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Sovereign credit default swaps

  • Frank Packer
  • Chamaree Suthiphongchai

This paper focuses on the sovereign segment of the credit default swap (CDS) market, examining data covering several years of quotes and trades from an important CDS inter-dealer broker. Compared to corporate or bank CDSs, sovereign CDSs are concentrated in fewer names and in contracts with reference assets of relatively short maturity, apparently a result of the fairly high proportion of low-rated sovereigns that tend to issue at short maturities. In addition, spreads on CDSs written on very low-rated sovereigns tend to be significantly wider than on those written on correspondingly low-rated corporates, consistent with the market being less sure about the consequences of sovereign default.

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Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2003)
Issue (Month): (December)
Pages:

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Handle: RePEc:bis:bisqtr:0312g
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