Delphi Corp. and the Credit Derivatives Market (A)
Posted: 22 Jul 2009
Date Written: July 7, 2009
Abstract
In 2005 Jane Bauer-Martin, a hedge fund manager, is considering what she should do with the fund's large investment in the publicly traded bonds of Delphi Corp., a financially troubled auto parts supplier. Delphi is General Motor's key auto parts supplier, and, like GM, it is burdened with large pension and other retiree liabilities that threaten to push it into bankruptcy. Bauer-Martin is considering using various credit derivatives (credit default swaps, credit-linked notes, credit default swap indices, total return swaps, etc.) to hedge her position in Delphi debt, or to speculate on future Delphi bond prices.
Suggested Citation: Suggested Citation
Gilson, Stuart C. and Ivashina, Victoria and Abbott, Sarah, Delphi Corp. and the Credit Derivatives Market (A) (July 7, 2009). HBS Case No. 210-002, Harvard Business School Finance Unit, Available at SSRN: https://ssrn.com/abstract=1436427
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