Greek default swaps soar to record high

Financial Times
May 9, 2011

The cost of insuring against a Greek debt default soared to a record high on Monday as investors worried about the prospect of a forced restructuring.

Yields on bonds issued by some “peripheral” eurozone nations, including those of Greece, Ireland, Portugal and Spain, also jumped.

Five-year Greek credit default swaps saw their biggest daily rise since the peak of the country’s debt crisis in May last year, surging by 122 basis points to 1,459bp.

Greek 10-year bond yields jumped 22bp to 15.72 per cent. Irish 10-year yields saw a similar rise to 10.57 per cent, while Portuguese 10-year yields leapt 11bp to 9.66 per cent.

“Worries about a debt restructuring have sent the cost to insure Greek debt to record highs. There is a lot of nervousness around Greece and events of the weekend – despite officials’ comments to the contrary – suggest a forced default may be more likely,” said Don Smith, economist at Icap.

More