Market Data
Movers
Thursday, 18 March 2010 — 23:30
| Entity Name | 5 Yr Mid | Change From Close | |
|---|---|---|---|
| bps | bps | % | |
| CA, Inc. | 97.01 | +27.21 | +38.99 |
| Cameron International Corp. | 89.09 | +15.83 | +21.60 |
| Lubrizol Corp | 69.70 | +11.98 | +20.76 |
| Expedia, Inc. | 127.38 | +19.52 | +18.10 |
| Computer Sciences Corp. | 66.78 | +9.97 | +17.55 |
CA, Inc.
Cameron International Corp.
Lubrizol Corp
Expedia, Inc.
Computer Sciences Corp.
| Entity Name | 5 Yr Mid | Change From Close | |
|---|---|---|---|
| bps | bps | % | |
| Taisei Corp. | 221.21 | -61.30 | -21.70 |
| Kajima Corp. | 235.11 | -63.88 | -21.37 |
| Truvo Subsidiary Corp. | 27870.96 | -6997.20 | -20.07 |
| Residential Capital, LLC | 424.96 | -96.52 | -18.51 |
| Carlton Communications Ltd | 161.18 | -27.52 | -14.58 |
Taisei Corp.
Kajima Corp.
Truvo Subsidiary Corp.
Residential Capital, LLC
Carlton Communications 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 | 917.98 | 44.51 |
| Venezuela | 856.98 | 43.59 |
| Pakistan | 754.18 | 39.92 |
| Ukraine | 611.60 | 33.67 |
| Iraq | 436.70 | 26.00 |
| Dubai/Emirate of | 437.16 | 25.66 |
| Iceland | 411.11 | 23.70 |
| Greece | 315.61 | 23.35 |
| Latvia, Republic of | 383.67 | 22.86 |
| Dominican Republic | 316.50 | 19.86 |
| Entity Name | 5 Yr Mid | Change (%) | Change (bps) | CPD (%) |
|---|---|---|---|---|
| Lebanon | 238.61 | -4.71 | -11.78 | 15.13 |
| Argentina | 917.98 | -4.16 | -39.81 | 44.51 |
| Bahrain | 168.03 | -3.05 | -5.29 | 10.92 |
| Saudi Arabia | 70.90 | -1.61 | -1.16 | 4.74 |
| Venezuela | 856.98 | -1.44 | -12.55 | 43.59 |
| Japan | 57.29 | -1.02 | -0.59 | 4.86 |
| Israel | 112.79 | -0.99 | -1.13 | 7.48 |
| Estonia | 94.36 | -0.72 | -0.69 | 6.28 |
| Entity Name | 5 Yr Mid | Change (%) | Change (bps) | CPD (%) |
|---|---|---|---|---|
| France | 42.15 | +14.02 | +5.18 | 3.55 |
| Netherlands | 33.97 | +13.29 | +3.99 | 2.88 |
| Germany | 28.53 | +11.89 | +3.03 | 2.42 |
| Austria | 55.38 | +9.95 | +5.01 | 4.65 |
| Greece | 315.61 | +9.69 | +27.88 | 23.35 |
| Sweden | 34.87 | +9.45 | +3.01 | 2.96 |
| Finland | 23.85 | +8.80 | +1.93 | 2.03 |
| Belgium | 52.10 | +8.42 | +4.05 | 4.36 |
Global Financial Risk Monitor
USA
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Bank of America Corp. | 116.75 | 4.67 | 4.16 |
| Wells Fargo & Company | 92.53 | 3.88 | 4.38 |
| JP Morgan Chase & Co. | 64.66 | 4.96 | 8.31 |
| Morgan Stanley | 132.24 | 6.10 | 4.84 |
| Goldman Sachs Group Inc | 104.85 | 4.90 | 4.90 |
UK
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Bank of Scotland plc | 138.60 | 2.88 | 2.12 |
| Barclays Bank Plc | 83.83 | 1.70 | 2.07 |
| Lloyds TSB Bank Plc | 138.64 | 2.65 | 1.95 |
| Royal Bank of Scotland Group Plc | 139.71 | 1.90 | 1.38 |
Europe
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Banco Santander, S.A. | 96.60 | 2.57 | 2.74 |
| Credit Agricole SA | 84.53 | 2.20 | 2.67 |
| Deutsche Bank AG | 84.60 | 0.90 | 1.07 |
| ING Bank NV | 72.89 | 1.41 | 1.98 |
| UniCredit SpA | 82.99 | 2.35 | 2.91 |
Asia
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Australia & New Zealand Banking Group Limited | 73.22 | 0.62 | 0.86 |
| Mitsubishi UFJ Financial Group, Inc. | 66.27 | -0.47 | -0.71 |
| Nomura Securities Co Ltd | 125.50 | 0.85 | 0.68 |
| Standard Chartered Bank | 71.42 | 0.74 | 1.05 |
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 | 40.18 | 50.95 | 61.87 | 86.29 | 95.74 | 106.06 |
| Market Spread | 82.70 | |||||
| Skew | -3.58 | |||||
| Month To Date | -7.06 | -6.35 | -6.69 | -5.20 | -5.14 | -5.42 |
CDX North America HY , Series 13
| 1YR | 2YR | 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|---|---|
| Fair Value | 234.48 (102.02) | 300.06 (103.42) | 375.83 (103.21) | 484.59 (100.62) | 493.93 (100.31) | 488.46 (100.74) |
| Market Spread | 393.40 (102.75) | 500.31 (99.99) | 517.03 (99.13) | |||
| Skew | +17.57 | +15.71 | +23.10 | |||
| Month To Date | -52.07 | -55.30 | -55.53 | -50.07 | -43.78 | -39.20 |
iTraxx Europe, Series 12
| 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|
| Fair Value | 61.22 | 78.96 | 87.13 | 94.12 |
| Market Spread | 73.50 | |||
| Skew | -5.46 | |||
| Month To Date | -10.72 | -12.11 | -12.23 | -12.54 |
iTraxx Europe Crossover, Series 12
| 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|
| Fair Value | 351.95 | 418.55 | 432.11 | 430.56 |
| Market Spread | 407.00 | |||
| Skew | -11.55 | |||
| Month To Date | -67.94 | -56.38 | -47.25 | -41.99 |
