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Muni Recovery Rate Change Could Lead To Arb

Differences in recovery rates between old and new U.S. municipal credit default swap contracts, where the old rates are implied and the new rates are fixed in the contract, could lead to arbitrage should two firms disagree on the implied rate of recovery in the event of a default.

  • 10 Apr 2012

Differences in recovery rates between old and new U.S. municipal credit default swap contracts, where the old rates are implied and the new rates are fixed in the contract, could lead to arbitrage should two firms disagree on the implied rate of recovery in the event of a ...

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Bond Comments

All International Bonds

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1 Citi 344,234.82 1335 8.11%
2 JPMorgan 339,975.37 1458 8.01%
3 Bank of America Merrill Lynch 303,833.99 1046 7.15%
4 Barclays 256,068.68 961 6.03%
5 Goldman Sachs 226,910.60 765 5.34%

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1 BNP Paribas 46,845.71 193 6.57%
2 JPMorgan 45,135.56 102 6.33%
3 UniCredit 38,938.98 167 5.46%
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5 SG Corporate & Investment Banking 35,514.25 137 4.98%

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1 JPMorgan 14,088.48 62 8.97%
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3 Citi 9,948.21 58 6.34%
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5 UBS 8,391.04 36 5.34%