CDS historical data

5 Years Credit Default Swaps
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Last Update:
8 Dec 2024 2:45 GMT+0

A Credit Default Swap (CDS) is a financial derivative that allows an investor to "swap" or offset their credit risk with that of another investor. Essentially, a CDS is a form of insurance against the default of a borrower.

The buyer of a CDS makes periodic payments to the seller, and in return, receives a payoff if the underlying financial instrument, such as a bond or loan, defaults. This derivative is widely used by financial institutions to hedge against the risk of default and by speculators to bet on the creditworthiness of an entity.

The price or premium of a CDS is a direct indicator of the perceived risk of default by the reference entity. If the cost of a CDS increases, it signals that the market perceives a higher risk of default for the underlying asset. Conversely, a lower CDS premium suggests that the entity is considered less likely to default.

Therefore, CDS spreads are closely watched by investors and analysts as they provide real-time market sentiment on credit risk and financial stability.

CDS also play a significant role in the broader financial system by providing a mechanism for managing credit risk and enhancing liquidity in credit markets. However, they have also been criticized for their role in the financial crisis of 2008, as their misuse and the lack of transparency contributed to systemic risk. Despite this, CDS remain an important tool in modern finance, offering insights into credit risk and helping investors manage potential losses.

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Rating
5 Years Credit Default Swaps
Country S&P 5Y CDS Var 1m Var 6m PD (*) Date
Switzerland AAA 6.03 +0.50 % +0.17 % 0.10 % 8 Dec
Denmark AAA 8.82 +0.34 % n.a. 0.15 % 8 Dec
Australia AAA 10.08 -17.51 % -23.05 % 0.17 % 8 Dec
Sweden AAA 10.09 +8.38 % n.a. 0.17 % 8 Dec
Netherlands AAA 10.35 +8.72 % n.a. 0.17 % 8 Dec
Germany AAA 12.39 +22.19 % n.a. 0.21 % 8 Dec
Austria AA+ 14.65 +11.92 % n.a. 0.24 % 8 Dec
Ireland AA 16.10 -2.01 % n.a. 0.27 % 8 Dec
Finland AA+ 18.87 +6.37 % n.a. 0.31 % 8 Dec
Japan A+ 20.51 +0.98 % n.a. 0.34 % 8 Dec
United Kingdom AA 21.17 +10.90 % -10.68 % 0.35 % 7 Dec
Belgium AA 24.91 +23.13 % n.a. 0.42 % 8 Dec
Portugal A- 27.45 -1.01 % n.a. 0.46 % 8 Dec
United States AA+ 29.67 +1.51 % -19.55 % 0.49 % 8 Dec
Spain A- 33.78 +11.37 % -4.20 % 0.56 % 8 Dec
South Korea AA 35.58 +4.65 % +4.40 % 0.59 % 7 Dec
France AA- 36.95 +17.38 % +53.96 % 0.62 % 7 Dec
Canada AAA 39.60 0.00 % 0.00 % 0.66 % 7 Dec
Italy BBB 57.32 -6.52 % -7.23 % 0.96 % 8 Dec
Greece BBB- 58.80 -0.14 % -7.14 % 0.98 % 8 Dec
China A+ 62.67 +0.76 % n.a. 1.04 % 8 Dec
Indonesia BBB 71.87 +4.45 % n.a. 1.20 % 8 Dec
India BBB- 84.08 0.00 % -0.01 % 1.40 % 7 Dec
Israel A 106.96 -20.04 % -6.90 % 1.78 % 8 Dec
Mexico BBB 120.75 -1.59 % +12.93 % 2.01 % 8 Dec
Brazil BB 164.48 +6.06 % +13.93 % 2.74 % 8 Dec
South Africa BB- 179.93 -5.87 % -25.33 % 3.00 % 7 Dec
Turkey BB- 247.91 -2.94 % -4.08 % 4.13 % 8 Dec
Egypt B- 514.55 -7.26 % n.a. 8.58 % 8 Dec
Russia NR 13775.17 0.00 % 0.00 % 100.00 % 8 Dec
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.