Wednesday, July 27, 2011
ISDA on Treasury CDS: Three Day Grace Period for Treasury Interest Payments
According to a Reuters report, Steven Kennedy, ISDA's global head of communications in the New York office, said that the U.S. Treasury would have a three day grace period to make missed interest payments without causing a credit event triggering credit default swaps on Treasury securities. He indicated that this grace period is in the underlying CDS documents.
The ISDA website makes no mention of this, at least that I could find. It does link to the Bloomberg Television interview with David Geen, General Counsel of ISDA, during which he makes no mention of a grace period. (The YouTube link here seems to work better than the Washington Post link to the interview on the ISDA site.) I would think that ISDA would want to clarify this issue on its website rather than rely on news articles.