Credit markets
CDS: Spreads tighten on European banks
Credit default swap 5-year mid-levels for structured products issuers (Friday April 3)
European bank CDS spreads tighten further
Market sentiment remained bullish on European financials this morning, following a $1.1 trillion global economic stimulus package promised last week by the G-20 leaders.
CDS: Bank spreads narrow after Wednesday's widening
Credit default swap 5-year mid-levels for structured products issuers (Thursday April 2)
CDSs on European financials tighten after G-20
The cost of credit protection on European financial institutions fell this morning following the end of the Group of 20 leading economies (G-20) summit in London yesterday.
CDSs on European banks narrow as stock markets rally
The cost of credit protection on European banks began to fall this morning following data from the US showing the rate of decline in the US manufacturing sector is decelerating, coupled with reports of UK house prices rising for the first time since…
CDS: Spreads widen on both European and US financials
Credit default swap 5-year mid-levels for structured products issuers (Wednesday April 1)
Green shoots
Conference Report: Spain
Chasing the channel
AWD Chase de Vere
The credit trap
Cover Story
Saying hello to hedge funds
Hedge Funds
Auction held on CDSs referencing Station Casinos
An auction run by data vendor Markit and broker Creditex yesterday determined final settlement values for credit derivatives trades referencing Las Vegas-based casino operator Station Casinos.
CDO managers hamstrung by market constraints, says Fitch
The ability of firms managing synthetic collateralised debt obligations (CDOs) has been “dramatically reduced” because of deal constraints, spread widening and market illiquidity, according to London and New York-based credit ratings agency, Fitch…
Factor models for credit correlation
Stewart Inglis, Alex Lipton and Artur Sepp present an extension of the static factor model for pricing credit correlation products introduced by Lipton (2006) and detailed in Inglis & Lipton (2007)
CDS: US banks narrow while European financials widen
Credit default swap 5-year mid-levels for structured products issuers (Tuesday March 31)
CDSs on US banks widen on fears of auto bankruptcies
The cost of credit protection on US banks increased yesterday, following the Obama administration's warning that it would let the US auto industry slide into bankruptcy if necessary.
CDS: Spreads widen with BofA trading over 400bp, Citi over 600bp
Credit default swap 5-year mid-levels for structured products issuers (Monday March 30)
CDSs on European financials widen
As equity markets tumbled this morning amid fears the US government would not extend further aid to the auto industry, the cost of credit protection on European banks rose.
CDS: US banks continue to widen
Credit default swap 5-year mid-levels for structured products issuers (Friday March 27)
$9.2 billion derivatives losses for US banks in Q4
US commercial banks reported $9.2 billion in derivatives trading losses during the fourth quarter of 2008, bringing total trading losses in 2008 to $836 million, according to a quarterly report by the Office of the Comptroller of the Currency (OCC). This…