米国債のCDSカーブが初めて長短逆転

Live Blog: The U.S. Debt Battle
(WSJ, 7/27/11)

ちまたでは上限問題で米国債がデフォルトすると上へ下への大騒ぎだが、肝心の米国債市場はずっと静観の態度。ただし、さすがにここに来て、8月4日償還予定の米国債が7月28日より4bp動いて若干安め。米国債CDSの方は、1年CDSが5年CDSより20bps高くなっていて、初めてインバートしている。流動性の低い市場だが、リスクを「少しばかり」織り込んでいる、とメリルリンチ。（"small probability”という表現に注意。欧州のようにパニックしているわけではない。）

4:43am BofA-ML: Default Risk Starting to be Priced in


From a note from Bank of America-Merrill Lynch:

Although the market had completely discounted [a default scenario] until a few days back, we are now seeing some probability of this being priced in. Aug 4 bills (the first Treasury maturity after the Aug 2 drop-dead date) have cheapened nearly 4bp to July 28 bills, indicating some risk that the Treasury may postpone this payment. Furthermore, the U.S. CDS curve has inverted for the first time, with 1-year CDS spreads trading nearly 20bp higher than 5-year CDS spreads. Although not a very liquid product, we see this as indicating that the market is pricing in a small probability of a postponed payment.