Delphi bankruptcy jolts European 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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