Source: Bank of Greece, secondary market volume on the HDAT platform, total monthly nominal value in EUR (last datapoint: january 2010)
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It’s not cheaper to use derivatives (basis is positive meaning implied yield on the CDS is higher than on the bonds) but it’s doable in the derivatives market and difficult in the cash market. Also it’s not all speculators, further downgrade of Greece would have have consequences for the risk-weighting of greek assets for banks holding them so they are in there too.
So the hedge funds are working the derivatives, not the underlying, because it’s cheaper to speculate than it is to actually take a position?
David: there is weekly data from the DTCC but not user-friendly and no real history, just snapshot of last week vs previous etc… not that much activity in the greek CDS, in fact net notional is starting to drop (down $100 mln as of feb 19th from previous week) although gross is up (but that’s an irrelevant metric) , so people getting out/hedging rather than increasing positions.
Given the slow buildup to this crisis, I would have expected more trading in January 2010. I would assume that more is going on with CDS, but I would not know where to find that data, if it exists at all publicly.
Probably not. Most govt bond markets lost volume and liquidity as evidenced by bid/ask spreads is still worse than pre-crisis. Will check others and post data, time permitting.
Is that volume drop greek specific?