Credit-default swaps linked to the senior debt of Anglo Irish Bank have jumped to the highest level since July 2009, according to data provider CMA.
CMA said the credit-default swaps jumped 54.5 basis points to 687.
Contracts insuring €10 million of the bank's junior bonds for five years rose €230,000 to €2.68 million in advance and €500,000 annually.
Anglo Irish will not make an optional interest payment due on October 5th on its £300 million of fixed- to floating-rate undated subordinated notes, it said in a statement.
A basis point on a credit-default swap contract protecting €10 million of debt from default for five years is equivalent to €1,000 a year.
Credit-default swaps pay the buyer face value in exchange for the underlying securities or the cash equivalent should a company fail to adhere to its debt agreements. A decline signals improvement in perceptions of credit quality.
Bloomberg