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.
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
n.a.Spreadn.a.n.a.n.a.
Markit CDX North America High Yield
n.a.Pricen.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)
n.a.Spreadn.a.n.a.n.a.
Markit iTraxx Europe
n.a.Spreadn.a.n.a.n.a.
Markit iTraxx Europe Crossover
n.a.Spreadn.a.n.a.n.a.
Markit iTraxx Asia ex Japan Investment Grade
n.a.Spreadn.a.n.a.n.a.
Markit iTraxx Japan
n.a.Spreadn.a.n.a.n.a.
Markit iTraxx Australia
n.a.Spreadn.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
Wednesday, October 10, 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
New Zealand
16.90-2.69%-0.47-0.320.13
Republic of Austria
13.46-2.46%-0.340.300.55
Kingdom of Belgium
23.80-1.24%-0.300.701.87
Republic of Korea
39.05-0.93%-0.371.800.80
Republic of the Philippines
87.58-0.88%-0.789.393.82
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.
Federative Republic of Brazil
234.826.07%13.43-8.60-49.03
Republic of Peru
82.085.80%4.509.430.72
United Mexican States
125.875.75%6.8517.486.50
Republic of Chile
48.665.62%2.596.54-3.72
Argentine Republic
656.745.32%33.1878.88-35.44
CDS CORPORATE BIG MOVERS
Wednesday, October 10, 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
Tesco PLC
92.93-7.74%-7.80-3.61-1.90
Barclays Bk plc
68.98-6.11%-4.49-4.8014.33
Grohe Hldg Gmbh
6.72-5.79%-0.41-1.780.53
HOLCIM AUSTRALIA Hldgs PTY LTD
149.87-4.91%-7.73-5.39-15.09
LLOYDS BK PLC
48.62-4.65%-2.37-3.166.64
Daily Wideners (five-year CDS)
1 Day1 Week1 Month
NameSpread
(in basis points)
Perceived
Risk
% ChgBasis Pts
Change
Basis Pts
Change
Basis Pts
Change
Eastman Chem Co
60.5819.50%9.8913.6216.88
Packaging Corp Amer
65.8817.38%9.7615.3021.22
Domtar Corp
95.7717.25%14.0921.6126.70
Gen Mtrs Co
166.6315.93%22.8936.8251.21
FORD Mtr Cr Co LLC
194.5013.00%22.3845.1757.59
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