The price was right

With three of the biggest credit events in history - Fannie Mae, Freddie Mac and Lehman Brothers - occurring within a week of each other in September, the credit derivatives market faced its biggest-ever test. Auctions to establish cash settlement prices took place in October. How did the process go? By Duncan Wood

risk-081101-32-gif

Credit derivatives have been getting a bad name ever since the crisis kicked off for real in August 2007. As a result, all eyes were on the market during the second week of October, when auctions were held to work out the recovery values for bonds issued by Fannie Mae, Freddie Mac and Lehman Brothers - and therefore the amount an estimated $850 billion in outstanding credit default swaps (CDSs) would pay out.

Speaking before the October 6 auction for the two mortgage giants, Athanassios Diplas

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here