Weekly: Sovereign CDS very active

Trading in the credit default swap markets was quite active for the week ending¬†March 25, 2011. Spain topped the list with almost $10 billion in trading and 566 contracts – more than double that of second place Italy …

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EU moves to ban naked CDS

A vote by the¬†European Parliament’s Monetary and Economic Affairs Committee has decided 34-8 in favour of banning naked shorting (selling) of credit default swaps.

A hedge fund not holding the underlying government debt would be allowed to buy a

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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 …

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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 …

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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

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The role of Counterparty Valuation Adjustments (CVA’s) in rising sovereign CDS levels

A recent report published by the Bank of England (BoE) cites “increased hedging by CVA desks has been an influential factor behind these [rising European sovereign CDS price] moves.”

A counter party valuation adjustment (CVA), or sometimes interchangeably called a …

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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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Portugal Next?

After all the talk about Greece’s fiscal problems over the last few months, and news that the situation could be getting worse in Eastern Europe, investors are increasingly turning their attention to Western and Southern Europe.

Based on the performance …

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ISDA’s 25th AGM concludes without a big bang

The International Swaps & Derivatives Association (ISDA) just completed their 25th annual general meeting last week in San Francisco with much less fanfare compared to last year’s meeting in Beijing that closely coincided with the implementation of Big Bang Protocol

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Sovereign CDS’ role in the changing dynamic between (interest rate) swap spreads

CreditLime Special Report
April 6, 2010

Sovereign CDS’ role in the changing dynamic between (interest rate) swap spreads

In the holiday shortened Easter week as the kids of financiers were on easter egg hunts to find the candy creme egg …

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