Archive for December, 2011

When a short beats a CDS

One of the primary motivators for the move towards and growth of credit default swap trading was the ease with which short trades could be conducted. No need to find a cash bond to borrow, no need to finance the …

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Egypt CDS

Egypt credit default swaps are reaching new all-time highs of around 650 basis points on continued violence, revolts and protests in Egypt – this time against the military, the same institution that was supposed to be their harbinger of change …

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Current SBI price

A wide variety of issues are contributing to slowing growth and rising inflation in India’s economy. Not to mention other political issues such as Prime Minister Manmohan Singh’s inability to push through reform on a recent issue regarding opening up …

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First Rupee Credit Default Swaps Traded

A week after the Reserve Bank of India finalized rules governing onshore credit default swaps in the country (i.e. local currency rupee credit default swaps), two of India’s largest private sector banks have completed the first Rupee CDS trades.

According …

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AMR auction results

ISDA’s Americas Determinations Committee held their CDS auction to determine the final settlement price for the parent of American Airlines, AMR, on Thursday. The credit event auction was triggered after the airline, which at one time was the largest US …

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PMI Group auction results

ISDA’s Americas Determinations Committee held their CDS auction to determine the final settlement price for one of America’s largest private mortgage insurers, PMI Group, on Tuesday. The credit event auction was triggered after the company founded by former Vice Chairman …

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CMBX headed for more volatility in 2012?

Bloomberg recently highlighted concerns analysts have on the near-term future performance in the commercial mortgage-backed security market through the end of the year and into 2012 noting the significant amount of debt coming due in the next coming months.

The …

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Investors jumping off jump-to-default risk

A recent report by Bloomberg highlighted the increasing investor aversion to index tranches, particularly the lowest rated pieces with the most exposure to jump-to-default (JTD) risk.

AMR Corp.’s bankruptcy is taking the corporate debt market by surprise, with investors losing

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Seat Pagine Gialle auction results

ISDA’s EMEA Credit Derivatives Determinations Committee held their CDS auction to determine the final settlement price for Italy’s directories publisher, Seat Pagine Gialle SpA, last Friday. After it was over, the final price was set at 10 with a net …

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Panrico LCDS auction result

Spanish doughnut maker, Panrico, recently had its European loan credit default swap (ELCDS) auction which set a final price of 8.125 on November 23, 2011. There were 5 participants (Credit Suisse, Goldman Sachs, JP Morgan Chase, Morgan Stanley and Royal …

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