http://www.aleablog.com/monthly-trading-volumes-in-greek-government-bonds/ Alea Jacta Est Tue, 07 Sep 2010 13:59:07 +0000 hourly 1 http://wordpress.org/?v=3.0.1 http://www.aleablog.com/monthly-trading-volumes-in-greek-government-bonds/#comment-3798 jck Fri, 26 Feb 2010 18:32:46 +0000 http://www.aleablog.com/?p=4559#comment-3798 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. 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.

]]> http://www.aleablog.com/monthly-trading-volumes-in-greek-government-bonds/#comment-3797 Ken Houghton Fri, 26 Feb 2010 17:44:31 +0000 http://www.aleablog.com/?p=4559#comment-3797 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? 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?

]]> http://www.aleablog.com/monthly-trading-volumes-in-greek-government-bonds/#comment-3796 jck Fri, 26 Feb 2010 16:38:15 +0000 http://www.aleablog.com/?p=4559#comment-3796 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. 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.

]]> http://www.aleablog.com/monthly-trading-volumes-in-greek-government-bonds/#comment-3795 David Merkel Fri, 26 Feb 2010 16:09:15 +0000 http://www.aleablog.com/?p=4559#comment-3795 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. 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.

]]> http://www.aleablog.com/monthly-trading-volumes-in-greek-government-bonds/#comment-3794 jck Fri, 26 Feb 2010 16:07:38 +0000 http://www.aleablog.com/?p=4559#comment-3794 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. 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.

]]> http://www.aleablog.com/monthly-trading-volumes-in-greek-government-bonds/#comment-3793 Marcus Fri, 26 Feb 2010 14:36:13 +0000 http://www.aleablog.com/?p=4559#comment-3793 Is that volume drop greek specific? Is that volume drop greek specific?

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