lorenzo63
Age quod Agis
Bravo.
Sarebbero utili chessò.. anche un paio di linee aeree. AIR FRANCE e LUFTHANSA per es.... che casualmente ho in ptf
No. spiacente.
CDS e Ratings (Moody's, S&P's, Fitch) CDS, Ratings e variaz.di rating+indici mercato import. es: BDI: Baltic Dry Index etc (2 lettori)
- Creatore Discussione negusneg
- Data di Inizio
No. spiacente.
lorenzo63
Age quod Agis
Tail Risk in Sovereign CDS
Will the tail wag the dog again? Or, more specifically, will the rise of sovereign credit default swaps drive pricing in government bond markets? The Dubai shock has highlighted disconnects between the two markets. The traditional flight-to-safety bid led U.S. Treasurys and U.K. gilts to rally sharply. But the nature of the shock – a reminder that governments have balance-sheet constraints – pushed up the cost of insuring even high-quality sovereigns against default. That suggests a tension is being created that must be resolved at some point.
Take the U.K. Five-year government bond yields fell to 2.05% from 2.10% last week as the Dubai news broke. But at the same time, five-year credit default swaps on U.K. sovereign debt rose three basis points to 70 basis points. The newly introduced Markit SovX Western Europe index, a barometer of credit risk for 15 developed-economy sovereigns, similarly rose to 66 basis points, a record.
True, there are big differences between the two markets. Government bonds have a large long-term buy-and-hold investor base, while CDS market prices can be driven by very short-term flows. Cash bond prices contain information about interest-rate and inflation risk, while CDS are focused on credit risk.
But the history of credit derivatives suggests they can change market behavior and investor perceptions. The SovX index has made it far easier for investors to take a quick view on sovereign credit quality in a single trade. CDS trading volumes, while still small relative to government debt outstanding, are growing rapidly. This could generate greater momentum in CDS price moves that may then spill over into other markets, especially as market-making investment banks dominate trading in the credit derivatives market, and therefore may need to hedge positions in the underlying bonds.
The message, in particular for the U.K., where quantitative easing by the Bank of England has distorted pricing in the gilt market, is that investors spooked by Dubai's debt woes are newly concerned about tail risk – or the small chance of a systemic problem – and are seeking to hedge it. Indeed, the rally in what are traditionally seen as risky assets, such as equities and corporate bonds, may have led to complacency about tail risk, leading to it being underpriced. The CDS market may be looking to correct that – and government bond markets may ultimately be forced to follow.
Will the tail wag the dog again? Or, more specifically, will the rise of sovereign credit default swaps drive pricing in government bond markets? The Dubai shock has highlighted disconnects between the two markets. The traditional flight-to-safety bid led U.S. Treasurys and U.K. gilts to rally sharply. But the nature of the shock – a reminder that governments have balance-sheet constraints – pushed up the cost of insuring even high-quality sovereigns against default. That suggests a tension is being created that must be resolved at some point.
Take the U.K. Five-year government bond yields fell to 2.05% from 2.10% last week as the Dubai news broke. But at the same time, five-year credit default swaps on U.K. sovereign debt rose three basis points to 70 basis points. The newly introduced Markit SovX Western Europe index, a barometer of credit risk for 15 developed-economy sovereigns, similarly rose to 66 basis points, a record.
True, there are big differences between the two markets. Government bonds have a large long-term buy-and-hold investor base, while CDS market prices can be driven by very short-term flows. Cash bond prices contain information about interest-rate and inflation risk, while CDS are focused on credit risk.
But the history of credit derivatives suggests they can change market behavior and investor perceptions. The SovX index has made it far easier for investors to take a quick view on sovereign credit quality in a single trade. CDS trading volumes, while still small relative to government debt outstanding, are growing rapidly. This could generate greater momentum in CDS price moves that may then spill over into other markets, especially as market-making investment banks dominate trading in the credit derivatives market, and therefore may need to hedge positions in the underlying bonds.
The message, in particular for the U.K., where quantitative easing by the Bank of England has distorted pricing in the gilt market, is that investors spooked by Dubai's debt woes are newly concerned about tail risk – or the small chance of a systemic problem – and are seeking to hedge it. Indeed, the rally in what are traditionally seen as risky assets, such as equities and corporate bonds, may have led to complacency about tail risk, leading to it being underpriced. The CDS market may be looking to correct that – and government bond markets may ultimately be forced to follow.
negusneg
New Member
Un interessante test per le nuove procedure di liquidazione (settlement) dei CDS:
Thomson Default Swaps Triggered by Bankruptcy Event (Update3)
By Abigail Moses
Dec. 1 (Bloomberg) -- Credit-default swaps on $887 million of Thomson SA debt will be paid out after the Paris-based owner of film processor Technicolor Inc. was granted protection from creditors.
The settlement will cover all outstanding contracts on Thomson that weren’t resolved in auctions last month, according to the International Swaps & Derivatives Association. More than $1 billion of Thomson swaps were then settled as part of a restructuring event, resulting in losses for some investors who bought the contracts.
Thomson filed for creditor protection yesterday under French bankruptcy law as it seeks to reorganize $2.8 billion euros ($4.2 billion) of debt. Credit swaps settled in the restructuring process paid some holders 30 percent less than amounts awarded to other investors.
“This just confirms the previous auction was a poor result from the point of view of protection buyers,” said Michael Hampden-Turner, a credit strategist at Citigroup Inc. in London.
Thomson provided the first test of procedures designed to help meet regulators’ demands for more transparency after the meltdowns more than 14 months ago of Lehman Brothers Holdings Inc. and American International Group Inc., two of the largest traders of credit-default swaps.
Restructuring Event
The company caused a restructuring event in August when it said it deferred payments on $72.5 million of 6.05 percent private notes due this year.
Swaps can be triggered in Europe by bankruptcy, failure to pay or debt restructuring, under protocols governed by New York- based ISDA. Under a bankruptcy, contracts are automatically triggered, while in a reorganization investors choose whether to settle through a series of auctions based on expiration dates.
Thomson contracts can now be settled under the simpler bankruptcy method that produces one recovery value, after a vote by a committee of 15 dealers and investors that makes binding decisions for the market. Legal & General Group Plc was the only member to vote against the event, according to ISDA. Steve Leach, a spokesman for the London-based insurer, declined to comment.
“This will be a much cleaner settlement because you’re going to have one price, as opposed to a restructuring where you bucket the payouts by maturity,” said Brian Yelvington, head of fixed-income strategy at Knight Libertas LLC, a Greenwich, Connecticut-based broker-dealer.
The rules are being tested as the global default rate rises. The rate for companies ranked below investment-grade reached the highest since the Great Depression in October and will peak at 12.5 percent this month, Moody’s Investors Service said Nov. 5.
Derivatives
Credit-default swaps are derivatives, contracts with values derived from assets or events, including stocks, bonds, commodities, currencies, interest rates or the weather. Banks, hedge funds and insurance companies use the swaps to insure bonds and loans against default or to speculate on the creditworthiness of countries and companies.
Thomson will meet with its bankers on Dec. 21 and its bondholders on Dec. 22, before a shareholder meeting scheduled for Jan. 27.
Contracts protecting a net $887 million of Thomson’s debt were outstanding as of Nov. 20, Depository Trust & Clearing Corp. data show.
Thomson swaps were quoted at 29.5 percent upfront before the ruling, according to CMA DataVision. That means it cost 2.95 million euros in advance and 500,000 euros a year to protect 10 million euros of Thomson debt from default for five years. It implied a nearly 100 percent probability of default, assuming a recovery of 68 percent, CMA said.
Thomson’s 500 million euros of undated 5.75 percent junior subordinated bonds fell 3 cents on the euro to 7 cents, according to HSBC Holdings Plc prices on Bloomberg.
To contact the reporters on this story: Abigail Moses in London at [email protected]
Last Updated: December 1, 2009 12:18 EST
Thomson Default Swaps Triggered by Bankruptcy Event (Update3)
By Abigail Moses
Dec. 1 (Bloomberg) -- Credit-default swaps on $887 million of Thomson SA debt will be paid out after the Paris-based owner of film processor Technicolor Inc. was granted protection from creditors.
The settlement will cover all outstanding contracts on Thomson that weren’t resolved in auctions last month, according to the International Swaps & Derivatives Association. More than $1 billion of Thomson swaps were then settled as part of a restructuring event, resulting in losses for some investors who bought the contracts.
Thomson filed for creditor protection yesterday under French bankruptcy law as it seeks to reorganize $2.8 billion euros ($4.2 billion) of debt. Credit swaps settled in the restructuring process paid some holders 30 percent less than amounts awarded to other investors.
“This just confirms the previous auction was a poor result from the point of view of protection buyers,” said Michael Hampden-Turner, a credit strategist at Citigroup Inc. in London.
Thomson provided the first test of procedures designed to help meet regulators’ demands for more transparency after the meltdowns more than 14 months ago of Lehman Brothers Holdings Inc. and American International Group Inc., two of the largest traders of credit-default swaps.
Restructuring Event
The company caused a restructuring event in August when it said it deferred payments on $72.5 million of 6.05 percent private notes due this year.
Swaps can be triggered in Europe by bankruptcy, failure to pay or debt restructuring, under protocols governed by New York- based ISDA. Under a bankruptcy, contracts are automatically triggered, while in a reorganization investors choose whether to settle through a series of auctions based on expiration dates.
Thomson contracts can now be settled under the simpler bankruptcy method that produces one recovery value, after a vote by a committee of 15 dealers and investors that makes binding decisions for the market. Legal & General Group Plc was the only member to vote against the event, according to ISDA. Steve Leach, a spokesman for the London-based insurer, declined to comment.
“This will be a much cleaner settlement because you’re going to have one price, as opposed to a restructuring where you bucket the payouts by maturity,” said Brian Yelvington, head of fixed-income strategy at Knight Libertas LLC, a Greenwich, Connecticut-based broker-dealer.
The rules are being tested as the global default rate rises. The rate for companies ranked below investment-grade reached the highest since the Great Depression in October and will peak at 12.5 percent this month, Moody’s Investors Service said Nov. 5.
Derivatives
Credit-default swaps are derivatives, contracts with values derived from assets or events, including stocks, bonds, commodities, currencies, interest rates or the weather. Banks, hedge funds and insurance companies use the swaps to insure bonds and loans against default or to speculate on the creditworthiness of countries and companies.
Thomson will meet with its bankers on Dec. 21 and its bondholders on Dec. 22, before a shareholder meeting scheduled for Jan. 27.
Contracts protecting a net $887 million of Thomson’s debt were outstanding as of Nov. 20, Depository Trust & Clearing Corp. data show.
Thomson swaps were quoted at 29.5 percent upfront before the ruling, according to CMA DataVision. That means it cost 2.95 million euros in advance and 500,000 euros a year to protect 10 million euros of Thomson debt from default for five years. It implied a nearly 100 percent probability of default, assuming a recovery of 68 percent, CMA said.
Thomson’s 500 million euros of undated 5.75 percent junior subordinated bonds fell 3 cents on the euro to 7 cents, according to HSBC Holdings Plc prices on Bloomberg.
To contact the reporters on this story: Abigail Moses in London at [email protected]
Last Updated: December 1, 2009 12:18 EST
lorenzo63
Age quod Agis
The Other Steep Curve
For government bond traders, this year has been all about the steep yield curve, which has provided booming profits. Loose monetary policy has anchored short-dated yields and pushed long-dated yields higher as investors anticipate an economic recovery. But for some of the largest sovereign borrowers, this has been accompanied by a worrying steepening elsewhere: in their credit default swap curve. The lines between supposedly risk-free and risky debt are blurring.
For developed countries such as the U.S., U.K., France and Germany the concept of a CDS curve hardly existed two years ago: credit risk over five, seven or even 10 years was viewed as negligible. That has changed. The U.K. is the most egregious example: Two years ago, it cost $5,000 a year to insure $10 million of the country's debt against default for three years, and the same amount for a five-year contract. But now, it costs $70,000 a year to insure U.K. debt for five years, $18,000 more than it costs for three years.
These steeper sovereign credit curves now look more like those of corporations pre-crisis. By contrast, the curve shapes for large multinationals such as International Business Machines, BP and Siemens are little changed from two years ago; BP's has even flattened marginally. What's more, the cost of insuring BP's debt for five years is now $28,000 less than that of the U.K.
The prices and curves don't indicate concern about a default but reflect worries over relative credit quality. When this pricing anomaly first arose in 2008, it was regarded as a market distortion that would be removed over time. But it is proving durable. A model that maps CDS prices to implied Moody's ratings suggests that BP looks more like an Aaa credit, while the U.K.'s implied rating has moved between Aa1 and A3.
Occasionally, very high quality corporates can pay less to borrow than their governments. In 1984, IBM sold a $100 million bond in Europe at a yield more than one percentage point below the comparable U.S. Treasury. That may not be repeated. Governments may succeed in rebuilding their finances – with the U.K. clearly under the most pressure to do so. But the CDS market is warning of what might happen if they don't.
For government bond traders, this year has been all about the steep yield curve, which has provided booming profits. Loose monetary policy has anchored short-dated yields and pushed long-dated yields higher as investors anticipate an economic recovery. But for some of the largest sovereign borrowers, this has been accompanied by a worrying steepening elsewhere: in their credit default swap curve. The lines between supposedly risk-free and risky debt are blurring.
For developed countries such as the U.S., U.K., France and Germany the concept of a CDS curve hardly existed two years ago: credit risk over five, seven or even 10 years was viewed as negligible. That has changed. The U.K. is the most egregious example: Two years ago, it cost $5,000 a year to insure $10 million of the country's debt against default for three years, and the same amount for a five-year contract. But now, it costs $70,000 a year to insure U.K. debt for five years, $18,000 more than it costs for three years.
These steeper sovereign credit curves now look more like those of corporations pre-crisis. By contrast, the curve shapes for large multinationals such as International Business Machines, BP and Siemens are little changed from two years ago; BP's has even flattened marginally. What's more, the cost of insuring BP's debt for five years is now $28,000 less than that of the U.K.
The prices and curves don't indicate concern about a default but reflect worries over relative credit quality. When this pricing anomaly first arose in 2008, it was regarded as a market distortion that would be removed over time. But it is proving durable. A model that maps CDS prices to implied Moody's ratings suggests that BP looks more like an Aaa credit, while the U.K.'s implied rating has moved between Aa1 and A3.
Occasionally, very high quality corporates can pay less to borrow than their governments. In 1984, IBM sold a $100 million bond in Europe at a yield more than one percentage point below the comparable U.S. Treasury. That may not be repeated. Governments may succeed in rebuilding their finances – with the U.K. clearly under the most pressure to do so. But the CDS market is warning of what might happen if they don't.
Kylix
Forumer attivo
mago gambamerlo
Xx Phuket xX
venezuela cds
ho notato forte aumento Venezuela dal 28.11 al 04.12 ma diverso tra MPS Giontra e Lista di Lorenzo dove in MPS aumenta di 60 e in Lorenzo aumenta di 350 c.a ; quale e' giusto ? Ringrazio.
ho notato forte aumento Venezuela dal 28.11 al 04.12 ma diverso tra MPS Giontra e Lista di Lorenzo dove in MPS aumenta di 60 e in Lorenzo aumenta di 350 c.a ; quale e' giusto ? Ringrazio.
lorenzo63
Age quod Agis
Sono di BF che vengono presi a loro volta da Bloomberg ...
Giontra
Forumer storico
Qual'è quello giusto io non lo so.
Sotto vedi i cds Venezuela dei bai dei da ottobre.
Non so se chiariscono le idee oppure se le confondono
Fonte Deut.Bank
