Default swap curves flatten for France Telecom and Fiat

While the narrowing of European credit default swaps spreads in recent months has left default premiums back at the similar levels to their tightest in 2002, one-year protection for volatile credits such as France Telecom have outperformed the rest of the curve – tightening around 400 basis points while five-year premiums have only tightened by about 100bp, Francis said in a research report released yesterday.

In the periods of extreme volatility seen in mid-2002, curve inversion across the one-

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