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Isda body confirms Ambac Financial credit event
Wednesday, November 10, 2010
The Isda credit derivative determinations committee nodded through the bankruptcy of Ambac Financial Group yesterday, confirming that the filing represents a credit event for credit default swaps written on the credit. There is no word yet on whether a credit fixings auction will be held to settle the credit event. Although the Ambac parent company is less widely referenced than the “triple A” monoline operating vehicle, the name has been actively traded in the credit derivatives market.
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CFlux secondary
CLO index levels:
| Index | 21 May |
|
| CFlux USD AAA | ↑ | 96.2 |
| CFlux USD AA | ↑ |
88.3 |
| CFlux USD A | ↓ | 84.1 |
| CFlux USD BBB | ↓ | 75.3 |
| CFlux USD BB | ↓ |
74.1 |
| CFlux USD EQ | ↑ | 77.5 |
Not just the rating agencies but some self-declared structured credit experts didn't get it either. Ambac Financial Group was, in fact, never AAA.
No surprise to anyone that Ambac Financial went under. Along with Syncora and FGIC its another example of how the monolines moved into businesses they didn't understand and with antiquated approaches to capital and risk management. The rating agencies bear a great deal of culpability as they didn't get the joke either. It wasn't that long ago when AMBAC was AAA.