Market Data

Movers

Thursday, 18 March 2010 — 23:30

Largest Widening Spreads (Greatest Credit Deterioration)
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.

top movers time series CA, Inc.

Cameron International Corp.

top movers time series Cameron International Corp.

Lubrizol Corp

top movers time series Lubrizol Corp

Expedia, Inc.

top movers time series Expedia, Inc.

Computer Sciences Corp.

top movers time series Computer Sciences Corp.
Largest Tightening Spreads (Greatest Credit Improvement)
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.

top movers time series Taisei Corp.

Kajima Corp.

top movers time series Kajima Corp.

Truvo Subsidiary Corp.

top movers time series Truvo Subsidiary Corp.

Residential Capital, LLC

top movers time series Residential Capital, LLC

Carlton Communications Ltd

top movers time series 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 →

Highest Default Probabilities
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
Sovereign Tighteners
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
Sovereign Wideners
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