Gazprom Derivatives Most Traded

Credit-default swaps on Gazprom were the most-traded corporate debt derivatives in Europe last month, and Russia was the most active for government bonds, according to broker GFI Group.

The cost to protect Gazprom debt against default rose 42 basis points to 993 during the period and those for Russia increased 2 basis points to 743, according to data compiled by Bloomberg. A basis point on a credit-default swap protecting $10 million of debt from default for five years is equivalent to $1,000 a year.

"Gazprom is one of the top borrowers in Europe," said Mikhail Galkin, a fixed-income analyst at MDM Bank. "Its peers from Western Europe are more stable credits, particularly in the current environment."

Gazprom has $18.2 billion of dollar- and euro-denominated bonds outstanding, Bloomberg data show. The company is rated A3 by Moody's Investors Service, its seventh-highest investment grade ranking. Standard & Poor's ranks it two steps lower at BBB.

Credit-default swaps on Deutsche Telekom, Europe's biggest telephone company, BT Group, Telecom Italia and Telefonica were the next most active corporate credits in Europe, GFI said. Brazil, Turkey, Mexico and Kazakhstan were among the most-traded government contracts.

Credit-default swaps, which are contracts conceived to protect bondholders against default, 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 rise indicates deterioration in the perception of credit quality; a decline indicates the opposite.

In the United States, contracts on Citigroup were the most active, while Sumitomo led Asian trading, GFI's data show.