Derivs - Credit

Premiums for five-year credit default swaps on Lehman Brothers took a rollercoaster ride today—hitting as wide as 800 basis points earlier today, according to Courtney McAllister, a CDS trader at BNP Paribas in New York, before settling at 500 bps.

Large-scale downgrades of collateralized debt obligations referencing government sponsored enterprises Fannie Mae and Freddie Mac are unlikely, according to analysts at Fitch Ratings and Standard & Poor’s.

Market participants are increasingly looking to uniform settlement agreements to trigger settlement processes for single-name credit default swaps.

BNP Paribas Asset Management is fine tuning a synthetic collateralized debt obligation it expects to launch before year-end.

The International Swaps and Derivatives Association is hosting a conference call this morning among 10-15 banks and brokers and it will likely lead to dealers getting the option to terminate derivatives linked to Fannie Mae and Freddie Mac.

The International Swaps and Derivatives Association’s decision to hold an auction to determine the settlement price of credit default swaps referencing rescued mortgage lenders Fannie Mae and Freddie Mac could spark big losses for protection buyers.

The U.S. government’s decision to bail out mortgage providers Fannie Mae and Freddie Mac pushed spreads on European credit default swaps tighter this morning.

The new loan-only credit default swap awaiting approval from the International Swaps and Derivatives Association will not have a cancellation feature.

Creditex and Markit are poised to launch their so-called trade compression platform, which went live in the U.S. last week, in Europe.

Chetankumar Shah, head of credit trading for Asia ex-Japan at Deutsche Bank in Singapore, may be set to join former colleague Rajeev Misra, who is establishing a credit derivative hedge fund in London.

Credit events at monoline financial guarantors have the market buzzing about how well the mechanisms for settling credit default swaps referencing monolines will hold up.

Credit default swaps on Scandinavian Airlines System are trading at an industry-wide of 670 basis points as of this morning.