CDS and Bond Indexes
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.
Friday, July 20, 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
61.64Spreadn.a.n.a.n.a.
Markit CDX North America High Yield
106.65Pricen.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
96.83Pricen.a.n.a.n.a.
Markit LCDX (loan CDS)
n.a.Pricen.a.n.a.n.a.
Markit MCDX (municipal CDS)
48.33Spreadn.a.n.a.n.a.
Markit iTraxx Europe
65.84Spreadn.a.n.a.n.a.
Markit iTraxx Europe Crossover
294.03Spreadn.a.n.a.n.a.
Markit iTraxx Asia ex Japan Investment Grade
86.86Spreadn.a.n.a.n.a.
Markit iTraxx Japan
54.40Spreadn.a.n.a.n.a.
Markit iTraxx Australia
80.56Spreadn.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
Thursday, July 19, 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
Federal Republic of Germany
11.74-1.51%-0.180.180.15
Hong Kong Special Administrative Region
33.06-1.49%-0.50-0.392.59
Kingdom of Bahrain
370.24-1.36%-5.11-25.58-84.08
New Zealand
19.67-1.19%-0.24-1.112.47
Kingdom of Morocco
102.60-0.83%-0.86-4.40-9.77
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 Panama
62.922.48%1.52-7.04-14.33
Kingdom of Denmark
11.752.17%0.250.250.25
Republic of Chile
56.712.00%1.11-2.30-0.59
Russian Federation
136.391.99%2.670.78-7.93
United Mexican States
116.371.93%2.201.98-22.63
CDS CORPORATE BIG MOVERS
Thursday, July 19, 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
Kinder Morgan Engy Partners L P
52.85-5.78%-3.24-5.79-10.97
Comcast Corp
50.98-5.32%-2.87-16.30-19.09
Kinder Morgan Inc.
82.22-3.57%-3.05-7.54-13.66
Mondelez Intl Inc
51.95-3.44%-1.85-8.69-10.08
Techem GmbH
118.74-3.11%-3.81-9.19-6.17
Daily Wideners (five-year CDS)
1 Day1 Week1 Month
NameSpread
(in basis points)
Perceived
Risk
% ChgBasis Pts
Change
Basis Pts
Change
Basis Pts
Change
Aviva plc
60.438.77%4.874.241.46
Windstream Services LLC
2576.178.76%207.49188.87575.04
Cooeperatieve Rabobank UA
35.868.08%2.680.533.84
ING Bk N V
32.547.91%2.38-0.412.67
FreeportMcMoRan Inc
191.847.79%13.8715.9929.12
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