CDS: Spreads widen again after run of tightening

Credit default swap 5-year mid-levels for structured products issuers

Banco Santander, S.A.

67.55

Bank of America Corp.

152.355

Barclays Bank Plc

94.02

BNP Paribas

47.61

Citigroup Inc

313.935

Commerzbank AG

95.145

Credit Agricole SA

80.925

Credit Suisse Group

68.54

Deutsche Bank AG

97.5

Goldman Sachs Group Inc

113.12

HSBC Bank PLC

59.515

ICICI Bank Limited

256.505

ING Bank NV

63.75

JP Morgan Chase & Co.

67.6

KBC Group NV

229.925

Mizuho Corporate Bank

74.33

Morgan Stanley

156.915

National Australia Bank

81.88

Nordea Bank AB

86.89

Royal Bank of Scotland Group Plc

131.475

Societe Generale SA

77.38

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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