Quarterly Review

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BIS Quarterly Review, March 2005
Contractual terms and CDS pricing

5 April 2005

Contractual terms related to the definition of trigger events and deliverable obligations on single-name CDSs are priced into CDS spreads. Pricing of the differences in contract terms appears to have generally converged over time, although there still seems to be evidence of a degree of regional fragmentation.

JEL classification: G12, G13.

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