Blog

Our Experts Comment the Times Series

See All the Comments
rss

Big day, first day for the new ISDA 2014

22 September 2014 by pdonnat

Today we hadthe first CDS trading session with the new ISDA 2014 definitions. The main impact is a much improved adequacy of the CDS to hedge the sovereign's and the bank's risks. The market impact on financial senior CDS is limited but it is much more important on the subordinated CDS. Except this impact, the roll was a bull roll especially in Europe. The CDS widening is due to the maturity extension along the CDS curve, but only half of the extension has been reflected in the market prices.