Scor spreads widen 350bp after firm reveals €38m credit derivatives losses

The cost of senior debt protection on Scor ballooned to 850/1,000 basis points over Libor today, after the French reinsurer revealed, yesterday that it would make a net loss of €250 million this year, following major losses in credit derivatives and other businesses.

Rating agency Fitch slashed Scor’s financial strength rating to BBB from A+ and placed the reinsurer on ‘watch negative’. Standard & Poor’s lowered Scor’s financial strength to A- from A yesterday, and Moody’s placed the firm on review for possible downgrade.

A credit derivatives trader at a leading dealer said there was now no protection available on Scor’s subordinate debt and he expected no senior protection to be available, even on an upfront basis, by the end of the week. Scor credit