Archive for March, 2012

Swaps have YRC driving off the cliff again

It has been 2 years since some CDS and bond investors in YRC Worldwide last pondered bankruptcy as they tried to hold out for a better payback during the company’s highly publicized campaign against derivatives. Now, as the company seems

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ICE Clear Credit starts portfolio margining

Intercontinental Exchange’s central clearinghouse (ICE Clear Credit) for credit default swaps won approval over a month ago to be able to apply portfolio margining across its bank members. Portfolio margining will allow allowed banks to be able to

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Guess what the CDS price would be

If you guessed then I hope you are right but we certainly don’t know exactly what it would or should be.

Priceline sold $1 billion of 1 percent notes due March 2018 that may convert into 1.06 shares for each

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New Muni CDS Protocol upcoming deadline

There’s only a week left until the updated protocol for municipal credit default swaps goes into effect (April 3, 2012). As taken from the ISDA release,

The purpose of the Protocol is to make similar changes to US Municipal

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Elpida CDS auction final price

The credit default swap settlement auction for Elpida Memory was held today and a final price of 21 was set. In other words, sellers of credit default swaps referencing Elpida Memory debt will have to fork up 79 cents on …

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ERC Ireland credit event declared

This has been the week of credit events for sure. Yet another credit event has been declared – this time a failure-to-pay credit event in the case of ERC Ireland Finance. An auction to settle ERC Ireland’s credit default

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Second auction this week: Elpida (エルピーダメモリ株式会社)

Its turning out to be a busy week for the International Swaps & Derivatives Association (ISDA) as they hold their second credit default swap settlement auction of the week for a Japanese semiconductor and chipmaker, Elpida Memory. (The first auction

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Greek CDS auction final price

The market was expecting it for a while now and the final day of reckoning in the Hellenic Republic credit default swap fiasco reached another milestone today with the CDS settlement auction setting a final price of 21.5 cents on …

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Big day today: Greek CDS auction

It is a big day in credit derivative markets as one of the first major and meaningful credit event auctions on a sovereign will be taking place. Early market expectations are that investors will receive between 7880% …

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Citigroup CDS at 210 bps

Citigroup credit default swaps have increased to 210 basis points after the Federal Reserve said it failed to meet its minimum capital requirements in a stress test.

Citi disagrees but that is not preventing investors from hedging their bets.…

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