Market Data

Movers

Thursday, 11 March 2010 — 23:30

Largest Widening Spreads (Greatest Credit Deterioration)
Entity Name 5 Yr Mid Change From Close
bps bps %
Truvo Subsidiary Corp. 30308.85 +8325.25 +37.87
CenturyTel Inc 136.66 +14.47 +11.84
Acom Co Ltd 296.63 +29.18 +10.91
Vulcan Materials Company 179.90 +14.69 +8.89
Portugal Telecom International Finance B.V. 101.45 +7.93 +8.48

Truvo Subsidiary Corp.

top movers time series Truvo Subsidiary Corp.

CenturyTel Inc

top movers time series CenturyTel Inc

Acom Co Ltd

top movers time series Acom Co Ltd

Vulcan Materials Company

top movers time series Vulcan Materials Company

Portugal Telecom International Finance B.V.

top movers time series Portugal Telecom International Finance B.V.
Largest Tightening Spreads (Greatest Credit Improvement)
Entity Name 5 Yr Mid Change From Close
bps bps %
Cameron International Corp. 72.89 -13.23 -15.37
Kowloon Canton Railway Corp 28.30 -4.49 -13.68
MTR Corp 30.03 -4.34 -12.63
GS Caltex Corporation 83.19 -11.82 -12.44
Samsung Electronics Co., Ltd. 49.73 -6.51 -11.58

Cameron International Corp.

top movers time series Cameron International Corp.

Kowloon Canton Railway Corp

top movers time series Kowloon Canton Railway Corp

MTR Corp

top movers time series MTR Corp

GS Caltex Corporation

top movers time series GS Caltex Corporation

Samsung Electronics Co., Ltd.

top movers time series Samsung Electronics Co., 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 1029.48 48.48
Venezuela 933.59 46.25
Pakistan 757.60 40.18
Ukraine 724.30 38.48
Dubai/Emirate of 471.89 27.48
Iraq 430.90 25.75
Iceland 433.71 24.88
Latvia, Republic of 418.74 24.54
Greece 301.29 22.49
Dominican Republic 325.00 20.44
Sovereign Tighteners
Entity Name 5 Yr Mid Change (%) Change (bps) CPD (%)
Hong Kong 36.77 -9.41 -3.82 3.10
New Zealand 42.61 -5.43 -2.45 3.59
Norway 15.25 -4.80 -0.77 1.32
Slovakia 60.04 -4.72 -2.98 5.05
Ukraine 724.30 -4.19 -31.64 38.48
Australia 33.86 -4.04 -1.43 2.87
Russia 133.03 -3.49 -4.81 8.80
Estonia 102.45 -2.60 -2.73 6.83
Sovereign Wideners
Entity Name 5 Yr Mid Change (%) Change (bps) CPD (%)
Greece 301.29 +5.62 +16.04 22.49
Denmark 29.99 +3.96 +1.14 2.55
China 63.20 +3.80 +2.31 5.33
Spain 96.00 +3.30 +3.07 7.86
Sweden 33.16 +2.99 +0.96 2.83
Belgium 47.66 +2.96 +1.37 4.01
Netherlands 30.98 +2.93 +0.88 2.64
Portugal 115.15 +2.75 +3.08 9.29

Global Financial Risk Monitor

USA

Entity Name 5 Yr Mid Change bps Change %
Bank of America Corp. 122.30 1.89 1.57
Wells Fargo & Company 94.34 1.81 1.96
JP Morgan Chase & Co. 64.35 0.39 0.61
Morgan Stanley 135.53 3.18 2.40
Goldman Sachs Group Inc 106.76 2.03 1.93

UK

Entity Name 5 Yr Mid Change bps Change %
Bank of Scotland plc 131.98 3.52 2.74
Barclays Bank Plc 80.68 1.74 2.20
Lloyds TSB Bank Plc 131.77 3.46 2.69
Royal Bank of Scotland Group Plc 133.12 3.06 2.35

Europe

Entity Name 5 Yr Mid Change bps Change %
Banco Santander, S.A. 97.21 1.52 1.59
Credit Agricole SA 84.18 0.65 0.78
Deutsche Bank AG 81.93 1.68 2.09
ING Bank NV 70.42 1.77 2.58
UniCredit SpA 85.28 1.94 2.33

Asia

Entity Name 5 Yr Mid Change bps Change %
Australia & New Zealand Banking Group Limited 73.13 -7.05 -8.79
Mitsubishi UFJ Financial Group, Inc. 65.58 -2.30 -3.39
Nomura Securities Co Ltd 129.57 -2.46 -1.86
Standard Chartered Bank 72.68 -0.71 -0.97

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 41.91 52.30 63.05 85.21 94.83 105.48
Market Spread 83.00
Skew -2.21
Month To Date -5.33 -5.00 -5.51 -6.28 -6.05 -6.00

CDX North America HY , Series 13

1YR 2YR 3YR 5YR 7YR 10YR
Fair Value 243.40 (102.00) 307.32 (103.33) 381.49 (103.08) 488.43 (100.47) 497.17 (100.15) 491.20 (100.56)
Market Spread 404.19 (102.48) 511.75 (99.53)
Skew +22.70 +23.32
Month To Date -43.15 -48.05 -49.86 -46.23 -40.53 -36.45

iTraxx Europe, Series 12

3YR 5YR 7YR 10YR
Fair Value 61.47 78.97 87.22 94.20
Market Spread 74.19
Skew -4.78
Month To Date -10.47 -12.09 -12.14 -12.46

iTraxx Europe Crossover, Series 12

3YR 5YR 7YR 10YR
Fair Value 362.06 425.96 436.17 432.27
Market Spread 406.82
Skew -19.13
Month To Date -57.83 -48.97 -43.20 -40.28