ICICI Bank CDS suffered the most in the first few hours of India having approved CDS trading . Though only one insurer wrte CDS on ICICI Bank at a high but manageable 180 basis points a couple of weeks ago, the first few trades have pushed bank CDS' to a high 471 points for ICICI Bank across the default watermark of 450 basis points. Even SBI trades at finite default probabilities of 361 basis points above that of  France in November trading when it rose from a spread of 200 bp to more than 350 bp.

That means cost of insuring $10 mln of ICICI debt is a $471,000. However in India's case a CDS rate of below 200 bps would never be possible given its low ratings at BBB- for the sovereign and most of its banks can trade higher than the sovereign benchmark easily. even the soevreign should trade at nearer A rating levels in times of normal liquidity inthe Financial markets

Posted via email from The India Investment Post