Wednesday, November 30, 2011
RBS Pays $1.9 Million To Learn The Difference Between "Discount" And "Price"
Today's ISDA settlement auction process for the Dynegy CDS credit event offers some perspective on the smartest of the smart of our dealer community. Bloomberg notes that RBS was forced to pay a $1.9mm penalty for massively missing the inside bid-offer at the initial auction. In our humble opinion, it would appear that the CDS trading desk got their math wrong and posted a discount (1-R) instead of the Price they were willing to trade the deliverable bonds at. Their 29.5/31.5 bid/offer
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