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...
View ArticleISDA’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...
View ArticlePortugal 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...
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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...
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The role of Counterparty Valuation Adjustments (CVA’s) in rising sovereign...
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...
View ArticleWestern 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...
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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...
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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...
View ArticleEU 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...
View ArticleWeekly: 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...
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