Market Data
Movers
Friday, 3 July 2009 — 23:30
Suzuki Motor Corp
Toyota Motor Corporation
British Energy Holdings plc
Acom Co Ltd
Sumitomo Mitsui Banking Corp (SUB)
Repsol YPF SA
Yorkshire Water Services Limited
Exxon Mobil Corporation
XTO Energy Inc
WIND Hellas Telecommunications S.A. (SUB)
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 →.
Top Cumulative Probabilities of Default
|
Entity Name
|
Mid Spread
|
CPD (%)
|
| Argentina |
1979.60 |
71.88 |
| Ukraine |
1666.57 |
65.01 |
| Venezuela |
1425.00 |
62.63 |
| Latvia, Republic of |
680.00 |
37.49 |
| Iceland |
659.10 |
36.67 |
| Dubai/Emirate of |
532.50 |
31.45 |
| Kazakhstan |
490.00 |
29.63 |
| Lithuania |
497.06 |
29.42 |
| Bulgaria |
389.49 |
24.15 |
| Romania |
388.72 |
24.10 |
Sovereign Tighteners
|
Entity Name
|
5 Yr Mid
|
Change (%)
|
Change (bps)
|
CPD (%)
|
| Qatar |
155.92 |
-4.70 |
-7.69 |
10.58 |
| Hungary |
340.34 |
-1.88 |
-6.53 |
21.47 |
| Slovakia |
75.36 |
-1.83 |
-1.40 |
6.53 |
| Ukraine |
1666.57 |
-1.60 |
-27.12 |
65.01 |
| Spain |
83.52 |
-1.32 |
-1.12 |
7.16 |
| Dubai/Emirate of |
532.50 |
-0.91 |
-4.91 |
31.45 |
| Turkey |
265.06 |
-0.72 |
-1.94 |
17.32 |
| Hong Kong |
68.66 |
-0.49 |
-0.34 |
5.92 |
Sovereign Wideners
|
Entity Name
|
5 Yr Mid
|
Change (%)
|
Change (bps)
|
CPD (%)
|
| Netherlands |
44.85 |
+2.82 |
+1.23 |
3.90 |
| Vietnam |
317.23 |
+2.62 |
+8.11 |
20.12 |
| Germany |
31.90 |
+2.42 |
+0.75 |
2.81 |
| Thailand |
108.80 |
+2.22 |
+2.36 |
7.41 |
| Malaysia |
105.56 |
+2.02 |
+2.09 |
9.00 |
| Bahrain |
350.00 |
+1.94 |
+6.67 |
22.34 |
| Greece |
134.23 |
+1.83 |
+2.41 |
11.27 |
| Italy |
87.18 |
+1.78 |
+1.52 |
7.44 |
Global Financial Risk Monitor
USA
| Entity Name |
5 Yr Mid |
Change bps |
Change % |
| Bank of America Corp. |
211.74 |
0.11 |
0.05 |
| Wells Fargo & Company |
145.58 |
0.10 |
0.07 |
| JP Morgan Chase & Co. |
107.39 |
0.40 |
0.38 |
| Morgan Stanley |
197.67 |
0.12 |
0.06 |
| Goldman Sachs Group Inc |
151.63 |
-0.65 |
-0.43 |
UK
| Entity Name |
5 Yr Mid |
Change bps |
Change % |
| Bank of Scotland plc |
176.32 |
1.21 |
0.69 |
| Barclays Bank Plc |
134.74 |
0.99 |
0.74 |
| Lloyds TSB Bank Plc |
169.79 |
-0.71 |
-0.42 |
| Royal Bank of Scotland Group Plc |
167.94 |
2.11 |
1.27 |
Europe
| Entity Name |
5 Yr Mid |
Change bps |
Change % |
| Banco Santander, S.A. |
90.02 |
-0.70 |
-0.77 |
| Credit Agricole SA |
108.61 |
0.36 |
0.33 |
| Deutsche Bank AG |
109.58 |
-0.76 |
-0.69 |
| ING Bank NV |
82.84 |
-0.25 |
-0.30 |
| UniCredit SpA |
117.09 |
-0.31 |
-0.27 |
Asia
| Entity Name |
5 Yr Mid |
Change bps |
Change % |
| Australia & New Zealand Banking Group Limited |
97.10 |
2.34 |
2.47 |
| Standard Chartered Bank |
141.56 |
1.49 |
1.06 |
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 12
|
1YR |
2YR |
3YR |
5YR |
7YR |
10YR |
| Fair Value |
147.95 |
148.53 |
147.84 |
148.80 |
140.44 |
132.36 |
| Market Spread |
|
|
|
137.48 |
|
|
| Skew |
|
|
|
-11.31 |
|
|
| Month To Date |
+12.27 |
+10.15 |
+12.13 |
+14.36 |
+16.31 |
+15.76 |
CDX North America IG , Series 11
|
1YR |
2YR |
3YR |
5YR |
7YR |
10YR |
| Fair Value |
202.37 |
200.34 |
196.56 |
184.64 |
171.21 |
156.80 |
| Market Spread |
|
|
|
174.00 |
|
|
| Skew |
|
|
|
-10.64 |
|
|
| Month To Date |
+19.20 |
+17.09 |
+16.66 |
+18.22 |
+19.67 |
+18.71 |
CDX North America HY , Series 12
|
1YR |
2YR |
3YR |
5YR |
7YR |
10YR |
| Fair Value |
1039.55 |
960.18 |
931.59 |
878.12 |
800.59 |
731.94 |
| Market Spread |
|
|
|
970.96 |
|
|
| Skew |
|
|
|
+92.84 |
|
|
| Month To Date |
-240.41 |
-116.11 |
-73.62 |
-18.83 |
-2.50 |
+4.56 |
CDX North America HY , Series 11
|
1YR |
2YR |
3YR |
5YR |
7YR |
10YR |
| Fair Value |
1406.23
(95.86)
|
1008.59
(93.26)
|
975.93
(90.05)
|
917.16
(86.11)
|
843.67
(85.34)
|
762.97
(85.96)
|
| Market Spread |
|
|
|
958.62
(85.00)
|
|
|
| Skew |
|
|
|
+41.46 |
|
|
| Month To Date |
-190.40 |
-190.05 |
-99.84 |
-36.95 |
-11.28 |
-2.95 |
iTraxx Europe, Series 11
|
3YR |
5YR |
7YR |
10YR |
| Fair Value |
112.62 |
117.92 |
117.53 |
116.22 |
| Market Spread |
|
114.77 |
|
|
| Skew |
|
-3.15 |
|
|
| Month To Date |
-12.98 |
-5.91 |
-2.89 |
-0.61 |
iTraxx Europe, Series 10
|
3YR |
5YR |
7YR |
10YR |
| Fair Value |
126.42 |
130.73 |
129.89 |
127.01 |
| Market Spread |
|
|
|
|
| Skew |
|
|
|
|
| Month To Date |
-9.03 |
-3.17 |
+0.43 |
+2.73 |
iTraxx Europe Crossover, Series 11
|
3YR |
5YR |
7YR |
10YR |
| Fair Value |
777.77 |
746.55 |
694.07 |
644.18 |
| Market Spread |
|
737.97 |
|
|
| Skew |
|
-8.57 |
|
|
| Month To Date |
+15.50 |
+40.86 |
+45.79 |
+47.11 |
iTraxx Europe Crossover, Series 10
|
3YR |
5YR |
7YR |
10YR |
| Fair Value |
871.03 |
828.44 |
760.26 |
687.37 |
| Market Spread |
|
|
|
|
| Skew |
|
|
|
|
| Month To Date |
-18.26 |
+24.44 |
+29.37 |
+27.42 |
