Market Data
Movers
Thursday, 11 March 2010 — 23:30
| Entity Name | 5 Yr Mid | Change From Close | |
|---|---|---|---|
| bps | bps | % | |
| Truvo Subsidiary Corp. | 30308.85 | +8325.25 | +37.87 |
| CenturyTel Inc | 136.66 | +14.47 | +11.84 |
| Acom Co Ltd | 296.63 | +29.18 | +10.91 |
| Vulcan Materials Company | 179.90 | +14.69 | +8.89 |
| Portugal Telecom International Finance B.V. | 101.45 | +7.93 | +8.48 |
Truvo Subsidiary Corp.
CenturyTel Inc
Acom Co Ltd
Vulcan Materials Company
Portugal Telecom International Finance B.V.
| Entity Name | 5 Yr Mid | Change From Close | |
|---|---|---|---|
| bps | bps | % | |
| Cameron International Corp. | 72.89 | -13.23 | -15.37 |
| Kowloon Canton Railway Corp | 28.30 | -4.49 | -13.68 |
| MTR Corp | 30.03 | -4.34 | -12.63 |
| GS Caltex Corporation | 83.19 | -11.82 | -12.44 |
| Samsung Electronics Co., Ltd. | 49.73 | -6.51 | -11.58 |
Cameron International Corp.
Kowloon Canton Railway Corp
MTR Corp
GS Caltex Corporation
Samsung Electronics Co., Ltd.
Sovereign Risk Monitor
The CMA Sovereign Risk Monitor identifies and ranks the world’s most volatile sovereign debt issuers according to percentage changes in their 5 year CDS. CDS values are calculated by CMA’s market leading CDS price verification service, DataVision.
CMA DataVision provides a daily calculation of CPD, and a variety of other risk metrics, on over 1,200 CDS issuers. Request a DataVision demo →
| Entity Name | Mid Spread | CPD (%) |
|---|---|---|
| Argentina | 1029.48 | 48.48 |
| Venezuela | 933.59 | 46.25 |
| Pakistan | 757.60 | 40.18 |
| Ukraine | 724.30 | 38.48 |
| Dubai/Emirate of | 471.89 | 27.48 |
| Iraq | 430.90 | 25.75 |
| Iceland | 433.71 | 24.88 |
| Latvia, Republic of | 418.74 | 24.54 |
| Greece | 301.29 | 22.49 |
| Dominican Republic | 325.00 | 20.44 |
| Entity Name | 5 Yr Mid | Change (%) | Change (bps) | CPD (%) |
|---|---|---|---|---|
| Hong Kong | 36.77 | -9.41 | -3.82 | 3.10 |
| New Zealand | 42.61 | -5.43 | -2.45 | 3.59 |
| Norway | 15.25 | -4.80 | -0.77 | 1.32 |
| Slovakia | 60.04 | -4.72 | -2.98 | 5.05 |
| Ukraine | 724.30 | -4.19 | -31.64 | 38.48 |
| Australia | 33.86 | -4.04 | -1.43 | 2.87 |
| Russia | 133.03 | -3.49 | -4.81 | 8.80 |
| Estonia | 102.45 | -2.60 | -2.73 | 6.83 |
| Entity Name | 5 Yr Mid | Change (%) | Change (bps) | CPD (%) |
|---|---|---|---|---|
| Greece | 301.29 | +5.62 | +16.04 | 22.49 |
| Denmark | 29.99 | +3.96 | +1.14 | 2.55 |
| China | 63.20 | +3.80 | +2.31 | 5.33 |
| Spain | 96.00 | +3.30 | +3.07 | 7.86 |
| Sweden | 33.16 | +2.99 | +0.96 | 2.83 |
| Belgium | 47.66 | +2.96 | +1.37 | 4.01 |
| Netherlands | 30.98 | +2.93 | +0.88 | 2.64 |
| Portugal | 115.15 | +2.75 | +3.08 | 9.29 |
Global Financial Risk Monitor
USA
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Bank of America Corp. | 122.30 | 1.89 | 1.57 |
| Wells Fargo & Company | 94.34 | 1.81 | 1.96 |
| JP Morgan Chase & Co. | 64.35 | 0.39 | 0.61 |
| Morgan Stanley | 135.53 | 3.18 | 2.40 |
| Goldman Sachs Group Inc | 106.76 | 2.03 | 1.93 |
UK
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Bank of Scotland plc | 131.98 | 3.52 | 2.74 |
| Barclays Bank Plc | 80.68 | 1.74 | 2.20 |
| Lloyds TSB Bank Plc | 131.77 | 3.46 | 2.69 |
| Royal Bank of Scotland Group Plc | 133.12 | 3.06 | 2.35 |
Europe
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Banco Santander, S.A. | 97.21 | 1.52 | 1.59 |
| Credit Agricole SA | 84.18 | 0.65 | 0.78 |
| Deutsche Bank AG | 81.93 | 1.68 | 2.09 |
| ING Bank NV | 70.42 | 1.77 | 2.58 |
| UniCredit SpA | 85.28 | 1.94 | 2.33 |
Asia
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Australia & New Zealand Banking Group Limited | 73.13 | -7.05 | -8.79 |
| Mitsubishi UFJ Financial Group, Inc. | 65.58 | -2.30 | -3.39 |
| Nomura Securities Co Ltd | 129.57 | -2.46 | -1.86 |
| Standard Chartered Bank | 72.68 | -0.71 | -0.97 |
Index Fair Values
N.B: Fair Value and Index levels are representative of previous day's 16:30 NY close.
Data for CDX.NA.HY are quoted in Spread (Price). Skew is shown in Spread.
CDX North America IG , Series 13
| 1YR | 2YR | 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|---|---|
| Fair Value | 41.91 | 52.30 | 63.05 | 85.21 | 94.83 | 105.48 |
| Market Spread | 83.00 | |||||
| Skew | -2.21 | |||||
| Month To Date | -5.33 | -5.00 | -5.51 | -6.28 | -6.05 | -6.00 |
CDX North America HY , Series 13
| 1YR | 2YR | 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|---|---|
| Fair Value | 243.40 (102.00) | 307.32 (103.33) | 381.49 (103.08) | 488.43 (100.47) | 497.17 (100.15) | 491.20 (100.56) |
| Market Spread | 404.19 (102.48) | 511.75 (99.53) | ||||
| Skew | +22.70 | +23.32 | ||||
| Month To Date | -43.15 | -48.05 | -49.86 | -46.23 | -40.53 | -36.45 |
iTraxx Europe, Series 12
| 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|
| Fair Value | 61.47 | 78.97 | 87.22 | 94.20 |
| Market Spread | 74.19 | |||
| Skew | -4.78 | |||
| Month To Date | -10.47 | -12.09 | -12.14 | -12.46 |
iTraxx Europe Crossover, Series 12
| 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|
| Fair Value | 362.06 | 425.96 | 436.17 | 432.27 |
| Market Spread | 406.82 | |||
| Skew | -19.13 | |||
| Month To Date | -57.83 | -48.97 | -43.20 | -40.28 |
