Archive for May, 2011

$15 million swaption matures

The lone single-name credit default swap option (also known as a CDS option, or swaption) tracked by the DTC matured last week. The trade in question was a US$15 million swaption although the underlying reference entity and the …

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Weekly: Venezuela volume tops a billion

Venezuelan credit default swap volumes for the week ended May 20, 2011 reached $1 billion again in the span of 50 trades. It is the second time reaching that mark this year – the first time was back on March

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CIR’s steep credit curve

The Italian industrial company Compagnie Industriali Reunite (CIR) SpA’s 10-year CDS is currently 96 bps higher than the related CIR bond asset-swap spread. The bond in question is the CIR €5.75% Dec 2024. Note that the the bond is still …

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Sears Roebuck Acceptance could be downgraded

Several bonds issued by Sears Roebuck Acceptance Corporation, the financing subsidiary of Eddie Lampert’s Sears Holdings Corporation, were recently placed on review for downgrade by Moody’s. In its press release, the rating agency said:

the rating of the following units

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22-year CDS volumes cross $3 bil

22-year maturity credit default swaps crossed the $3 billion mark in gross notional volume outstanding according to the latest DTC figures. 232 trades representing $3.07 billion and scheduled to mature in the year 2033 were recorded by DTC. This compares …

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New TRX index coming

Credit derivative index administrator Markit is working on introducing a new TRX.NA index which according to its own description, “is a liquid, tradable tool allowing investors to gain exposure to cash CMBS via TRS contracts. Its liquidity and standardization allows …

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Weekly: Argentina volumes back up

Argentina saw the most trading in about a month with almost $1 billion in CDS trades for the week ended May 13, 2011 – good enough for 20th spot on the active list. The last time Argentinean credit default swap …

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Do CDS spreads lead corporate bankruptcies?

Fitch recently completed a small study entitled “CDS Spreads and Default Risk:  A Leading Indicator?” investigating whether default probabilities implied by credit default swap spreads serve as a good indicator for companies that eventually default.

Fitch went through …

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Retail credit default swaps in May 2011

A sampling of current credit default swap prices (and their price 3-months ago in brackets) from Fitch and CNBC for some American retailers:

Gap (119 bps) 162 bps
Home Depot (56 bps) 56 bps
Staples (86 bps) 97 bps
Wal-Mart …

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Template for Contingent CDS being written

Now that financial – and particularly credit – markets have somewhat “normalized” with spreads having tightened in from their 2008-9 highs, financial engineers can re-focus their time to creating new products and services to “better manage risk, express views and …

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