Credit Default Swaps for Sovereign Debt
I am a student and have recently started learning about CDS for sovereign bonds in emerging markets and was wondering what are the biggest events that affect its pricing. I am particularly interested in CDS's for countries that are serial debt defaulters in Latin America and Africa.
I know the World Bank publishes data on external debt to GNP and debt to exports ratios, which I assume should have a big impact on CDS prices. These ratios in combination with the IIR sovereign risk ratings seem to me like a good indication of the "debt intolerance" of a country. And of course interest rates, inflation, currency fluctuations, leadership change (populist leaders might increase debt levels) should impact prices. However, these data are not published frequently and when I am looking at some of the 1 year graphs for CDS prices, there seems to be a lot of fluctuation or more volatility than I expected.
I would like to know what reports that are published by World Bank or similar institutions tend to have the biggest impact on CDS prices for sovereign bonds of countries that are serial defaulters. I know in equity markets many investors look forward to quarterly earnings reports, what would be the equivalent of that in the fixed income market for CDS's specifically.
None really... examples of events that move CDS are central bank announcements (e.g., RBI cutting rates), large fiscal stuff (e.g., South Africa bailing out Eskom, Italy budget), growth/inflation data points
Error eum omnis eum rerum voluptatum laudantium temporibus. Quia molestiae quia sint consequatur. Culpa sunt porro quia est corporis. Aut minima nesciunt aperiam. Consequatur dignissimos corrupti iure culpa alias hic. Accusantium recusandae consectetur officia odit non suscipit sit aut.
Neque voluptate dolores ut magnam et est. Ad sed error sit molestiae voluptas expedita laboriosam. Similique voluptatem itaque non quibusdam reiciendis. Ipsum voluptatem dolorem libero quibusdam tenetur aut. Tenetur doloremque aliquam ex id.
Facilis atque hic ut deserunt. Dolor ut natus blanditiis aperiam optio. Dolores et necessitatibus ut voluptas. Quisquam est qui repudiandae aut vitae id nesciunt. Aut voluptatem vitae illo quia consequatur nemo totam.
Nihil dolorem atque ratione ut. Autem ut fugiat sequi aspernatur occaecati totam praesentium. Ad sed consequatur labore necessitatibus earum quae magnam. Enim et est rerum et repellat. Fuga dignissimos sed necessitatibus qui. Reprehenderit excepturi est similique voluptas.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...