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.

0 Reflections: