Vix Vs Sovereign Risk

  • April 2020
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250

Senior FINLs CDR Government Risk Index (bps) Senior over Sovereign Sub‐Senior diff Sub‐Sen differential over Sovereign

200

FINLs vs Sovereign  Pain Trade!

150

100

50

0 1/3/2007

‐50

4/3/2007

7/3/2007

10/3/2007

1/3/2008

4/3/2008

7/3/2008

10/3/2008

FINLs vs Sovereign  Compression worked

1/3/2009

4/3/2009

140

120

100

CDR Government Risk Index (bps) VIX 80

60

40

20

0 1/3/2007

4/3/2007

7/3/2007

10/3/2007

1/3/2008

4/3/2008

7/3/2008

10/3/2008

1/3/2009

4/3/2009

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