Market Data
Movers
Friday, 30 July 2010 — 23:30
| Entity Name | 5 Yr Mid | Change From Close | |
|---|---|---|---|
| bps | bps | % | |
| Jemena Ltd. | 50.30 | +9.19 | +22.35 |
| Wisconsin Energy Corp | 55.85 | +5.76 | +11.50 |
| Lafarge SA | 308.47 | +30.36 | +10.92 |
| Muenchener Rueckversicherungs AG | 52.36 | +4.88 | +10.28 |
| BASF SE | 73.11 | +6.79 | +10.24 |
Jemena Ltd.
Wisconsin Energy Corp
Lafarge SA
Muenchener Rueckversicherungs AG
BASF SE
| Entity Name | 5 Yr Mid | Change From Close | |
|---|---|---|---|
| bps | bps | % | |
| Japan Tobacco Inc. | 34.36 | -6.70 | -16.31 |
| WestLB AG | 98.33 | -13.60 | -12.15 |
| Sun Microsystems Inc. | 24.96 | -2.26 | -8.30 |
| Heinz (HJ) Co. | 60.73 | -5.02 | -7.64 |
| Enbridge Energy Company, Inc. | 150.16 | -11.55 | -7.14 |
Japan Tobacco Inc.
WestLB AG
Sun Microsystems Inc.
Heinz (HJ) Co.
Enbridge Energy Company, Inc.
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 (%) |
|---|---|---|
| Venezuela | 1042.88 | 50.53 |
| Greece | 748.23 | 46.61 |
| Argentina | 793.21 | 41.31 |
| Ukraine | 514.36 | 30.17 |
| Pakistan | 500.60 | 29.02 |
| Dubai/Emirate of | 451.68 | 26.92 |
| Iraq | 426.30 | 25.95 |
| Illinois/State of | 280.89 | 21.73 |
| Romania | 347.83 | 21.65 |
| California/State of | 266.02 | 21.01 |
| Entity Name | 5 Yr Mid | Change (%) | Change (bps) | CPD (%) |
|---|---|---|---|---|
| Chile | 78.53 | -5.85 | -4.88 | 5.43 |
| Poland | 131.30 | -1.95 | -2.61 | 8.84 |
| Egypt | 195.95 | -1.50 | -2.98 | 12.91 |
| Dubai/Emirate of | 451.68 | -0.93 | -4.24 | 26.92 |
| Peru | 107.27 | -0.84 | -0.91 | 7.29 |
| Lithuania | 237.68 | -0.63 | -1.51 | 15.31 |
| Turkey | 163.00 | -0.57 | -0.93 | 10.88 |
| Colombia | 122.99 | -0.57 | -0.70 | 8.33 |
| Entity Name | 5 Yr Mid | Change (%) | Change (bps) | CPD (%) |
|---|---|---|---|---|
| Korea, Republic of | 105.41 | +4.93 | +4.95 | 8.85 |
| Thailand | 112.37 | +4.58 | +4.93 | 9.44 |
| Saudi Arabia | 75.91 | +4.39 | +3.19 | 5.19 |
| Portugal | 231.81 | +4.12 | +9.16 | 18.14 |
| Denmark | 34.78 | +3.90 | +1.30 | 3.02 |
| Belgium | 101.02 | +3.55 | +3.47 | 8.49 |
| United States of America | 36.90 | +3.33 | +1.19 | 3.18 |
| Malaysia | 90.49 | +3.32 | +2.91 | 7.69 |
Global Financial Risk Monitor
USA
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Bank of America Corp. | 142.05 | 5.23 | 3.82 |
| Wells Fargo & Company | 97.11 | 4.57 | 4.94 |
| JP Morgan Chase & Co. | 90.47 | 4.14 | 4.79 |
| Morgan Stanley | 197.41 | 6.64 | 3.48 |
| Goldman Sachs Group Inc | 155.96 | 3.80 | 2.50 |
UK
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Bank of Scotland plc | 172.33 | 1.06 | 0.62 |
| Barclays Bank Plc | 109.64 | 2.62 | 2.45 |
| Lloyds TSB Bank Plc | 174.21 | 2.47 | 1.44 |
| Royal Bank of Scotland Group Plc | 172.52 | 1.90 | 1.11 |
Europe
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Banco Santander, S.A. | 142.23 | 10.06 | 7.61 |
| Credit Agricole SA | 119.50 | 3.32 | 2.85 |
| Deutsche Bank AG | 101.38 | 1.32 | 1.32 |
| ING Bank NV | 98.72 | 1.72 | 1.77 |
| UniCredit SpA | 134.71 | 4.21 | 3.23 |
Asia
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Australia & New Zealand Banking Group Limited | 108.34 | 0.00 | 0.00 |
| Bank of Tokyo-Mitsubishi UFJ, Ltd./The | 70.27 | -0.52 | -0.73 |
| Nomura Securities Co Ltd | 125.04 | -9.38 | -6.98 |
| Standard Chartered Bank | 82.82 | 0.54 | 0.66 |
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 14
| 1YR | 2YR | 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|---|---|
| Fair Value | 52.25 | 64.92 | 78.60 | 105.11 | 113.61 | 121.54 |
| Market Spread | 104.00 | |||||
| Skew | -1.11 | |||||
| Month To Date | -21.60 | -21.50 | -20.62 | -21.63 | -20.88 | -19.82 |
CDX North America HY , Series 14
| 1YR | 2YR | 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|---|---|
| Fair Value | 302.73 (101.74) | 369.29 (102.37) | 435.56 (101.72) | 540.12 (98.35) | 542.22 (97.80) | 532.11 (97.92) |
| Market Spread | 453.15 (101.25) | 552.02 (97.87) | ||||
| Skew | +17.59 | +11.90 | ||||
| Month To Date | -69.60 | -84.07 | -91.16 | -90.23 | -83.77 | -76.35 |
iTraxx Europe, Series 13
| 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|
| Fair Value | 92.02 | 106.81 | 111.35 | 115.00 |
| Market Spread | 104.50 | |||
| Skew | -2.31 | |||
| Month To Date | -29.50 | -29.97 | -29.16 | -28.76 |
iTraxx Europe Crossover, Series 13
| 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|
| Fair Value | 423.96 | 487.24 | 490.15 | 480.55 |
| Market Spread | 477.94 | |||
| Skew | -9.30 | |||
| Month To Date | -92.51 | -99.05 | -99.04 | -97.78 |
