Isda credit auction sets 20% Ambac recovery rate

auction-room — Isda credit event auction

Peter Madigan
07 Jun 2010

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Obligations deliverable on credit default swap (CDS) contracts referencing monoline insurer Ambac Assurance Corp (AAC) have been determined to be worth just 20% of their par value by the latest International Swaps and Derivatives Association credit event auction.

Isda’s Americas credit derivatives determinations committee set the recovery rate for AAC bonds at just a fifth of their notional value. The 20 cents on the dollar valuation will be unwelcome news for credit protection sellers who will

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