Market Data

Movers

Friday, 30 July 2010 — 23:30

Largest Widening Spreads (Greatest Credit Deterioration)
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.

top movers time series Jemena Ltd.

Wisconsin Energy Corp

top movers time series Wisconsin Energy Corp

Lafarge SA

top movers time series Lafarge SA

Muenchener Rueckversicherungs AG

top movers time series Muenchener Rueckversicherungs AG

BASF SE

top movers time series BASF SE
Largest Tightening Spreads (Greatest Credit Improvement)
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.

top movers time series Japan Tobacco Inc.

WestLB AG

top movers time series WestLB AG

Sun Microsystems Inc.

top movers time series Sun Microsystems Inc.

Heinz (HJ) Co.

top movers time series Heinz (HJ) Co.

Enbridge Energy Company, Inc.

top movers time series 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 →

Highest Default Probabilities
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
Sovereign Tighteners
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
Sovereign Wideners
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