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Bank unwinds trades with CDPC Channel, notes Moody’s
Wednesday, July 6, 2011
Credit derivative product Company Channel Capital has unwound its trades with one of its counterparties, according to Moody’s, which said the termination would not affect the entity’s Aaa counterparty ratings. Channel was set up in 2007 to sell protection mainly on CSO tranches. It was able to ramp up a sizeable portfolio before the financial crisis reduced banks’ appetite for buying protection from CDPCs. The bank that is unwinding its trades will pay Channel a termination amount, Moody’s notes.
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CFlux secondary
CLO index levels:
| Index | 21 May |
|
| CFlux USD AAA | ↑ | 96.2 |
| CFlux USD AA | ↑ |
88.3 |
| CFlux USD A | ↓ | 84.1 |
| CFlux USD BBB | ↓ | 75.3 |
| CFlux USD BB | ↓ |
74.1 |
| CFlux USD EQ | ↑ | 77.5 |
