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’BIStimates of the over-the-counter derivatives market
Depending on which way you want to look at it, over-the-counter derivatives either increased or decreased in size, as of mid-2011.
That’s according to Bank for International Settlements statistics that were released back in mid-November.
Tabb: HFT makes up a third of OTC energy swap trading
Attention over-the-counter (OTC) energy traders who think there’s no prominent high frequency trading (HFT) presence in their section of the market.
A Tabb Group research piece on how HFT practices are likely to creep into credit default and interest rate swaps once the market becomes centrally cleared,
An Allied Irish credit event query, redux
Readers are at this point excused a slight sense of déjà vu…
That’s a credit event query appearing for Allied Irish Banks, a second time. Isda has accepted the request for consideration.
Someone asked Isda back in April whether a government order to make Allied Irish buy back subordinated debt had triggered credit protection.
What fiscal transfer to Greece do you want?
Why they’ll extend private Greek debt maturities — in two charts:
Both those tables were put together by JPMorgan analyst David Mackie in a note published a week or two ago. They’re well worth resurrecting.
The ongoing mess in Allied Irish’s capital structure
So bad a mess even the hedging looks bust.
Quite apart from threatening to overturn the foundation-stone financial hierarchy of debt over equity…
There’s another way Allied Irish’s subordinated liabilities order might kill a market,
EU probing CDS market for collusion — full statement [updated]
Friday’s stunning announcement from the EU Commission below:
The European Commission has opened two antitrust investigations concerning the Credit Default Swaps market. CDS are financial instruments meant to protect investors in the event a company or State they have invested in default on their payments.
Italian sub debt differenza
So what’s up with Banco Popolare and Monte Dei Paschi Di Siena?
We ask, because credit default swaps on these two Italian banks’ subordinated debt have recently rocketed off from their peers.
Here’s a chart we’ve made courtesy of Markit data:
Credit default swaps on the wane, for now
Some proof of hedging following the Dodd-Frank sledging.
Bloomberg reported an interesting CDS tidbit this morning:
Trading in credit-default swaps, Wall Street’s fastest-growing business before the credit crisis,
Fitch on how sovereign CDS helps fund deficits
Memo to financial regulators who want to ban or limit CDS:
Fitch Solutions finds that the liquidity of a sovereign’s credit default swap (CDS) is highly correlated with the level of the underlying bond yield.
Guest post: what colour is your credit event?
Markit credit analyst Lisa Pollack explores the intricacies of CDS credit events
Before the “Big Bang” in the credit default swap (CDS) market in the spring of 2009, if you thought a credit event had occurred,
Refilling the punchbowl
Here’s a post-crisis financial milestone to ponder on Wednesday, courtesy of some fresh data on banking activity from the Bank for International Settlements.
As the BIS comments (emphasis ours):
Fiscal anxiety crosses the pond
Here is an arresting graphic (click to enlarge):
The Bloomberg chart above shows the 5-year CDS for California, Illinois and New York, bond insurer Dexia added for context.
This chart is being circulated in the wake of a piece in Tuesday’s FT which focused on increased investor concern about rising local government debt in the US:
CDS splash damage, with Fitch
CDS markets are looking up lately — well, if you’re an emerging sovereign:
The chart above is from Fitch’s latest CDS liquidity report, covering the market up to June 4 2010. Fitch has a funny way of measuring this liquidity — remember that scores go up as liquidity goes down — which indicates credit default risk is rising.
CDS liquidity update: Focus on European sovereigns
Markit’s Gavan Nolan wrote this piece
Liquidity has been one of the most important but least understood topics during the turbulence of the last three years. From the genesis of the credit crunch in the summer of 2007,
‘Germany’s restrictive measures are liable to hinder European growth’
EDHEC-Risk, a unit of the France-based business school, on Thursday released a withering criticism of Germany’s unilateral ban on naked short selling of eurozone debt.
We quote:
DHEC-Risk Institute considers that the unilateral measures taken by Chancellor Merkel on the sovereign debt markets,
France fights back on BaFin ban
Germany’s midnight move to ban naked shorting hasn’t quite led to an outbreak of European unity, it’s safe to say — with France lining up to attack first.
As Reuters reports, French economy minister Christine Lagarde is none too happy:
Should CDS markets be more skeptical about European banks?
Moody’s Market Implied Ratings group — not the be confused with the ratings division — last week published some research into the reaction (or lack thereof) of the CDS investors to European banks’ “likely exposures to Greek obligations.”
Some tightening for the weekend
It seems CDS players are happy not to hold positions open through to Monday.
Prices from Markit:
As Markit analyst Otis Casey explained the tightening, “This is largely technical driven with profit taking and people liquidating positions before the weekend. Goldman Sachs COO Gary Cohn declined to comment regarding the status of any settlement talks with the SEC.”
CDS wrap: Carnage
Carnage. We’ve become inured to days of extreme volatility in the credit markets but today was extraordinary even by recent standards. The Markit iTraxx Europe index was trading at 146bp, an astonishing 26bp daily move.
Debt markets to UK politicians: go hang
And the winner of Thursday’s second British prime ministerial debate was… er, pass.
At least we’re getting clearer on who isn’t losing from poll indications that the May 6 election will produce a hung parliament*:
The derivatives ding-dong waiting in the Dodd bill
Looks like the flagship of US financial reform won’t have plain sailing after all.
Tuesday brought an odd bit of shadow-boxing over where to park derivatives trading in the post-Lehman age. Something to watch,
The year so far in sovereign CDS: a non-hysterical view
Shock, horror — credit default swap dealers haven’t liked the whiff of grapeshot from recent proposals to ban their market, not one bit, and they’ve been trading accordingly.
As Barclays Capital analysts observe in a note on Thursday updating on a previous calm take on CDS,
The men who short-sold the world
Well, not quite. But shorting specialists Data Explorers did come up trumps on Monday with a report which took a global perspective on the last twelve months’ short and long positions.
According to Data Explorers,
It’s official: Ambac’s CDS triggered
It’s the event Ambac thought would never, ever come:
The International Swaps and Derivatives Association, Inc. (ISDA) announced that its Americas Credit Derivatives Determinations Committee resolved that a bankruptcy credit event has occurred in respect of Ambac Assurance Corporation,
Greece and the markets, post-bailout plan
It’s not a bailout — honest, according to the European leaders who reached an accord on Thursday over a ‘financing plan’ to help Greece, in case it can’t raise funds through the market in the near future.