European credit derivative indices have soared to all-time highs on the back of a global sell-off in stock markets and fears surrounding further bank losses from the sub-prime mortgage fallout, together with news that Citigroup is restructuring its mortgage lending unit.

The iTraxx Europe index, which comprises the credit default swaps on 125 investment grade rated companies, rose five basis points in late trading yesterday to record highs of 151 basis points. The index is trading around 150 basis points this morning, according to data vendor Markit.