[閒聊] 與CDS有關的時事新聞(Citi and Bear Stern's CDSspread)

[dragontwo (Be A Man !)]

Citigroup, Bank Credit Swaps Rise on Subprime Concern (Update2)

By Shannon D. Harrington

 Nov. 20 (Bloomberg) -- The risk that banks and brokerages from Citigroup
Inc. to Bear Stearns Cos. will default on their debt is accelerating as
analysts increase their estimates of losses from subprime mortgages,
credit-default swaps show.

Contracts on New York-based Citigroup, the largest U.S. bank by assets, rose
12 basis points to 91 basis points yesterday, according to broker Phoenix
Partners Group, setting a record for the sixth time this month. Contracts on
New York- based Bear Stearns climbed 23 basis points to 173 basis points,
about a six-year high. A rise signals investors are less confident in a
company's creditworthiness.

The increases are the biggest in two weeks as more analysts predict that
writedowns by banks and securities firms, already $50 billion worldwide, will
continue to grow. Goldman Sachs Group Inc. estimates Citigroup's losses will
expand to $15 billion in the next two quarters and CreditSights Inc. analysts
said UBS AG, Europe's largest bank by assets, may have lost as much as $9
billion on collateralized debt obligations.

``There's still a lot more uncertainty to come,'' said Tim Backshall, chief
strategist at Credit Derivatives Research LLC in Walnut Creek, California.
``We understand the risks now, but we don't know how to measure them yet.''

European Debt

In Europe today, credit-default swaps on WestLB AG, the third-biggest German
state-owned bank, rose 9.5 basis points to 86.5, according to CMA Datavision.
The Dusseldorf-based lender said last week it will post a loss because of
``substantial'' drops in the value of debt securities it holds.

Contracts on Landsbanki Islands hf, Iceland's second- largest bank by market
value, rose 15 basis points to 135, CMA said. Credit-default swaps on HBOS
Plc, the U.K.'s biggest mortgage lender rose 4 basis points to 75.5 and
contracts on Banco Popolare Scrl, Italy's third-biggest bank by branches,
rose 3 basis points to 78.

Credit-default swaps are used to speculate on the ability of companies to
repay their debt. They pay buyers the face value of debt protected if the
borrower fails to meet payments. A basis point on a credit-default swap
contract protecting $10 million of debt from default for five years is
equivalent to $1,000 a year.


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推 kch:應該說很正常吧，對銀行來說，一小部分保險，一大部分都在投機
推 kch:加上風險分散本來就不足，課本上reference asset多元化是唬爛
推 kch:因為都是同類型的爛債，基本上分散不了甚麼風險，反而cross
推 kch:acceleration和default機會更高。
→ dragontwo:對呀,有些銀行投機做不小,像NorthernRock最近要被併了~
→ dragontwo:但也是有保守的銀行一直都犧牲部份獲利去做避險,這波次
→ dragontwo:貸風暴,因為有做避險還過得好好的~
→ dragontwo:我沒說花旗不好喔~ XD~