last year and $36 in November. As in the case of the US, UK CDS spreads are also trading close to record levels as unease over the level of national debt takes its toll on their sovereign credit risk.
Not shown in the table, three of the weaker members of the eurozone (Spain, Ireland and Greece) yesterday saw their CDSs come under renewed pressure following negative rating agency action. Spain's spread widened by 13 basis points to 112 basis points, whereas Ireland and Greece are trading at the widest levels of any eurozone member.