Wall Street Journal
June 24, 2011
The cost of insuring Greek sovereign debt against default using credit default swaps fell early Friday, amid signs European leaders are nearing a deal to support the debt-laden country.
Greece's five-year sovereign CDS were 0.75 percentage point tighter at 19.25/20.75 percentage points, according to one trader.
Portuguese, Spanish and Irish sovereign CDS were unchanged, while Italian five-year protection costs nudged 0.03 percentage point wider to 1.98/2.03.
CDS are derivatives that function like a default insurance contract for debt. A tightening of 0.01 percentage point in five-year CDS spreads equates to a $1,000 decrease in the annual cost of protecting $10 million of debt for five years.
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