NEW YORK, Aug 16 (Reuters) - The credit derivative market is pricing in a 25 percent chance of Countrywide Financial Corp. (CFC.N: Quote, Profile, Research) defaulting on its debt in the next 12 months, based on the price of one-year credit default swaps, said research firm Credit Derivatives Research.
The cost to insure the debt of Countrywide for one year with credit default swaps surged to around 1450 basis points on Thursday, or $1.45 million to insure $10 million in debt, said Tim Backshall, chief derivatives strategist at the independent research firm. This compares to the cost to insure the debt for five years, at around 750 basis points per year.