Derivs - Credit

Credit spreads on Dutch banking and insurance group ING pulled in today on the back of the government’s financial aid package.

Lloyds TSB is set to close a synthetic balance sheet collateralized loan obligation worth EUR1 billion (USD1.3 billion).

The European collateralized loan obligation market has been chocked off by the credit crisis, with potential downgrades, defaults and losses on the rise and new issuance dormant possibly into 2010, CLO managers and traders said.

Credit default swaps on Xerox Corp. have gapped out considerably in comparison to other constituents of the CDX North American investment grade index.

Investors in synthetic collateralized debt obligations that referenced Lehman Brothers as an obligor are at risk of suffering losses after a settlement agreement last week on outstanding credit default swap agreements for Lehman returned sub-par results.

A new settlement platform for credit derivatives has been introduced amid industry chatter about impending regulation of credit default swaps.

Credit default spreads on financial names have pulled in dramatically on the back of government intervention but are wider on corporate names as the perceived risk of default rises.

Five-year credit default swaps on India’s ICICI Bank have tightened back down to 900 basis points, after topping 1,000 bps last Friday (DW Online, 10/10).

Fears about counterparty credit risk has some market players talking about a flight to exchange-traded and away from the over-the-counter market.

Immense open interest to sell Lehman Brothers Holdings bonds during its credit event auction earlier today led to a drop between the initial and final recovery rate for settling credit default swaps referencing the bankrupt firm.

BNP Paribas has launched a short hedge fund performance index which allows buysiders to use options or futures referenced against it.

Credit-default swaps on India’s second largest lender ICICI Bank have hit a record high, briefly topping 1,000 basis points today, meaning it is trading upfront.