European banks were some of the better performers in European credit derivatives markets on Tuesday, following the announcement of Tim Geithner’s public private toxic asset plan on Monday.
ABN Amro Bank CDS was tighter by 8.6bp at 99.125bp; Dresdner Bank CDS on its more subordinated debt was 8.576bp tighter at 378bp and Fortis Bank CDS was roughly 10 per cent tighter at 117.5bp, according to data from CMA.
The Markit iTraxx Crossover index new series 11,which tracks the CDS of 40mostly junk rated issuers, was quoted at 886.17bp, tighter from its 904bp closing level Monday.
The main index of investment grade borrowers’ CDS, meanwhile, was quoted at 157.5bp , having closed at 163.05bp on Monday.
US credit derivatives markets also closed significantly tighter according to Markit. The most traded index, the CDX NA investment grade index, finished 13bp tighter at 185bp. In more distressed credit, CMBX for example which tracks US mortgage backed bonds, saw a big rally, analysts at Deutsche Bank said, with triple A tranches coming in some 90bp.
Poorer performing company CDS included Dong Energy’s, whose CDS was wider by 5.3bp at 177.482 and BP wider by 3bp at 62bp. Gas Natural’s CDS hit a record high of 369.784bp, wider by 2.837bp according to CMA.