Early in the morning the costs of default contract fell 19 basis points to 481.75 basis
points, according to data from CMA DataVision via Reuters. That
translates into a cost of $481,750 annually to ensure against default
on $10 million of Citi's debt. As the company's stock went into
free fall last week, spreads on its CDSs
gapped wider
by leaps and bounds. In only a week's time, the spread on Citi's swaps
went from 200 point range all the way to 360 basis points on Wednesday,
only to rise another 40 points to around 400 basis points on Thursday.
By Friday, issuers had raised the cost another 80 points to roughly 481
basis points, as concerns about whether Citi could survive the weekend
mounted.
Update: By the late morning the cost of Citi's swaps had plunged roughly 250 basis points, down from about 500 basis points late Friday.-
George White
See Reuters story
See Dealscape post Citi's bailout
See Dealscape post Cit's swaps
Credit default swaps on Citigroup Inc. tightened right off the bat after the U.S. federal government stepped in with a $20 billion cash infusion and $306 billion in guarantees against losses from the bank's mortgage-related assets. 
