The eurozone sovereign debt crisis has focused the minds of structured products investors on counterparty risk. Concerns about the size of sovereign debt holdings, as well as access to US dollar funding, has pushed the credit default swap (CDS) spreads on European banks to recent highs.
French banks have been particularly hard hit, with the cost of five-year CDS protection on BNP Paribas, Crédit Agricole and Société Générale rising to 304 basis points, 326bp and 423bp, respectively, on September
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