Wild Moves in Credit Suisse’s Default Swaps Cap Bank’s Bad Day
- Credit default swaps jumped to an all-time high on Monday
- Moves came after attempts to reassure market added to turmoil
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Credit Suisse Group AG’s wretched day in the capital markets resulted in huge distortions in the price of credit derivatives protecting against a default by the Swiss lender.
The rush to hedge against losses pushed credit default swaps on the bank to an all-time high on Monday, according to ICE Data Services. The troubled Swiss bank’s CDS curve inverted as investors rushed to protect themselves against a near-term default within the next 12 months.