Archive for November, 2011

Dynegy CDS auction results

Earlier last month, after the company filed its Restructuring Support Agreement with the SEC, the ISDA Determinations Committee had decided to declare a bankruptcy credit event with respect to Dynegy Holdings LLC (formerly Dynegy Holdings Inc.). The CDS auction …

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Wal-Mart CDS unchanged after busy weekend

Black Friday is over and the holiday shopping season has begun. Despite the publicized success – and violence – of this year’s big shopping weekend, little has changed in the eyes of investor expectations for the world’s largest retailer: Wal-Mart …

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Voluntary haircut to blame for spike in Euro CDS

Another piece, this time from MarketWatch discussed a concern that has been talked about for sometime now – whether the so-called ‘voluntary’ 50% haircut on Greek bonds to avoid triggering a credit event that causes sellers of CDS to make …

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Dim sum bond yields could indicate mispricings

In an interesting turn of events, Bloomberg recently reported a story about a smaller Indian bank, IDBI Bank, saving about 100 basis points by issuing dim-sum bonds in Hong Kong (bonds denominated in Chinese Yuan) and swapping out the exchange-rate …

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“CDS market is a bit like a broken thermometer”

Art Cashin, of UBS, thinks so but one vehement opposer of that description would be the self-regulatory body for credit default swaps themselves – the International Swaps & Derivatives Association (ISDA) which recently put out its own rebuff to …

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BIS consultative paper on central counterparties

The Basel Committee from the Bank of International Settlements (BIS) had issued a second consultative paper entitled and on “Capitalisation of bank exposures to central counterparties” recently and is accepting feedback and comments on their proposals …

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Unicredit CDS widens

Italian multinational bank Unicredit has seen its credit default swaps among the largest wideners of the previous week according to Vincenzo Albano of Reuters Insider. A few data points from his report are below:

  • Unicredit CDS
Unicredit Italy 540 …
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5 banks write 97% of all CDS

Updated CDS market statistics for you courtesy of a few recent stories from ZeroHedge and Bloomberg.

Five banks—JPMorgan (JPM), Morgan Stanley (MS), Goldman Sachs (GS), Bank of America (BAC), and Citigroup (C) — write 97 percent of all credit-default

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When sharing risk actually increases risk

Based on the statements provided, (d) Bankers do not like to share good things and will only share bad things follows. The premises are positive and universal (logically speaking. No actual verification of fact or truth is needed to answer …

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iTraxx Sen Financials at new highs

A nice summary by Financial News of the current state of European banks – quantified with the iTraxx Senior Financials CDS index.
iTraxx Senior Financials (i.e. European banks)
July 2007 – 7.5 bps (relative calm)
Sept 2008 – 140 …
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