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, October 20, 2017
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
52.35Spreadn.a.n.a.n.a.
Markit CDX North America High Yield
108.54Pricen.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
96.60Pricen.a.n.a.n.a.
Markit LCDX (loan CDS)
n.a.Pricen.a.n.a.n.a.
Markit MCDX (municipal CDS)
46.17Spread-1.77%22.57%-3.15%
Markit iTraxx Europe
54.99Spreadn.a.n.a.n.a.
Markit iTraxx Europe Crossover
242.56Spreadn.a.n.a.n.a.
Markit iTraxx Asia ex Japan Investment Grade
75.42Spreadn.a.n.a.n.a.
Markit iTraxx Japan
49.22Spreadn.a.n.a.n.a.
Markit iTraxx Australia
66.25Spreadn.a.n.a.n.a.
Markit iTraxx SovX Western Europe
19.90Spread0.00%0.00%0.00%
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, October 19, 2017
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
Federative Republic of Brazil
169.33-3.15%-5.51-13.97-11.99
People's Republic of China
54.00-2.32%-1.28-2.91-2.88
Republic of the Philippines
63.00-2.09%-1.34-1.322.99
Malaysia
63.12-2.04%-1.31-1.68-3.15
Republic of Peru
75.88-2.00%-1.55-4.916.67
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 Poland
50.511.16%0.58-0.83-3.83
State of Qatar
102.040.86%0.872.0812.24
Republic of Latvia
46.440.75%0.35-0.04-0.75
Argentine Republic
246.140.65%1.59-11.34-21.35
Kingdom of Bahrain
239.630.31%0.743.161.26
CDS CORPORATE BIG MOVERS
Thursday, October 19, 2017
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
Kobe Stl Ltd
316.48-15.24%-56.8990.50266.77
Emerson Elec Co
34.98-9.21%-3.55-3.61-3.07
Noble Group Ltd
9289.58-7.41%-743.381698.14-11161.63
CA RES CORP
3649.02-4.54%-173.50-70.28-315.95
Qatar Natl Bk SAQ
129.04-4.32%-5.83-9.00-1.88
Daily Wideners (five-year CDS)
1 Day1 Week1 Month
NameSpread
(in basis points)
Perceived
Risk
% ChgBasis Pts
Change
Basis Pts
Change
Basis Pts
Change
Utd Continental Hldgs Inc
245.5611.92%26.1622.89-17.05
Amern Express Co
20.847.15%1.39-0.72-2.90
Wendys Intl LLC
115.876.79%7.377.2111.14
CIT Gp Inc
68.586.40%4.13-2.03-2.60
Nissan Mtr Co Ltd
35.305.94%1.985.3811.52
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