Credit default swap spreads (also referred to in German; less frequently

credit default swap premium differentials): The yield spreads of nominally equal securities, in central bank reports usually referring to government bonds. CDS spreads of government bonds are considered in cross-country comparisons – also within the euro area) – as a measure of the credit risk associated with holding the respective security. – Cf. ECB Monthly Report of September 2005, pp. 36 f. (with overviews), BaFin Annual Report 2006, p. 19 (premium development 2004 to 2006), – Cf. BaFin Annual Report 2009, pp. 164 ff. (BaFin audits), Deutsche Bundesbank Monthly Report of June 2011, pp. 44 f. (correlation of yield premiums and CDS premiums for government bonds in the euro area; overview; explanatory approaches), Monthly Report of the Deutsche Bundesbank of November 2011, p. 45 (credit default swap premiums since 2007).

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