ISDA might review restructuring event

The restructuring credit event which is still used in European credit default swap contracts could be reviewed if requested by CDS market participants. The concerns come as CDS holders on Greek and American sovereign debt express concern about the ability …

Read More »

Greek CDS reaches new records

Credit default swaps protecting the sovereign debt of the Hellenic Republic (Greece) have soared to new records over the last week above the 2000 bps range with exact levels ranging from as low as 1900 bps to 2189 bps and …

Read More »

PIG swaps at record

While Greece may be getting the bulk of the attention, particularly in CDS-land, as talk of a restructuring credit event lingers on

Portugal CDS up 7 bps to 688 bps.

Ireland CDS up 11 bps to 685 bps.

Greece CDS …

Read More »

Sara Lee, European sovereign CDS tighter

Sara Lee credit default swaps, which were one of the most active single-names last week, fell in price from 285 bps to 278 bps last Friday after investors appeared to be pricing in less of a chance of the …

Read More »

Commerzbank CDS reaches new record high

It has not even been 2 weeks into the new year, and yet another bank has experienced an enormous increase in its traded credit risk.

Commerzbank has been at the center of attention the past couple weeks trading at the …

Read More »

Ukraine & Latvia see biggest fall in credit risk

Credit default swap price provider CMA recently released their 2010 Fourth-quarter sovereign CDS report.

In it they reported that Ukraine credit default swaps started the year 2010 at 1232.1 bps and fell to 509.5 bps by December 31, 2010 …

Read More »

Western European nation CDS rises past the east

Credit default swaps on western European nations (at an average of over 200 bps) has exceeded that of CDS on central and eastern European, Middle Eastern and African nations for the first time according to the WSJ.

The iTraxx SovX

Read More »

EU countries vs. US states

In chart form, courtesy of The Economist

Read More »

Ireland swaps reach another high

In what seems to be a weekly event now, Ireland credit default swaps keep rising, and hit another new high today of around 428 bps to 433 bps depending on sources. The country’s sovereign CDS has risen about 8% this …

Read More »

Quanto CDS gaining significance in the Greek trade

Question: What is better than buying credit default swaps protecting several million dollars of Euro-denominated Greek sovereign debt?

Answer: Buying credit default swaps protecting several million dollars of Euro-denominated Greek sovereign debt that pay off in US dollars (or any …

Read More »