Google CDS => AAA
5 year CDS starts life at 19bps (via cmadatavision)
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Recent Entries - Greek Government Bond Market
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- Google CDS => AAA
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- Withdrawal and Expulsion from the EU and EMU: Some Reflections
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- Summary of a Workshop on Recent Advances in Modelling Systemic Risk Using Network Analysis
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- The Mechanics of a Graceful Exit: Interest on Reserves and Segmentation in the Federal Funds Market
- [Update] Why Are Banks Holding So Many Excess Reserves?
- Basel Committee: Consultative Proposals to Strengthen the Resilience of the Banking Sector
- The World’s Riskiest Sovereign Debt (Update)
- The World’s Safest Sovereign Debt (Update)
- Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk
- Sovereign and Bank Credit Risk Premia during 2008-09
- Macro Stress Tests and Crises: What Can We Learn?
- Dollar Appreciation in 2008: Safe Haven, Carry Trades, Dollar Shortage and Overhedging
- Interbank Offered Rate: Effects of the Financial Crisis on the Information Content of the Fixing
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Blogs Le blog d'éconoclaste
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The Aleph Blog
Redacted Version of the March 2010 FOMC Statement
January 2010 March 2010 Comments Information received since the Federal Open Market Committee met in December suggests that economic activity has continued to strengthen and that the deterioration in the ... [Link]
The Epicurean Dealmaker
Poachers Turned Gamekeepers
As the slow-motion train wreck which was Lehman Brothers unfolds once more before our eyes, if not in the pages of our mainstream media—who continue to proclaim against all available ... [Link]
A Dash of Insight
ETF Update: Groundhog Month
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Money Supply
A Fed dissent by any other name
What’s in a dissent? Quite a lot, potentially. Thomas Hoenig, the notoriously hawkish president of the Kansas City Federal Reserve Bank, had already disagreed at the last FOMC meeting on ... [Link]
contact
jck [at]
aleablog [dot] com
February 2nd, 2010 at 6:28 pm
How do you craft a CDS on a reference entity that has no debt on which to default? What types of obligations could they default on? OTC derivatives? Trade payables? I guess that would rule out physical settlement.
February 2nd, 2010 at 6:56 pm
Well I answered on twitter: a positive cds premium exists for any corp not expected to last eternally…(i.e hazard rate = 0 means corp will never die). so unless you think google will last forever there is a cds spread regardless of whether there is a deliverable bond *today*
meanwhile thx to the cds market, you can build yourself a synthetic google bond.
February 2nd, 2010 at 7:55 pm
jck,
I know this comment doesn’t deal with the original post, but has the ECB undertaken any form of quantitative easing? I know that there was always debate, but I can’t seem to find any record of sovereign debt purchases or asset-backed purchases or what have you from several google searches that I have run. Do you happen to know the answer? Thanks in advance for your help, and thanks for such an awesome and wonkish site!
-Joe Hill
February 2nd, 2010 at 8:03 pm
The ecb has a small buy program of so-called covered bonds. so far they bought 32 bn euros (in 6 months) with an eventual target of buying up to 60 bn euros.
February 2nd, 2010 at 8:09 pm
jck,
Thanks so much!
-Joe Hill