Greek CDS Payout Seen at $2.6 Bln

Credit-default swaps to settle at auction on March 19.

Greek bonds issued as part of the biggest ever sovereign debt restructuring signal sellers of default insurance will have to pay about $2.6 billion to holders of credit swaps.

Investors are using new Greek 30-year bonds that are trading at about 23 cents on the euro to calculate the payout, according to Teo Lasarte, a European credit strategist at Bank of America Merrill Lynch in London.

Basis Risk

Investors that held equal amounts of bonds and insurance may now have an imbalance after the exchange, creating a so-called basis risk, according to Hamid.

Page 1 of 2

Copyright 2016 Bloomberg. All rights reserved. This material may not be published, broadcast, rewritten, or redistributed.


Advertisement. Closing in 15 seconds.