Interest Rate Roundup

Friday, December 08, 2006

Bloomberg: Mortgage bond derivatives get whacked

If you're looking for more color on the action in subprime mortgage bonds this week, check out this Bloomberg story. It points out that subprime mortgage bond derivatives are having their worst week of 2006. Specifically, "credit default swaps based on an index of bonds rated BBB- and consisting of sub-prime mortgages made this year fell 2.3%, to 95.50 today, according to Deutsche Bank AG ... DB calculates that the annual cost to protect against default on $10 million of 2006 BBB- mortgage bonds is up to $380,000 from $310,000."

There are lots of other stats in there worth chewing over, too, if you feel so inclined to read.


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