Fixed Income Forum

This week, in the wake of rising investor concerns around the bank’s restructuring (finalizations to be announced later this month) Credit Suisse’s (CS) Euro-denominated bonds plummeted to record lows.

The bank’s USD-denominated bond maturing in 2031, slipped from 90.00 on September 7th, 2022, to 78.38 on October 6th, 2022.

Correspondingly, Credit Suisse’s CDS spread widened to its worst level since the Great Financial Crisis. The mid-spreads of Credit Suisse’s 5-year CDS widened by 130 bps week over week. Looking at year to date data, the 5-year spread has increased by 568%.

The chart below shows that there has been an inversion in the short- and long-term risk as observed by the spread differential of the tenor points on Credit Suisse’s CDS curve.

Data provided by Solve Advisors Inc

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