Delphi Corp. and the Credit Derivatives Market (A)

Posted: 22 Jul 2009

See all articles by Stuart C. Gilson

Stuart C. Gilson

Harvard Business School - Finance Unit

Victoria Ivashina

Harvard University; National Bureau of Economic Research (NBER)

Sarah Abbott

Harvard Business School

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

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

Stuart C. Gilson (Contact Author)

Harvard Business School - Finance Unit ( email )

Boston, MA 02163
United States
(617) 495-6243 (Phone)
(617) 496-8443 (Fax)

Victoria Ivashina

Harvard University ( email )

Harvard Business School
Baker Library 233
Boston, MA 02163
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Sarah Abbott

Harvard Business School ( email )

Soldiers Field Road
Morgan 270C
Boston, MA 02163
United States

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