CDS dealers surprised by announcement of Ambac credit event

The decision by the International Swaps and Derivatives Association (Isda) to declare a default at monoline insurer Ambac Assurance Corporation (AAC) last Friday has surprised credit derivatives dealers. The dealers questioned the rationale for defining an apparent restructuring as a bankruptcy.

On March 26, Isda's Americas credit derivatives determinations committee resolved a bankruptcy credit event had occurred at AAC, the principal operating subsidiary of New York-based holding company Ambac

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