I read this yesterday in the Torygraph

http://www.telegraph.co.uk/money/main.jhtml?xml=/money/2007/07/03/bcnitaly103.xml

but it wasn't until today that I had a closer look. Our application was flagging up a negative implied default rate (IDR)(arbitrage opportunity). I put together a spreadsheet to work out where the problem was (attached), and happened to notice that it was the first name that our desk trade that is trading inverted, with the 1Y spread over 100 bps. Note that almost all of the other banks have a 1Y spread of 10bps or less.

Note that I looked at IDR a while ago, but only up to 5 year

http://www.noelwatson.com/blog/PermaLink,guid,fa4d8579-f754-48e0-a485-dc7c6850405f.aspx