Italian crisis reaffirms importance of ISDA basis

The spread volatility seen in recent days brings back memories of the 2010-2012 eurozone debt crisis. Whether they are fond recollections or not — many investors are no doubt scarred by the experience — in such febrile times observers from all asset classes reach for the CDS toolbox to try to gauge sovereign credit risk.

  • By GlobalCapital
  • 31 May 2018

Gavan Nolan, IHS Markit

Since the first eurozone crisis, however, there has been a significant change in how the CDS market operates. The ISDA 2014 definitions were introduced, and the resulting bifurcation in activity on sovereigns — as well as banks — means that spreads are quoted on ...

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