Delphi bankruptcy jolts European credit markets

Michigan-based auto parts maker Delphi’s filing for Chapter 11 bankruptcy protection on Saturday has sparked a frenzied day of trading for the credit markets.

Although the US market was closed for Columbus Day, European credit derivatives dealers saw significant movements in credit tranche activity in anticipation of potentially larger moves when US trading resumes on Tuesday. In particular, dealers will be watching out for the impact on General Motors, to which Delphi supplies over 50% of its production.

The iTraxx Crossover (high yield) index ended the day with a bid/offer spread of 308/311 basis points, 12 bp wider, according to Deutsche Bank.

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