Sovereigns

Analyzing the Impact of European Sovereigns’ Collateral Policies

The Association for Financial Markets in Europe (AFME), the International Capital Market Association (ICMA) and the International Swaps and Derivatives Association, Inc. (ISDA) today announced the publication of a paper titled The Impact of Derivative Collateral Policies of European Sovereigns and Resulting Basel III Capital Issues.

CMA today released its Global Sovereign Debt Credit Risk Report for the 3rd Quarter of 2011, in which it names the top ten most and least risky sovereigns as well as the best and worst performers. 

In an extremely volatile quarter, the credit markets saw a significant rise in the cost of protection across all regions. The market responded to downgrades by rating agencies in the US, Japan and Italy, a slow down of growth in China and Eurozone debt concerns affecting the broader region. Key highlights include: 

The International Swaps and Derivatives Association, Inc. (ISDA) today issued the following statement regarding credit default swaps (CDS) on sovereign reference entities.

Fitch Solutions, a division of the Fitch Group, says CDS market concerns on the prospects for developed market sovereigns have eased in the past two weeks, mainly driven by the announcement of Greece's revised austerity package on 3 March.