Argentina Default Swaps Volatility Sinks to Lowest in 15 Months
Price swings on contracts to insure Argentine debt against default is falling to a 15-month low.
The cost to protect $10 million of government bonds against non-payment for five years using credit-default swaps has plunged since October. Sixty-day volatility of the contracts is 45.9 percent, the lowest level since October 2012, according to data compiled by Bloomberg.
Bonds and default swaps were whipsawed last year after a district judge in New York issued a decision in November 2012 to block Argentina from paying interest on restructured debt unless holders of the nation’s defaulted bonds from 2001 were paid in full. While an appeals court upheld the lower court’s orders Aug. 23, they won’t be enforced until the U.S. Supreme Court decides whether or not to hear an appeal by Argentina, which may come as early as June or as late as 2016, according to Bank of America Corp.
At 1,723 basis points, Argentine credit default swaps are the most expensive in the world, according to data compiled by Bloomberg. The contracts traded as high as 4,195 basis points in April.
To contact the reporter on this story: Katia Porzecanski in New York atkporzecansk1@bloomberg.net
To contact the editor responsible for this story: Brendan Walsh at bwalsh8@bloomberg.net
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