CDS
CDS
Smurfit CDS Auction Yet Another Opportunity For Free Money
Submitted by Tyler Durden on 02/19/2009 20:49 -0500Smurfit Stone's CDS Auction concluded at 2pm today with a final clearing price of 8.875, a whole 100 bps over the Inside Market Midpoint of 7.875. Whoever got hit - congratulations as the bonds were bid 9.5 post auction, an 7% immediate pick up.
Smurfit Stone CDS Auction Mid Point Set At 7.875%
Submitted by Tyler Durden on 02/19/2009 18:04 -0500No major surprises in SSCC's ISDA CDS and LCDS auctions. Creditex has determined the inside market mid-point for CDS at 7.875% while the LCDS mid is 68.5. Both points are consistent with recent trading levels of 68-70 for the loans and 7.75 - 9 for the bonds.
Net sell interest into determination of the final price is $128.675 million for the bonds and $40 million for the loans.
Final auction results will be made available around 2 pm and we will give you the full lowdown.
USA CDS Hits All Time Wide Of 90 Bps
Submitted by Tyler Durden on 02/18/2009 20:08 -0500The cost to insure against a U.S. default hit an all time high of 90 bps today ($90k on $10 million in insurance). Again, who pays if it defaults?
The Negative Convexity Of CDS Trading And Why CDOs Chase Markets
Submitted by Tyler Durden on 02/18/2009 17:37 -0500Anyone who has ever traded CDS has noticed the self-fulfilling prophecy of accelerated widening or tightening on an initial move in single name spread. This phenomenon has stumped traditional cash credit investors who don't realize the peculiar technicalities of the CDS market. It is explained by dealer structured credit desks that tend to chase the market, meaning as spreads widen they buy CDS, and vice versa. Because of this, otherwise small moves in single names can lead to profound jumps in spread.
How does it work:
Biggest Prior Day CDS Movers
Submitted by Tyler Durden on 02/18/2009 14:24 -0500Japanese corporate CDS forming a line at the woodshed. G7 risk bloodbath continues
Latest DTCC CDS Update (Week of Feb 13)
Submitted by Tyler Durden on 02/18/2009 01:43 -0500Last week's derisking continued, however at a more moderate pace, with $83 billion of net notional increase in CDS versus $138 billion last week. Only the healthcare and industrials sectors saw a rerisking, with industrials due for a substantial technical push wider after 2 weeks of rerisking.
California CDS Cheap As State Likely To Default
Submitted by Tyler Durden on 02/17/2009 14:42 -0500California seems poised for imminent financial collapse and it is anyone's guess how far the impact of a state default could propagate. California CDS offered at 355 seem cheap, especially when one considers that the one year default prob per the spread is 17.7% at a 80% recovery rate and drops to 9% if one assumes 60% recovery. Of course the question is whether the federal govt will bail out Cali, and just how an event of default will be defined for General Obligation securities, although all signs point to a test very soon in the future.
Biggest CDS Movers: Friday 13
Submitted by Tyler Durden on 02/16/2009 17:22 -0500Large scale under the radar derisking occuring in Japan.
In G-7 risk, virtually everything wider
Biggest Prior Day CDS Movers
Submitted by Tyler Durden on 02/13/2009 14:28 -0500The pounding of Conti AG and Eastern Europe continues. Homebuilders join the fray as the entire sector closed much wider. In the positive category, Rio Tinto shorts get burned, as well as holders of CDS of perennial deathwatch candidate New York Times.
Biggest Prior Day CDS Movers
Submitted by Tyler Durden on 02/13/2009 14:28 -0500The pounding of Conti AG and Eastern Europe continues. Homebuilders join the fray as the entire sector closed much wider. In the positive category, Rio Tinto shorts get burned, as well as holders of CDS of perennial deathwatch candidate New York Times.
Biggest Prior Day CDS Movers
Submitted by Tyler Durden on 02/12/2009 14:42 -0500In the corporate realm it is good to see investors heeded our advice about the increasing default risk at Continental.
Biggest Prior Day CDS Movers
Submitted by Tyler Durden on 02/12/2009 14:42 -0500In the corporate realm it is good to see investors heeded our advice about the increasing default risk at Continental.
Latest DTCC CDS Update (Week Of Feb 6)
Submitted by Tyler Durden on 02/11/2009 00:12 -0500The credit market was one step ahead of equities yet again, and correctly anticipated the market shakedown of this week, as accounts actively bought protection on a net basis in most sectors. Derisking was rampant with the net notional change week-over-week was $138 billion or an increase in 11,585 single-name CDS contracts. Rerisking occurred only in utilities, by $34 billion, and in industrials, by $12 billion.
Latest DTCC CDS Update (Week Of Feb 6)
Submitted by Tyler Durden on 02/11/2009 00:12 -0500The credit market was one step ahead of equities yet again, and correctly anticipated the market shakedown of this week, as accounts actively bought protection on a net basis in most sectors. Derisking was rampant with the net notional change week-over-week was $138 billion or an increase in 11,585 single-name CDS contracts. Rerisking occurred only in utilities, by $34 billion, and in industrials, by $12 billion.
Nortel ISDA CDS Auction Presents 15% One Day Return; Is UBS In Serious Trouble?
Submitted by Tyler Durden on 02/10/2009 20:20 -0500As we wrote extensively two weeks ago when discussed the ISDA CDS dutch settlement auction, we came to the conclusion that it presents a terrific one-time arbitrage opportunity due to the fundamentals-to-liquidity disconnect in the valuation of a given defaulted security (much more in linked article).
