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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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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Citius, Altius, Fortius for Greek CDS

Citius, Altius, Fortius (Latin for Faster, Higher, Stronger) and a term often associated with the Olympic Games which originated in Olympia, Greece appears to also be an appropriate term to use for Greek credit default swaps too. With Greek CDS …

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Ireland tries to put a cork on Anglo Irish losses

In what seems to be a weekly occurrence for the nation which Cork City calls home, Ireland credit default swaps crossed another psychological barrier (of 400) when it jumped about 20 bps by 10am GMT to reach a new …

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Euro Bank CDS little changed right after EU stress test results

The day after the EU released the results of its European bank stress tests, credit default swap markets showed little reaction with maybe a slight tightening bias. Keep in mind though that the results were released after European markets were …

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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 …

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Mythology across the Aegean Sea as told by CDS

It was perhaps many thousands of years ago when King Aegeus of of Athens threw himself into the water after (mistakenly) believing Theseus, his heir to the throne, had died in battle trying to kill the Minotaur, a half-man …

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Greek CDS hits record high 1131 bps today

Credit default swaps protecting the debt of Greece rose to a new record and the second day (so far) trading above the 10% level. Greek CDS had previously hit successive highs of 1127 bps yesterday and 970 bps on Wednesday …

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First bond yields, now Illinois CDS overtake California

We began the week reporting how bond yields on Illinois State general obligation debt had overtaken similar bond yields on California State debt so it probably isn’t a surprise to end the week reporting how Illinois credit default swap prices …

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CDS liquidity drying up as Bid-Ask spreads widen

Bid-ask spreads on popular credit default swap indices are reaching new local highs amid signs that investors are growing more concerned about corporate (and sovereign) credit.

The wides for the on-the-run CDX.NA.IG (North American Investment Grade Corporate Debt issuer) …

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