Monday, October 29, 2007

Fairfax CDS Gains Demystified

Over the past few days, I have been posting about my expectations for huge gains in Fairfax's Credit Default Swap portfolio based on the terrible news the underlying companies have been reporting and the sharp drops in their stock prices. But the actual gains was still up for speculation because I could not find information on the actual credit default spreads for these companies. Well today, I received just that.
(Note: Current day refers to Oct. 26)

Spaced out by Oct'06- June'07- July'07- Sept'07- Current Day

Ambac 11- 47-152- 180-478

AIG 10- 13- 53- 32- 53

Countrywide 36- 67-136- 260-410

Freddie Mac 5- 9- 27- 17- 25

MBIA 22- 65-160- 132-302

MGIC 30- 70-206- 163-381

PMI 30- 45-106- 132-318

Radian 32- 72-216- 379-784

Washington Mutual 22- 41-82- 91- 154




The scale for the table and the chart use the last day of the month, and Fairfax's last CDS update was on July 31st. So if you compare the July '07 numbers with the current day numbers, you can get a sense for just how much some of these positions have appreciated.

9 comments:

mmospy said...

Hi, do you mind telling me what software this is?

Thanks!

Nnejad said...

This was shared with me by someone else so I am not sure, but it appears to be a Bloomberg product. If you look on the bottom of the chart it says "copyright 2007 Bloomberg L.P.".

Anonymous said...

It's the standard Bloomberg terminal. For anyone that has access to one, use function GCDS to pull this up.

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