Текущий рост акций - лажа

еще, кстати, момент есть: емержины, в основном, никак не реагируют на этот рост амеров и европ. что мы, что бразы, что китай — еле еле ползем вверх, а по сути на месте стоим…
тоже индикатор своеобразный…
в общем как то не видно реального аппетита к риску-то…

еще одна картинка про японский финсектор после даунгрейда:

ликбез:

CDS Spread – Also called a premium. The amount paid by the Protection Buyer to the Protection Seller, typically
denominated in basis points and paid quarterly. For example if the spread for The Widget Company is 200 basis
points, the Protection Buyer will pay the Protection Seller 200 basis points multiplied by the notional of the trade
annually (typically paid quarterly, on an actual number of days per period/360 basis).

Credit Event – This is the event triggering settlement under the CDS contract. Since the original ISDA Agreement in 1999, six categories of Credit Events have been defined:
• Bankruptcy – Although the ISDA 2003 Definitions refer to different ways a bankruptcy can occur, the
experience has been that the reference entity has filed for relief under bankruptcy law (or equivalent law).
• Failure to pay — The reference entity fails to make interest or principal payments when due, after the grace
period expires (if grace period is applicable in the trading documentation).
• Debt restructuring — The configuration of debt obligations is changed in such a way that the credit holder is
unfavorably affected (maturity extended and/or coupon reduced). Credit Derivatives Glossary
Confidential. Copyright © 2009, Markit Group Limited. All rights reserved. www.markit.com
4
• Obligation default, obligation acceleration, and repudiation/moratorium – The 2003 ISDA definitions
define these three credit events, but they are very rare.

Indices trade either on spread or on price. It mimics the cash instrument where some bonds trade on yields, and others on price. The CDS indices convention matches that of the underlying cash instruments.
Intuitively, if an index has a fixed coupon of 60 and the current coupon is 90, it is positive for the
protection buyer (they are paying 60 for something that is currently worth 90). The price is inversely related to spread so the price of the index at 90 is lower than the price at 60, and as the protection buyer is short the credit a drop in price is positive.

Simple valuation example — Take each individual credit, and multiply the risky duration of the credit by the
difference between the current spread of the credit and the coupon of the index. This gives the PV on
each component. The fair value price of the index is 100 minus the sum of all the PV’s across all
constituents.
For example, if the first credit is trading at 200 bps, with a risky duration of 3.75 years, vs. an index
coupon of 150 bps, then the contribution to the index price is 3.75*50/10,000 = 0.01875. If we assume all
other credits are trading at 150 bps (i.e. equal to the index coupon), then the price of the index will be 100
– 0.01875 = 99.98125.

ссылки:
www.markit.com/news/Credit%20Indices%20Primer.pdf
www.markit.com/assets/en/docs/products/data/indices/credit-index-annexes/CDS_glossary.pdf

кому не лень — переведите, и в финансовый словарь это было бы неплохо поместить
раз такие вопросы возникают у людей.

если кому-то эта тема интересна, вот еще картинка:


и неплохая статья по поводу соответствующего arb-trading
www.stanford.edu/class/msande444/2011/MS&E444_2011_Group2.pdf