Archive for June, 2011

Indian credit default swaps to begin in October

At the end of May, the Reserve Bank of India published its latest (and what is expected to be its final or last before actual introduction) “Guidelines on Credit Default Swaps (CDS) for Corporate Bonds” which are …

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NYSE BondMatch begins July 11

The NYSE Euronext will launch a new electronic bond trading platform called BondMatch in Europe next month aiming to increase bond market liquidity. Trading is expected to commence July 11, 2011. As taken from the press release,

NYSE BondMatch will

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Thales CDS in focus

French aerospace and military company Thales credit default swaps trade around 83 bps. It is the highlight of a summary report in Military & Aerospace Electronics.

Thales 5-year Credit Default Swap has generated 0.82 basis points of excess returns

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Greek CDS reaches new records

Credit default swaps protecting the sovereign debt of the Hellenic Republic (Greece) have soared to new records over the last week above the 2000 bps range with exact levels ranging from as low as 1900 bps to 2189 bps and …

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CBOE adds more CEBOs

The Chicago Board Options Exchange (CBOE) re-launched its single-name Credit Event Binary Options (CEBO) in March on 10 industrial firms and due to customer demand, and announced the addition of 5 more financial firms during the last week of April

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CDS may not be banned in Europe after all

It’s been over a year since German regulator Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) unilaterally took the step in Europe to ban naked short selling of euro credit default swaps and bonds. However, no other countries have followed suit despite a vote …

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AIB auction forthcoming

The International Swaps and Derivatives Association (ISDA) EMEA Determinations Committee voted 15-0 in favour of declaring a restructuring credit event in the debt underlying Allied Irish Banks (AIB) credit default swps. An auction is expected to be held at a …

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HSBC exits its first Chinese credit derivative

HSBC has deregistered its first credit risk mitigation warrant and this is the first time a CRMW has been deregistered prior to maturity (which would have been on December 27, 2011 in this case).  The news was first reported by …

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CDS volumes reaching new 2-year highs

Back when DTC first started publicly reported total credit default swap market volumes in 2008, overall volumes were $33.5 trillion (October 31, 2008) spread across 2,449,192 trades but have since been on a general decline with total volumes on October …

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Could CDS data improve portfolio allocation?

Using CDS as an additional variable in portfolio theory models could change some of the initial findings in previous portfolio allocation models such as the Markowitz model.

New research by Vincenzo Albano using credit default swap data (such as prices …

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