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Dealers to settle FGIC swaps this week, says Markit
Monday, January 4, 2010
Dealers will take part in a credit event auction on Thursday (7 January) to settle credit default swap trades referencing Financial Guaranty Insurance Company, according to a Markit release today. Market recovery swap levels suggest that recovery on the name will be low, with credit derivative product company Primus – which has exposure to FGIC – recently predicting the result at around 12.5%.
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CFlux secondary
CLO index levels:
| Index | 6 Feb |
|
| CFlux USD AAA | ↑ | 94.9 |
| CFlux USD AA | ↓ | 81.3 |
| CFlux USD A | ↓ | 75.0 |
| CFlux USD BBB | ↑ | 74.8 |
| CFlux USD BB | ↑ |
72.1 |
| CFlux USD EQ | ↑ | 67.6 |
