- June 23, 2010
BP credit default swaps are in 117 CSOs that could lose money
Moody’s recently came out with a report saying that a BP bankruptcy could cause losses in 117 different Collateralized Synthetic Obligations (CSOs).
CSO’s are basically just a Collaterlized Debt Obligation (CDO) with CDS in them instead of mortgages or other bonds.
While we have not yet seen the report, we defer to ZeroHedge and FT Alphaville which both covered the topic and provide you with a small graphic of 8 CSO’s with the largest exposures to not only BP but the other major oil companies involved in the Gulf oil spill including Halliburton, Anadarko Petroleum, Transocean, and Cameron International.
CDS on BP have continued to hit new highs since we last highlighted them and were up 61 bps to 539.3 bps yesterday according to Bloomberg on fears of a hurricane disrupting the oil spill cleanup efforts. “Contracts on Anadarko, which owns 25 percent of BP’s Macondo well, climbed 20.2 basis points to 629.6 basis points. Swaps tied to Transocean, which leased the Deepwater Horizon drilling rig that exploded and sank, increased 12.6 basis points to 529.4 basis points.” Earlier last week, 1-year CDS prices on BP crossed the 1000 bps level