Actuarial Outpost
 
Go Back   Actuarial Outpost > Actuarial Discussion Forum > Finance - Investments
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions


Fill in a brief DW Simpson Registration Form
to be contacted when new jobs meet your criteria.


Finance - Investments Sub-forum: Non-Actuarial Personal Finance/Investing

Reply
 
Thread Tools Search this Thread Display Modes
  #51  
Old 03-03-2012, 12:15 PM
WellThen WellThen is offline
Member
 
Join Date: Dec 2006
Posts: 2,356
Default

Quote:
Originally Posted by limabeanactuary View Post
I don't think that blog is owned by ISDA.

If it is, they need to get a bit more professional in their design/layout at the minimum.
It's linked on the Newsroom page:

http://www2.isda.org/newsroom/
Reply With Quote
  #52  
Old 03-07-2012, 01:06 PM
Irish Blues
Guest
 
Posts: n/a
Default

http://www.bloomberg.com/quote/GGGB1YR:IND

The 1-year Greek bond now yielding just over 1100%. If I have my math right [if it's not, please feel free to correct me] this implies that those bonds are worth about 8.3 cents on the dollar; I don't think this means "the expected recovery is 8.3 cents on the dollar" but I'm open to interpretation here - though once could probably argue they're being priced at the expected recovery at this point.

http://www.bloomberg.com/quote/GGGB10YR:IND

The 10-year bond is at just over 36.5%; again, if my math is correct, it would imply they're being priced at 4.45 cents on the dollar.
Reply With Quote
  #53  
Old 03-07-2012, 01:42 PM
campbell's Avatar
campbell campbell is offline
Mary Pat Campbell
SOA AAA
 
Join Date: Nov 2003
Location: NY
Studying for duolingo and coursera
Favorite beer: Murphy's Irish Stout
Posts: 84,215
Blog Entries: 6
Default

without comment

http://www.nytimes.com/2012/03/07/bu...1&ref=business

Quote:
Mitu Gulati, a charismatic law professor at Duke, and Lee C. Buchheit, the philosopher king of sovereign debt lawyers and a lead adviser to Greece on the deal, see themselves as sovereign debt taboo-busters. And they are not shy about pressing their views, as Mr. Gulati did with characteristic wit at a sovereign debt conference here last week.

Instead of presenting an arcane paper on debt guarantees, Mr. Gulati titillated his audience by calling for other heavily indebted countries in Europe to carry out their own Greek-style swaps, albeit with smaller haircuts for creditors because the other nations are not as deeply indebted as Athens is.
....

Mr. Gulati’s argument was fairly straightforward. Instead of repeated bailouts and a lost decade of austerity in Southern Europe, countries should at least soften the blow by cutting a deal directly with their creditors to reduce their debt loads.

Indeed, he argued, no time is better than now, with investors fearing that some other country — Portugal, in the eyes of many — will copy Greece’s move to unilaterally impose so-called collective action clauses that require even reluctant bondholders to go along with the majority on a deal.
.....
By any measure, Mr. Gulati and his longtime mentor, Mr. Buchheit, have become the most potent double act now playing on the sovereign debt circuit. It was their joint paper in May 2010 that first proposed a way for Greece to force investors who reject a deal to suffer the same loss as those who agreed.

Greece, which hired Mr. Buchheit and his team of lawyers last July, has followed this strategy to the letter. On Thursday night Greece will disclose what percentage of investors have agreed to the deal. It is widely expected that the collective action clause will be invoked to reach the official target of 95 percent participation.
__________________
It's STUMP

LinkedIn Profile
Reply With Quote
  #54  
Old 03-09-2012, 04:22 PM
campbell's Avatar
campbell campbell is offline
Mary Pat Campbell
SOA AAA
 
Join Date: Nov 2003
Location: NY
Studying for duolingo and coursera
Favorite beer: Murphy's Irish Stout
Posts: 84,215
Blog Entries: 6
Default

DUN DUN DUNNNNNNN

http://www.forbes.com/sites/afonteve...f-derivatives/

Quote:

UPDATE 2 (2:48 p.m.): ISDA has now declared that Greece’s restructuring does represent a default, meaning credit default swaps will trigger. Read the statement here.

Statement:
http://www.isda.org/dc/docs/EMEA_Det...t_09032012.pdf

Quote:
EMEA DC Statement
March 9, 2012

In light of today’s EMEA Determinations Committee (the EMEA DC) unanimous decision in respect of the
potential Credit Event question relating to The Hellenic Republic (DC Issue 2012030901), the EMEA DC
has agreed to publish the following statement:

The EMEA DC resolved that a Restructuring Credit Event has occurred under Section 4.7 of the ISDA 2003 Credit Derivatives Definitions (as amended by the July 2009 Supplement) (the 2003 Definitions) following the exercise by The Hellenic Republic of collective action clauses to amend the terms of Greek law governed bonds issued by The Hellenic Republic (the Affected Bonds) such that the right of all holders of the Affected Bonds to receive payments has been reduced.

The EMEA DC has resolved to hold an auction with respect to the settlement of standard credit default swaps for which The Hellenic Republic is the reference entity. To maximise the range of obligations that market participants may deliver in settlement of any such credit default swaps, the EMEA DC has agreed to run an expedited auction process such that the auction itself will take place on March 19, 2012. In light of this expedited auction process, market participants should submit any obligations that they would like to include on the list of deliverable obligations to ISDA as soon as possible.
__________________
It's STUMP

LinkedIn Profile

Last edited by campbell; 03-09-2012 at 04:39 PM..
Reply With Quote
  #55  
Old 03-09-2012, 04:41 PM
tommie frazier tommie frazier is offline
Member
 
Join Date: Aug 2003
Favorite beer: The kind with 2 e's
Posts: 22,871
Default

wait-i thought the whole "hey everyone, take a 50-70% haircut" game was to avoid triggering the default from ISDA.

does this signify that we have reached the "chaotic" level?
__________________
Removed a dated athletic reference under pressure from a friend. You can still give money to help fund research on neurofibromatosis (nf).

General info at www.ctf.org

Team donation page here.
Reply With Quote
  #56  
Old 03-09-2012, 04:52 PM
campbell's Avatar
campbell campbell is offline
Mary Pat Campbell
SOA AAA
 
Join Date: Nov 2003
Location: NY
Studying for duolingo and coursera
Favorite beer: Murphy's Irish Stout
Posts: 84,215
Blog Entries: 6
Default

I'm not sure that anything happens other than credit derivatives pay off.

to quote the Forbes piece I linked above:
Quote:
The net notional value of CDS outstanding [on Greek debt] is relatively small, around $3.2 billion. Barclays’ analysts considered the process to be “relatively uneventful” given how small the actual liabilities are. But they are missing the point. As the ISDA has made clear in the past, these products are in their infancy and are in a process of evolution. The Greek restructuring is a defining moment for CDS and other derivative products, giving the ISDA’s decision value in terms of precedence, much like a in a legal system based on jurisprudence. The net notional value of total CDS outstanding is $15.7 trillion according to DTCC, that’s larger than the U.S. economy.
__________________
It's STUMP

LinkedIn Profile
Reply With Quote
  #57  
Old 03-09-2012, 06:20 PM
solarcurve's Avatar
solarcurve solarcurve is offline
Member
CAS
 
Join Date: Jan 2012
Location: West Palm Beach, FL
College: FSU
Posts: 1,433
Default

everything is fine if Greece is a special case. If all the other PIIGS trigger CDS within a relatively short time period (3-5 years), there will be a very big problem. IIRC Spain has the most CDS outstanding of the group. France is also another big one.
Reply With Quote
  #58  
Old 03-10-2012, 06:30 PM
limabeanactuary's Avatar
limabeanactuary limabeanactuary is offline
Mary Pat Campbell
 
Join Date: Jan 2010
Studying for Anglo-Saxon
Favorite beer: Bass Ale
Posts: 14,142
Default

Quote:
Originally Posted by solarcurve View Post
everything is fine if Greece is a special case. If all the other PIIGS trigger CDS within a relatively short time period (3-5 years), there will be a very big problem. IIRC Spain has the most CDS outstanding of the group. France is also another big one.
I can see Spain defaulting (in reality) in a short time period. France, not as much.

Got any info on the second?

If you mean that various French financial institutions have a lot of exposure to the PI(B)IGs, then yeah, I agree with that.
__________________

Now offering online seminars, live seminars, and everything else under the sun and over the moon for actuarial exams.
Reply With Quote
  #59  
Old 03-11-2012, 11:26 AM
campbell's Avatar
campbell campbell is offline
Mary Pat Campbell
SOA AAA
 
Join Date: Nov 2003
Location: NY
Studying for duolingo and coursera
Favorite beer: Murphy's Irish Stout
Posts: 84,215
Blog Entries: 6
Default

http://dealbook.nytimes.com/2012/03/.../?ref=business

Quote:

Nearly $70 billion of swaps are currently outstanding on Greek debt. But after both sides settle their accounts, the amount that will need to be paid out should be no more than $3.2 billion.

The Greek default swap story has not quite ended, though. Next, an auction has to be held of the defaulted bonds to set a price at which the swaps will pay out. One question is what bonds will be used because most of the old Greek bonds will be replaced on Monday with new Greek bonds.

The swaps and derivatives association said Friday that there might still be old bonds available for the auction, and it added that the new bonds “might satisfy the requirements.” The organization has set the auction for March 19.

It is not the first time the organization has ruled that swaps tied to sovereign debt should pay out. In 2001, Argentina defaulted on its bonds, activating the swaps. Ecuador followed in 2008.
__________________
It's STUMP

LinkedIn Profile
Reply With Quote
  #60  
Old 03-12-2012, 06:02 PM
campbell's Avatar
campbell campbell is offline
Mary Pat Campbell
SOA AAA
 
Join Date: Nov 2003
Location: NY
Studying for duolingo and coursera
Favorite beer: Murphy's Irish Stout
Posts: 84,215
Blog Entries: 6
Default

http://online.wsj.com/article_email/...sj_share_email

Quote:
For two years the European Central Bank in particular has insisted that, at all costs, Greece avoid a "credit event" that would trigger the payment of credit default swaps on Greek debt. Jean-Claude Trichet, the former ECB chief, was especially vociferous in opposing anything that could be called a Greek default, fearing it would spread to Portugal, Spain and Italy. It turns out he was overwrought.

Preventing a Greek default was always unlikely after it disclosed how much it had disguised its real debt burden. But the attempt to do so was also counterproductive. The ECB's insistence on a "voluntary" restructuring greatly delayed the bond haircuts and made them less effective in reducing Greece's debt than it would have been earlier.

In the two years since the crisis started, some €150 billion of Greece's debt has come to be owned by public actors like the ECB, the EU or the International Monetary Fund—which are exempt from bond haircuts. So despite the steep 70% haircuts imposed on private borrowers, Greece's total debt has only declined by perhaps a third.

As of Friday, the net amount of CDS outstanding was only $3.2 billion, but even at its height the sums involved in Greece were never large enough to pose a systemic risk to Europe. An auction will be held later this month to determine how much holders of the CDS contracts will be paid, but the settlement process is expected to go smoothly. The participants in this private market know the rules and understand a process that has worked well in previous default episodes.
__________________
It's STUMP

LinkedIn Profile
Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 01:04 PM.


Powered by vBulletin®
Copyright ©2000 - 2018, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.33160 seconds with 10 queries