Monday, July 30, 2007

At current levels the iTraxx indices – Europe, Crossover, LevX – price in default rates so high that it`s difficult to find a justification for them in the historical data provided by the rating agencies…

The benchmark iTraxx Crossover index, which consists of 50 mostly junk-rated credits and is an important indicator of sentiment, jumped 35bp to 435bp in early trade.

European credit derivatives markets sold off sharply on Friday morning, after steep falls overnight in US stocks and credit.

Posted by chris :-)) @ 11:31 AM (609 views)
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