RSS feedCDS
’Shhh! Isda cabal is acting in a predictable way.
What, not dramatic enough for you?
Well, then, how about an 18-page list of potentially deliverable bonds? This could come in useful if — and this is only a hypothetical, you understand — the Isda
Quanto CDS, the widow-maker
In the space of less than a year, the headline in the International Financing Review went from “Quanto CDS flows return” to “Dealers hope for the death of quanto CDS”.
What gives?
As a reminder of what quanto CDS is…
Did your grandma buy Greece CDS or what?
FT Alphaville is starting to feel a bit bemused at the level of outrage expressed around town the globe on the behalf of those poor buyers of credit default swap protection on Greece. But, here’s a question:
ISDA: the “S” seems to stand for “sneer”
We’ve been curious for a while about the media.comment blog at the International Swaps and Derivatives Association, which declares its mission thus:
media.comment addresses mainstream business and financial media coverage of the derivatives industry.
Credit event circus, cont’d
NEW YORK, March 1 (Reuters) – Bill Gross, the co-CIO and co-founder of bond giant Pimco, said on Thursday that the decision by a major derivatives agency to not declare a credit event on the writedown of Greek sovereign debt sets a dangerous precedent.
Greece CDS: trigger sad
Shhhh! Be very, very quiet. The Isda Determinations Committee has been meeting to decide whether there’s been a restructuring Credit Event that would trigger payouts on CDS referencing Greece and we don’t want to spook them.
Isda Greece credit event around here?
Has Greece CDS been triggered? The question’s finally been posed to Isda’s determination committee and is currently pending:
It’s quite a long one.
Does the announcement of the passage by the Greek
Will the Greece CDS auction be ‘fair’? — Part 2
The use of collective action clauses in Greek bonds, as part of the country’s sovereign restructuring, seems set to trigger credit default swaps. For the $3.2bn of net notional still outstanding on the contracts,
Will the Greece CDS auction be ‘fair’? — Part 1
Are you feeling relieved that the whole CDS trigger debate for Greece might be over? Well, you may have been relieved too soon. There may well be a big, nasty hitch.
A hitch involving how the credit event auction for Greece — where CDS payouts are determined — works.
An (EFSF) credit derivative is born
Anyone remember the EFSF’s ersatz CDS?
They announced it back in November 2011. Another measure to eke the bailout fund’s resources out a bit more in a bad patch of the eurozone crisis.
A societe anonyme would be hived off the EFSF,
Metaphors to while the night away
With a long night of Euro-deal watching ahead we thought we would leave you some mixed-metaphors to mull over.
This is from Gabriel Sterne over at Exotix (emphasis his):
Taking negotiations right to the wire is the other side of the coin to brinksmanship;
How to read CDS prices, featuring Portugal
When a sovereign or corporate becomes sufficiently distressed, a flip can happen in the way the credit default swaps are quoted. According to Markit, this is happening with Portugal now, with the CDS moving from being quoted in conventional spread to upfront.
Greek lessons for Portugal
It appears that the “voluntary” Greek bond swap might finally come to an end.
Time then to spare a thought for the derivative that drove the need to draft the damn thing so gently in the first place.
Barclays visits the securitisation BISTRO
FT Alphaville has outlined how securitisation is getting back to its roots lately, allowing banks to reduce capital holdings at a time when fresh capital is hard to come by.
Basically, they buy protection on slices of their own assets,
Back to the BISTRO for today’s securitisations — Part 1
The airwaves are once again aflutter with tales of the “shadow banking” sector, owing to the chief of the relatively new Financial Stability Board.
As the FT’s Tracy Alloway also recently reported, the sector was already back to its pre-crisis size at the end of 2010 at a healthy $60,000bn of assets.
A year in sovereign paradigm shifts
Every now and then we see credit default swap spreads out of the corner of our blog and think: “What?!!! When the hell did that happen?!!”
So FT Alphaville looked up when some of that happened, and we wanted to share our Top Five with you.
Clients spotted in the CDS market
“Over time we’ve seen a secular increase in the use of CDS and a decrease in the use of bonds as a trading tool,” he said. “Last year we saw bonds being placed at new issue more as a buy-and-hold investment as fund managers found their ability to trade out of bond positions in secondary markets much more limited.”
That’s Niall Cameron,
[Credit event auctions] Mechanics
Since 2009 credit event auctions that determine credit default swap payouts have been hardwired into the operations of the market. Previously, auctions were arranged on a more ad hoc, voluntary basis.
[Credit event auctions] A necessary condition for growth
Credit event auctions determine what the ultimate payout is when credit default swap contracts are triggered by a “credit event” such as bankruptcy.
In a previous post, FT Alphaville explained why such auctions came to exist.
[Credit event auctions] Why do they exist?
Credit event auctions are the means by which final payouts on credit default swap contracts are calculated. The importance of such auctions will increase as more and more defaults occur in the face of a global economic slowdown.
A Magyar martingale
(We mean martingale, the betting strategy, not the quant model!)
Here’s the thing about Hungary, as we see it anyway. If you look at things like the current account, for example, it says “fixable by the IMF”.
More on the conflicted Isda committee
The International Swaps and Derivatives Association has a list of journalists who’ve been naughty or nice. They write about them on their Media Comment blog here.
Given FT Alphaville’s previous post about the Isda-organised Determinations Committee,
The conflicted Isda committee
Imagine playing a game where you bet on the outcome of a certain event. Most of the time the final outcome is unambiguous: you play, and afterwards, it’s clear whether you won or you lost. But every now and then,
Credit derivatives are getting younger these days
A year ago, Nicholas Vause of the Bank of International Settlements wrote about “Counterparty risk and contract volumes in the credit default swap market” and pointed out the relative increase in shorter maturity contracts.
Meet the credit derivative “end-users”
It’s a well understood fact that credit derivatives markets are primarily dealer-to-dealer. We do, however, hear that there are clients, or “end-users”, hiding somewhere. The Bank of International Settlements’ Quarterly Review,
Debt and CDS: It’s complicated
In which we attempt to explain the complexities at the heart of the CDS trigger debate…
Debt is nothing more than a financial relationship between two parties, whether individuals or institutions.
Financial tsunami warning: credit edition
Imagine you are a structured credit investor standing on a cliff by the ocean. From your senior perch you observe more junior investors sunning themselves and reclining with e-readers on the beach below.
CDS indices hit records while uncleared sovs spike
We’re sure there’s a drinking game in here somewhere, given that Wednesday’s headlines about new records for credit default swap indices will be usable many a time over the coming weeks as the sovereign crisis lurches along.