Weakness returned to European credit derivatives markets

Discussion in 'Wall St. News' started by ASusilovic, Aug 9, 2007.

  1. Source : www.ftalphaville.com

    Weakness returned to European credit derivatives markets on Thursday morning, after three European banks hit the subprime-related headlines.

    The iTraxx Crossover index, a key indicator of sentiment in European credit markets, had jumped as high as 345bp in choppy trade by mid-morning. The index had opened around 308bp, some 34bp tighter than Wednesday’s close.

    UniCredit’s strategists, in a prescient note this morning, said the Crossover’s recent rally had:

    ignored the continuing threat of further negative news especially from the ABS/structured credit front and the risk that the next candidate will appear on the “subprime stage”

    Promptly thereafter, BNP Paribas said it had suspended redemptions for three of its funds investing in asset-backed securities. The French bank also said it could not accurately value the funds assets, or in other words, the scale of their losses, and blamed a “complete evaporation of liquidity in certain market segments of the US securitisation market” for the move.

    Meanwhile, WestLB was forced to issue a statement reassuring investors that its fundamentals were sound after rumours circulated that the German state bank might be in trouble. WestLB, which recently suspended redemptions on an asset-backed securities fund of its own, said its subprime exposure was in no way comparable to that of German lender IKB.

    Not to be left out, investment bank NIBC of the Netherlands said first half net profit would fall from €189m last year to €3m, on the back of losses of at least €137m this year. Instability in the US credit markets had led to the “non-recurring mark-to-market loss” in the first half, with further losses expected on the US ABS book, the bank said.

    Sophie Panchal, a senior investment analyst at Nedgroup, said investors should expect further shocks:

    While it would have be very hard to pinpoint specific names, there are almost certainly going to be more surprises on the downside. There is a a strong possibility that there are more assets in the system that haven’t been repriced yet.

    But Ms Panchal said there would also be some surprising winners, and that canny investors would benefit from the current volatility:

    People have been expecting a general correction in the credit markets. Those who had assessed that probability correctly and were proactive about it have already set up their net short positions.
  2. Keeping track of the subprime winners and losers :

    Interactive map

  3. Excellent chart, mate.
  4. I expected you to be a fan of my map Ivanovich ;=)
  5. just21


    How do you get the Itraxx crossover index in realtime?
  6. sjfan


    Does not exist. It's OTC.
  7. Everyone keeps saying, no one knows how big this thing is, thats a bunch of crap. the banks know exactly how big this is, thats why they are dumping stocks to rise cash to have reserves so they don't go belly up.

    The fed is to blame, central banks create these panics. They will try and force small banks to fail so they can dominate.
  8. just21


    There are futures on Eurex but I could not find any mention on the IB website. Does any datafeed have the Eurex Itraxx futures on it?
  9. Neodude


    If the current market is any revelation then its pretty bad, FI traders are saying that the liquidity is worse then 1998.

  10. get the screen price and chuck on 50 b.p.

    that seems to work for me at the moment and pretty much how the others quote it as well.
    #10     Aug 9, 2007