Archive for April, 2012

Pink slimey swaps

Tyson Foods credit default swaps rose to 168.5 bps last week on the heels of negativity around its industry, including the recent revelation from ABC News that 70% of ground beef at American supermarkets could contain so called “pink

Read More »

Relative value in global bank CDS

As highlighted in Bloomberg, The debt of banks is trading at the biggest discount to the broader corporate bond market since the depths of the funding squeeze in November as Europe’s sovereign crisis again threatens to rattle global financial

Read More »

Investors dropping on Nokia

Nokia credit default swaps got hammered hard last week after the company, formerly the world’s largest mobile handset maker until recently ceding that title to Samsung,  warned that first quarter results were weaker than expected amid competition. In addition, the

Read More »

Odds of bankruptcy

Excerpt from a CNBC highlight earlier today,

Odds of bankruptcy within 10 years (default probability)

American Banks
Bank of America 33%
Citi 32%
Goldman Sachs 34%
Morgan Stanley 42%

European Banks
Unicredit 45%
Nomura 42%
BNP Paribas 30%

Sovereigns
Spain …

Read More »

CDS futures continue to languish

The introduction of CDS futures (essentially envisioned as a standardized futures contract on a popular CDS index like the CDX to begin with) has yet to make any significant progress on its path to reality but does anyone really care?

Read More »

Quanto CDS from boom to bust


The International Financing Review (IFR) reported about a week ago that it appears the boom in quanto credit default swaps – specialized contracts used to manage or hedge foreign currency risk associated with sovereign CDS – is over and now

Read More »

New banking swap indices launched

Index Administrator, Standard & Poor’s, and International Swaps & Derivatives Assocations, ISDA, recently launched a new pair of credit default swap indices to track bank swaps and by extension counterparty risk. The 2 new indices are the S&P/ISDA CDS U.S.

Read More »

ERC Ireland CDS auction final price

That’s right. A worthless piece of …

For details on the auction or more information on ERC Ireland’s (eircom) restructuring and examinership.…

Read More »