Credit markets
CDS spreads widen in market turmoil
The cost of credit protection on European banks climbed in early trading today as stock markets across Europe and Asia tumbled.
UK bank CDS spreads tighten further
The cost of credit protection on UK banks fell further in early trading today following the unveiling of a £50 billion government rescue plan on Wednesday, but US markets remained unstable.
Kaupthing becomes latest Icelandic bank to default
The nationalisation of Iceland’s largest bank Kaupthing on Thursday constitutes a technical credit event, the International Swaps and Derivatives Association has confirmed.
Ted spread continues to climb
The Ted spread, which is used to measure perceived counterparty risk by tracking the disparity between three-month Libor rates and US Treasury bills, broke yesterday’s record high by 0.10%.
Russian liquidity boost on hold
A proposed $37 billion (950 billion RUB) liquidity injection for Russia’s biggest banks stalled in parliament yesterday, adding to Moscow’s financial troubles.
Icelandic banks in default
The International Swaps and Derivatives Association on Wednesday confirmed that the Icelandic government’s takeover of Landsbanki on October 7 and its acquisition of a 75% stake in Glitnir Bank on September 29 constitute technical credit events.
UK bank CDS spreads tighten on bailout news
The cost of credit protection on UK banks fell in early trading on Wednesday following the unveiling of a £50 billion recapitalisation plan by the UK government.
CME and Citadel plan CDS exchange
Chicago-based exchange operator CME Group and hedge fund management firm Citadel Investment Group are set to launch a fully integrated trading and clearing platform for credit default swaps (CDSs).
"Fear index" hits high as Ted spread breaks 4%
The Ted spread, which tracks the difference between three-month Libor and US Treasury bills, hit yet another all time high today, reaching 4.03% at 1400 BST.
TriOptima reconciling 50% of collateralised OTC derivatives
Swedish technology company TriOptima’s portfolio reconciliation service, TriResolve, now reconciles more than 50% of all collateralised over-the-counter (OTC) derivatives transactions globally, up from 40% in June.
Fed to treble lending
The Federal Reserve increased its Term Auction Facility (TAF) auctions by $300 billion on Monday, and expects its lending to reach $900 billion by November; three times the amount of liquidity provision given to date.
Auction determines settlement price for Fannie and Freddie
An auction to determine settlement prices on credit derivatives referencing Fannie Mae and Freddie Mac took place yesterday, making it by far the largest credit event fixing to have taken place since the process was first introduced in 2005.
Fannie and Freddie auctions raise questions about CDSs
The settlement prices on credit default swaps (CDSs) linked to Fannie Mae and Freddie Mac, determined at an auction yesterday, were heavily influenced by technical factors and raise questions about the efficacy of credit derivatives as a hedge, claim…
Overnight Libor rockets
Overnight Libor shot up today as a tumultuous morning dented confidence in the interbank lending markets.
Icelandic bank CDSs the riskiest in Europe
Fears over the future of Icelandic bank Glitnir grew yesterday despite a €600 million government intervention. Five year credit default swap (CDS) spreads on the bank reached 4620.5 basis points by close of trading, the highest of any European financial…
German trade body publishes CDS to increase transparency
Deutscher Derivate Verband (DDV), the German derivative association, today began publishing credit spreads of certificate issuers in Germany on its website, alongside standard credit ratings. The DDV will now publish five-year credit default swaps (CDS)…
Ted spread hits new high
The Ted spread, which tracks the difference between three-month Libor and US Treasury bills, continued to smash previous records as it hit an all time high of 3.93% at 1300 London time today.
CDS spreads on US banks tighten
Credit default swap (CDS) spreads on several US and European institutions tightened by close of trading on Friday as the impending bailout bill and a number of government initiatives restored confidence in the markets.
LCDX index roll postponed indefinitely
London-based data provider Markit is postponing the roll of its LCDX index of 100 North American loan credit default swaps (LCDSs) until negotiations for a new single-name US LCDS contract are finished.
CDS spreads on Icelandic banks hit new highs
The injection on Monday of €600 million from the Icelandic government to acquire 75% of Glitnir Bank has done nothing to ease fears over the bank’s future. Glitnir’s five-year credit default swap (CDS) spreads are now the highest of any European bank,…
"Fear gauge" at record high in interbank lending market
The TED spread, which tracks the difference between three-month Libor and US Treasury bills, hit a new high today - 3.81%, the widest level since records began in 1984.
Bank of England extends eligible collateral for repo facility
The Bank of England (BoE) on Friday extended the range of collateral eligible for its weekly sterling three-month repo facility to include AAA-rated asset backed securities (ABSs) of corporate and consumer loans and highly rated asset-backed commercial…
CDS spreads widen despite bailout approval
Credit default swaps (CDSs) on a number of major dealers widened yesterday in spite of the US Senate vote on a revised $700 billion financial rescue plan.