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 »

ISDA votes no to Irish credit event

Earlier this week, the International Swaps & Derivatives Association (ISDA) voted against declaring a restructuring credit event on Republic of Ireland sovereign credit default swaps. Had they voted for it, billions of dollars of Ireland CDS could potentially have been …

Read More »

Genworth and Middle Eastern sovereign CDS

Genworth FInancial CDS were up 31.8 bps today to 293 bps and its stock fell over 8% to $12.76 after it reported a surprising loss from an increase in mortgage insurance loss reserves. Genworth is also coming under pressure to …

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 »

Weekly: Spain climbs atop

Spain captured the title of most active CDS with 200 trades totaling over $3.6 billion for the week ending November 5, 2010. The top 6 were all sovereigns (Spain, France, Italy, Brazil, Ireland, UK) with at least $2 billion …

Read More »

Credit Analysis: PIGS Banks (Part 2)

credit analysis on several European/PIGS Banks and their respective sovereign. Continued from Part 1.

Some highlights:

  • Sovereign CDS spreads are generally tighter than the banks’ with some notable exceptions including Santander & BBVA (almost 50 bps and 20
Read More »