Contractual terms and CDS pricing

BIS Quarterly Review  | 
07 March 2005
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 |  12 pages

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.