Credit Default Swap (CDS)
BoE paper maps contagion via CDS market
Declining creditworthiness can spill from one bank to another
Big eurozone economies dragged each other down during eurozone crisis
Sovereign CDS in Spain and Italy showed ‘notable co-dependence' in 2009–12 and also explained much of the widening in Germany's spreads, IMF paper says
ECB paper proposes model for assessing European sovereign and bank spillovers
Working paper uses VAR model to quantify interdependencies between bank and sovereign CDS spreads
Bundesbank paper quantifies ‘considerable’ risk spillovers
Researchers design new methodology for measuring systemic risk and contagion effects, finding spillovers are significant but vary from region to region
Chile paper investigates CDS and sovereign bond transmission channel
Central Bank of Chile research studies the impact of widening CDS spreads on the sovereign bond market; finds different reactions among ‘normal' and ‘safe-haven' countries
Italian paper evaluates stressed CDS pricing
Study by the Bank of Italy considers the performance of credit default swap pricing models under highly volatile conditions
IMF paper studies emerging market debt restructuring
Policy paper reviews causes and consequences of emerging market sovereign debt restructurings; identifies certain elements that can make process less painful
JP Morgan loss was bungled attempt to cut Basel III RWAs, says Dimon
Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex
Norges Bank working paper studies sovereign risk contagion
Norges Bank working paper researches sovereign risk contagion using CDS spreads in major euro area countries
IMF readies €28bn in support of Greece
International Monetary Fund managing director Christine Lagarde plans to get funds approved this week; Isda rules debt restructuring a ‘credit event’
New CRD IV draft exempts sovereign trades from CVA capital charge
The latest council draft adds a CVA capital charge exemption for sovereign derivatives transactions – potentially removing one of the big unintended consequences of CRD IV, participants say
Germany highly exposed to US and European contagion effects, says Buba paper
Bundesbank study finds strong contagious effects from the US and Europe, but no effects from the Asia-Pacific region and emerging markets on the German financial system
Fiscal sustainability indicators have limited effect on CDS spreads, says IMF paper
Fund study shows sovereign credit default swap spreads are driven largely by short-term liquidity conditions and large-scale long-term bond purchases by major central banks
Liquidity provision focus for new international reform plan
New Centre for Economic Policy Research report puts forward reform plan; focuses on liquidity provision and calls for greater IMF powers
Greece may not opt for debt swap
Greek authorities say they will not agree to private-sector involvement unless 90% of eligible government bonds are included in transaction
Limitations of credit default swaps as predictor of default: BoC paper
Bank of Canada study says credit default swaps are unable to encompass all bank transactions when assessing default probability during crises
Chancellor calls UK bond market a ‘safe haven’
Chancellor of the exchequer George Osborne says decline in gilt yields and credit default swaps signal flight to safety of UK bonds
Basel III charge could spur interest in CCDS
Development of CCDS could be pushed ahead by Basel III CVA charge, suggest market participants
Portugal downgrade reignites sovereign debt fears
Moody’s downgrades Portugal’s credit rating four notches to junk status; decision sends shudders through European markets as contagion spreads across periphery
Greece debate grips European markets
Dutch finance minister Jan Kees de Jaager says private credit holders of Greek debt should bare 30% of losses on paper; Fitch says any exchange of distressed debt would constitute a default
Central bank liquidity would help CCPs in distressed situations: BIS paper
BIS weighs in on CCP central bank liquidity access debate