Archive for January, 2012

Portugal CDS imply 70% default probability

Fears over a Portuguese default are driving investor concerns and leading to soaring bond yields and swap prices. The “yield on the 5-year Portuguese note spiked… hit[ting] a record for the post-euro era of 22.69%.” according to Sam Mattera.

According …

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Large American bank exposures to Europe

According to the New York Times,

Five large American banks, including JPMorgan Chase and Goldman Sachs, have more than $80 billion of exposure to Italy, Spain, Portugal, Ireland and Greece, the most economically stressed nations in the euro currency

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Japan banks CDS

Japanese banking institutions have seen their credit default swap prices fall somewhat as European concerns ease.

According to Nikkei,

The cost of insuring against default by Japanese financial institutions is declining as concern about financial conditions in Europe abates.

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First auction of 2012

Earlier this week, the first settlement auction for the year was held with little fanfare for a relatively less popular name in the loan credit default swap market. Only 3 dealers participated in the LCDS auction for Seat Pagine Gialle …

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Portugal reaches new high on default concerns

Portuguese credit default swaps reached new highs today after investors fear that it could become the next European sovereign credit to default following S&P’s downgrade to below-investment grade last week. According to Market News International,

Credit default swap contracts

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Egypt CDS at 600

From Bloomberg,

Five-year credit default swaps declined 25 basis points, the most on a closing basis since June 1, to 600 at 3:02 p.m. in Cairo, according to data provider CMA.

Egypt yesterday started negotiations with the IMF for

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Indian corporate CDS widening

From a recent Bloomberg report,

Average bond risk for Indian borrowers more than doubled in the past year as Asia’s third-largest economy expanded at the slowest pace since 2009 and the central bank lifted interest rates seven times to …

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Russia CDS tightens as most of Europe widens

With all the commotion over Europe, one semi-European country absent the spread widening is Russia. According to a Moscow Times report sourced from Bloomberg:

The cost of protecting Russian debt against nonpayment for five years using credit-default swaps fell six

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