Japan’s structured credit market holds its breath
The benchmark for investor perceptions of credit quality in Japan, the iTraxx Japan index, certainly registered a spike as the global repricing of credit developed. Having been stable at around 19-20 basis points for the first half of 2007, it widened steadily throughout July, hit a peak of 42bp in August and has been volatile ever since. Now initial optimism—based on Japanese investors’ tendency to avoid risky sub-prime based assets—is giving way to concern as credit problems become liquidity problems and assets unrelated to US mortgages start to suffer.
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