Market Data

Movers

Tuesday, 9 February 2010 — 08:30

Largest Widening Spreads (Greatest Credit Deterioration)
Entity Name 5 Yr Mid Change From Close
bps bps %
Woolworths Limited 66.28 +8.16 +14.05
Westfield Trust 140.31 +15.81 +12.70
Bank of India 169.19 +18.57 +12.33
Hong Kong 69.30 +6.20 +9.83
IDBI Bank Limited 169.22 +14.58 +9.43

Woolworths Limited

top movers time series Woolworths Limited

Westfield Trust

top movers time series Westfield Trust

Bank of India

top movers time series Bank of India

Hong Kong

top movers time series Hong Kong

IDBI Bank Limited

top movers time series IDBI Bank Limited
Largest Tightening Spreads (Greatest Credit Improvement)
Entity Name 5 Yr Mid Change From Close
bps bps %
SCOR SE 65.60 -5.61 -7.88
Flextronics International Ltd. (SUB) 284.98 -21.74 -7.09
New Zealand 78.80 -5.16 -6.14
Weatherford International Ltd. 139.51 -8.58 -5.80
Universal Corporation 117.78 -6.19 -5.00

SCOR SE

top movers time series SCOR SE

Flextronics International Ltd. (SUB)

top movers time series Flextronics International Ltd. (SUB)

New Zealand

top movers time series New Zealand

Weatherford International Ltd.

top movers time series Weatherford International Ltd.

Universal Corporation

top movers time series Universal Corporation


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 →

Highest Default Probabilities
Entity Name Mid Spread CPD (%)
Venezuela 1080.00 52.43
Argentina 1091.90 51.75
Ukraine 971.30 45.55
Pakistan 870.50 45.11
Iraq 515.40 36.56
Iceland 621.59 33.79
Dubai/Emirate of 559.23 32.11
Greece 424.18 30.04
Latvia, Republic of 512.07 29.32
California/State of 339.20 25.88
Sovereign Tighteners
Entity Name 5 Yr Mid Change (%) Change (bps) CPD (%)
New Zealand 78.80 -6.14 -5.16 6.65
Denmark 42.19 -1.74 -0.75 3.64
Italy 156.66 -1.22 -1.93 12.75
Abu Dhabi/Emirate of 156.60 -1.17 -1.85 10.39
Finland 35.35 -1.17 -0.42 3.07
France 67.31 -0.97 -0.66 5.73
Spain 172.00 -0.86 -1.50 13.84
Czech Republic 106.28 -0.75 -0.80 7.19
Sovereign Wideners
Entity Name 5 Yr Mid Change (%) Change (bps) CPD (%)
Hong Kong 69.30 +9.83 +6.20 5.86
Australia 69.17 +5.68 +3.72 5.87
Japan 89.00 +3.34 +2.88 7.64
Indonesia 226.14 +2.43 +5.36 14.86
Belgium 81.04 +2.31 +1.83 6.86
Thailand 131.82 +1.80 +2.33 8.87
Colombia 183.05 +1.64 +2.96 12.11
Vietnam 273.12 +1.62 +4.36 17.44

Global Financial Risk Monitor

USA

Entity Name 5 Yr Mid Change bps Change %
Bank of America Corp. 135.95 0.65 0.48
Wells Fargo & Company 114.52 0.58 0.51
JP Morgan Chase & Co. 88.40 0.47 0.53
Morgan Stanley 157.18 0.86 0.55
Goldman Sachs Group Inc 136.07 1.07 0.79

UK

Entity Name 5 Yr Mid Change bps Change %
Bank of Scotland plc 143.50 1.75 1.24
Barclays Bank Plc 109.20 0.32 0.29
Lloyds TSB Bank Plc 143.08 2.78 1.98
Royal Bank of Scotland Group Plc 152.14 0.99 0.66

Europe

Entity Name 5 Yr Mid Change bps Change %
Banco Santander, S.A. 148.19 -0.03 -0.02
Credit Agricole SA 108.16 1.47 1.38
Deutsche Bank AG 100.49 0.50 0.50
ING Bank NV 86.58 0.99 1.16
UniCredit SpA 133.10 1.10 0.83

Asia

Entity Name 5 Yr Mid Change bps Change %
Australia & New Zealand Banking Group Limited 104.90 3.27 3.22
Mitsubishi UFJ Financial Group, Inc. 93.62 1.95 2.13
Nomura Securities Co Ltd 158.25 3.25 2.10
Standard Chartered Bank 80.16 0.15 0.18

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 56.79 66.99 77.10 101.99 110.52 120.50
Market Spread 106.50
Skew +4.51
Month To Date +6.43 +7.43 +8.10 +9.89 +8.28 +6.94

CDX North America HY , Series 13

1YR 2YR 3YR 5YR 7YR 10YR
Fair Value 303.25 (101.68) 383.77 (102.08) 466.08 (100.89) 583.81 (96.65) 582.00 (95.90) 571.72 (95.63)
Market Spread 484.38 (100.41) 629.80 (94.87)
Skew +18.30 +46.00
Month To Date +31.46 +38.00 +40.39 +48.55 +41.98 +38.95

iTraxx Europe, Series 12

3YR 5YR 7YR 10YR
Fair Value 76.27 99.35 109.27 118.38
Market Spread 93.97
Skew -5.37
Month To Date +9.48 +11.67 +11.63 +11.21

iTraxx Europe Crossover, Series 12

3YR 5YR 7YR 10YR
Fair Value 430.86 501.61 509.90 507.44
Market Spread 495.25
Skew -6.37
Month To Date +27.35 +29.64 +23.80 +22.38