quoting convention/roll convention emerging markets

[RussianMike]

Does anyone know what the quoting convention is for Emerging Markets CDS spreads? They go off of a monthly roll(IMM dates) and it's either quarterly or semi-annually. MarkIt is semi-annual but what about "the market"

 

[Andy Nguyen]

What names/index you are looking at? We don't do EM but I can find out for you.

 

[RussianMike]

Not index, single-name CDS. For something like Republic of Kazakhstan

 

[Andy Nguyen]

EM CDS payment is quarterly, Mike.
Just for fun, here is today quote for EM LatAm from a trader at a big IB

At:  8/12 16:45:16

Very quiet day here today, Main points: Argentina continued to trade well as there is still a decent local bid in cash; Venez cash continues to trade heavy vs CDS  tho did start to see buyers of cash in the afternoon (27s closing 88.25/75; 88 low print); Saw good two way flow in colombia cash (real$/local/RV); Index better bid in st througout the day. In general as macro mkt focus has moved toward recent px trends in oil/ commodities(lower), it seems  the US equity/ EM correlation is beginning to break down in external space as the implications begin to diverge. (may explain relatively low vol in Em external relative to US equity last few sessions, as mkt begins to digest this)

EMCDX9 100.10/100.15 FV 100.35 
                                              
Term      Brazil      Colombia    Venezuela      Mexico      Argentina
1        41   45      63   69      440  460     27   31      720  745     
2        67   71      86   92      505  525     50   54      775  790     
3        85   89      107  113     550  568     68   72      790  810     
5        121  125     156  162     626  632     105  109     815  830     
10       156  160     195  201     684  690     131  135     840  855     
2/5      53   56      68   72      109  114     54   57      39   44      
5/10     33   36      36   41      55   60      24   27      24   32      
                                              
                                              
                                              
Term       Peru         Panama       Pemex
2        71   75      78   82      60   65      
3        89   93      102  106     81   86      
5        125  129     145  149     123  128     
10       163  167     184  188     150  155     
                                              
Cash Curves
(Mid market Z spreads)
                                              
  Brazil     Colombia     Venezuela    Mexico     Argentina
     
A's  98      12's 93      10's 530     10's 40      Bd12s1137    
37's 121     17's 134     13's 635     17's 83      Bn17s977     
40's 102     37's 164     27's 630     40's 132     Disco651