Monday, September 15, 2008

Treasury CDS

This is from Bloomberg.


Sept. 9 (Bloomberg) -- The cost of hedging against losses on Treasuries rose to a record on concern the U.S. government faces higher liabilities because of its rescue of mortgage companies Fannie Mae and Freddie Mac, credit-default swaps show.

Contracts on U.S. government debt increased 3.5 basis points to a record 18, up from 6 basis points in April, according to CMA Datavision prices for five-year credit-default swaps at 5 p.m. in London. Credit-default swaps on German government bonds cost 8 basis points and Japanese bonds 16.5 basis points.


The US government is considered to hold higher default risk as of now than Japan and Germany. This is unprecedented, volatility's likely to jump in the near future.

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