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.
Monday, September 17, 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
56.72Spreadn.a.n.a.n.a.
Markit CDX North America High Yield
107.25Pricen.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
95.56Pricen.a.n.a.n.a.
Markit LCDX (loan CDS)
n.a.Pricen.a.n.a.n.a.
Markit MCDX (municipal CDS)
n.a.Spreadn.a.n.a.n.a.
Markit iTraxx Europe
60.26Spreadn.a.n.a.n.a.
Markit iTraxx Europe Crossover
281.85Spreadn.a.n.a.n.a.
Markit iTraxx Asia ex Japan Investment Grade
78.63Spreadn.a.n.a.n.a.
Markit iTraxx Japan
51.82Spreadn.a.n.a.n.a.
Markit iTraxx Australia
70.36Spreadn.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, September 17, 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
Republic of Chile
45.94-3.73%-1.78-11.59-5.81
Federal Republic of Germany
10.00-3.73%-0.39-0.50-1.62
Republic of Italy
217.81-3.54%-7.99-6.72-36.18
Kingdom of Denmark
11.23-2.69%-0.31-0.08-0.14
Argentine Republic
634.15-2.04%-13.17-101.0669.98
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.
Lebanese Republic
813.113.92%30.67124.32n.a.
Republic of Indonesia
136.741.85%2.49-7.4014.02
Malaysia
98.001.61%1.56-5.7010.71
Republic of Korea
38.601.58%0.60-0.55-2.84
People's Republic of China
55.701.31%0.72-2.57n.a.
CDS CORPORATE BIG MOVERS
Monday, September 17, 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
Rallye
1699.64-40.89%-1175.68-1357.25n.a.
CASINO GUICHARDPERRACHON
434.05-15.96%-82.44-109.63-89.12
TEVA PHARMACEUTICAL INDS LTD
148.58-9.74%-16.03-16.25n.a.
Intl Paper Co
56.82-4.84%-2.89-5.01n.a.
Carrefour
76.89-4.39%-3.53-8.32n.a.
Daily Wideners (five-year CDS)
1 Day1 Week1 Month
NameSpread
(in basis points)
Perceived
Risk
% ChgBasis Pts
Change
Basis Pts
Change
Basis Pts
Change
Anthem In
44.475.21%2.200.46-1.79
Novartis AG
19.884.98%0.94-0.191.22
ITV Plc
92.304.73%4.171.45-6.95
WESTROCK MWV LLC
23.304.40%0.980.96n.a.
Bayer AG
61.744.40%2.604.94n.a.
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