Muni Recovery Rate Change Could Lead To Arb

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 default.

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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