BoE Publishes 2Q09 Quarterly Bulletin
The Bank of England has released its Quarterly Bulletin 2Q09, filled with the usual charts and top-quality research.
Corporate bond liquidity, as measured by bid/offer spreads, is healing:
There is still a huge CDS basis, implying poor ability to borrow for leverage:
In addition to the general review, there are longer “Research and Analysis” articles on:
- Quantitative Easing
- Public Attitudes to Inflation and Monetary Policy
- The Economics and Estimation of Negative Equity
- Summaries of recent Boe Working Papers
Sadly, there is no chart of the decomposition of corporate bond spreads into default / default uncertainty / liquidity. It is my understanding that the system has been so stressed that they are reviewing all their embedded assumptions and calculations in their model to take a view on whether they can still trust it. A lot of quant models have blown up over the past two years!
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