Börsennotizbuch

In The Aleph Blog spricht David Merkel von den Unterschieden zwischen den Anleihen und den Swaps, zwischen Investoren und Spielern (Zockern). Das Thema ist momentan heiß, und viele schauen auf einmal auf bisher unbekannte Indizes. Hier kommen einige Hintergrundinfos nicht ungelegen:

Regarding credit default swaps, and their new cousins, ABX, CDX, LCDX, CMBX, etc… there are often more swaps trading than there are underlying cash obligations. What this implies is that most of the activity going on is not hedging and speculation facilitating hedging, but merely speculation/betting.

What this means is that in the short run, until the cash obligations underlying the default swap mature, there is little to keep the cash and derivative markets together. The swap spread could be a lot higher than the cash market spread, indicating fear, and a lot of players being willing to bet on partial or total default occurring. That’s where we are now. So, when I hear new lows on ABX.HE indexes, and some authoritative voice says that means many defaults are occurring in subprime mortgages, I take a breath and remind myself that it means that more players are betting on increased defaults and loss severity on subprime mortgages.

Interessant zum weiteren technischen Verständnis der Bond- und Swap-Märkte…