INDEX LEVELS
Credit default swaps (CDS) allow sellers to take on, or buyers to reduce, the default risk on a bond. At its most basic, the pricing of CDS measures how much a buyer needs to pay to purchase, and how much a seller demands to sell, protection against default of an issuer's debt. CDS spreads therefore are one way the market rates creditworthiness. Widening spreads suggest increasing risk.
The Markit iBoxx family of indexes measures total returns for different segments of the bond markets. Investors use the indexes to benchmark and measure their performance as well as to inform the construction of their own portfolios.
Tuesday, January 16, 2018
When the perceived risk of default rises, indexes that track prices fall and indexes that track spreads rise. When perceived risk falls, indexes that track prices rise and indexes that track spreads fall.
1 Day1 Week1 Month
CDS IndexesIndex LevelUnitPerceived
Risk
%
Change
%
Change
%
Change
Markit CDX North America Investment Grade
48.03Spreadn.a.n.a.n.a.
Markit CDX North America High Yield
108.52Pricen.a.n.a.n.a.
Markit CDX North America Investment Grade High Volatility
n.a.Spreadn.a.n.a.n.a.
Markit CDX Emerging Markets
n.a.Pricen.a.n.a.n.a.
Markit LCDX (loan CDS)
n.a.Pricen.a.n.a.n.a.
Markit MCDX (municipal CDS)
39.67Spread0.00%45.12%42.51%
Markit iTraxx Europe
44.25Spreadn.a.n.a.n.a.
Markit iTraxx Europe Crossover
230.87Spreadn.a.n.a.n.a.
Markit iTraxx Asia ex Japan Investment Grade
60.68Spreadn.a.n.a.n.a.
Markit iTraxx Japan
42.63Spreadn.a.n.a.n.a.
Markit iTraxx Australia
53.62Spreadn.a.n.a.n.a.
Markit iTraxx SovX Western Europe
n.a.Spreadn.a.n.a.n.a.
Markit iTraxx SovX Asia Pacific
n.a.Spreadn.a.n.a.n.a.
Markit CDX credit default swap indexes cover North America and emerging markets. Markit iTraxx credit default swap indexes cover Europe, Asia, Australia and Japan. The indexes are owned, calculated and administered by Markit. For more information visit www.markit.com/cds
CDS SOVEREIGN BIG MOVERS
Monday, January 15, 2018
Falling (or narrowing) spreads indicate the perceived risk of default is falling. Rising (or widening) spreads indicate the perceived risk of default is rising.
Global Daily Tighteners (five-year CDS)
1 Day1 Week1 Month
NameSpread
(in basis points)
Perceived
Risk
% ChgBasis Pts
Change
Basis Pts
Change
Basis Pts
Change
Hong Kong Special Administrative Region
27.50-2.81%-0.79-4.73-6.80
State of Israel
53.42-1.16%-0.63-4.88-4.89
Portuguese Republic
79.69-1.07%-0.86-8.12-26.68
Republic of Italy
107.00-0.88%-0.94-7.66-7.91
Republic of South Africa
140.63-0.75%-1.07-9.47-21.83
Global Daily Wideners (five-year CDS)
1 Day1 Week1 Month
NameSpread
(in basis points)
Perceived
Risk
% ChgBasis Pts
Change
Basis Pts
Change
Basis Pts
Change
All CDS are denominated in U.S. Dollars except U.S sovereigns, which are in Euros.
Republic of the Philippines
54.252.31%1.220.04-6.09
People's Republic of China
47.612.22%1.032.06-4.40
Kingdom of Thailand
41.752.08%0.85-0.68-4.54
Kingdom of Saudi Arabia
83.661.72%1.41-4.23-8.56
Kingdom of Belgium
15.171.40%0.21-0.05-1.25
CDS CORPORATE BIG MOVERS
Monday, January 15, 2018
Falling (or narrowing) spreads indicate the perceived risk of default is falling. Rising (or widening) spreads indicate the perceived risk of default is rising.
Daily Tighteners (five-year CDS)
1 Day1 Week1 Month
NameSpread
(in basis points)
Perceived
Risk
% ChgBasis Pts
Change
Basis Pts
Change
Basis Pts
Change
Premier Foods Fin PLC
275.75-7.72%-23.05-20.58-39.96
Kansai Elec Pwr Co Inc
41.92-6.72%-3.02-1.632.20
Telefonica S A
69.70-4.51%-3.29-2.97-4.18
Viacom
131.34-4.09%-5.60-14.16-31.69
Kate Spade Co
63.75-3.97%-2.630.478.39
Daily Wideners (five-year CDS)
1 Day1 Week1 Month
NameSpread
(in basis points)
Perceived
Risk
% ChgBasis Pts
Change
Basis Pts
Change
Basis Pts
Change
Selecta Group BV
378.1742.90%113.53113.96104.64
Deere & Co
21.668.18%1.643.161.25
Neiman Marcus Group LLC
1289.687.92%94.64158.24-83.43
MATALAN FIN PLC
616.947.06%40.7196.99131.27
Cap One Finl Corp
64.666.92%4.194.302.52
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