The downgrade of U.S. autos in May triggered days of panic and structured credit pricing dislocation, but the credit market absorbed the subsequent correlation crisis, said a panel of credit derivative executives. "The market passed the test when it came under stressed liquidity," noted Pierre Mathieu, European head of credit flow trading at BNP Paribas.
Dealers noted, however, May's pandemonium has left investors and dealers more risk adverse when it comes to structured credit. The long-term fallout is a shift in the market's risk appetite towards structures with strong protection from loss, agreed other panelists.