Credit-default-swap protection on Thai sovereign credit blew out last week after the military ousted Prime Minister Thaksin Shinawatra. Five-year CDS moved from a mid-market around 34 basis points the previous week to as high as 70bps during London trading hours Tuesday night. After the coup turned out to be bloodless and it was announced an interim government would be set up, followed by new elections next year, protection started inching back in. "It has started to settle down but there's still a lot of uncertainty so we're seeing wider levels than previously," noted Sonia Lee, credit derivatives trader at SG Corporate & Investment Banking in Hong Kong, adding that the credit, which is typically a low-volatility name, was being quoted around the mid-40s late last week. Traders also expect the wider levels to persist for some time as the country's sovereign rating was placed on negative watch by Fitch Ratings and Standard & Poor's last week. The Kingdom of Thailand is rated BBB+ by both agencies.
Thai CDS Jumps After Military Coup
