News that the credit default swap market almost doubled in size in 2007 to $62,000bn caused barely a blink among traders and analysts, who were focused on Tuesday’s key data releases.
Traders were looking ahead to data on housing starts, industrial production and consumer prices in the US, as well as earnings results from JP Morgan.
With sentiment in the market extremely fragile, analysts said any data that came in worse than expected could lead to a sharp rise in credit spreads.
The main iTraxx Europe, which tracks the cost of insuring the debt of investment-grade companies, fell 4 basis points to about 102.3bp, following a positive open for European stock markets and for Asian equities overnight. It now costs €102,300 per year to insure €10m of iTraxx Europe debt over five years.
The iTraxx Crossover index of mostly junk-rated companies tightened 10.8bp to about 521.4bp.
Related links
Activity robust in credit derivatives – FT.com
Derivatives chiefs meet at crucial time for industry – FT.com