Market Movers
| Entity Name | 5 Yr Mid | Change From Close | |
|---|---|---|---|
| bps | bps | % | |
| Natixis | 151.58 | +16.65 | +12.34 |
| Anglo Irish Bank Corporation Limited | 682.83 | +50.45 | +7.98 |
| Cameron International Corp. | 131.66 | +9.39 | +7.68 |
| Natixis (SUB) | 226.26 | +13.92 | +6.56 |
| Celestica Inc. (SUB) | 90.05 | +5.01 | +5.89 |
Natixis
Anglo Irish Bank Corporation Limited
Cameron International Corp.
Natixis (SUB)
Celestica Inc. (SUB)
| Entity Name | 5 Yr Mid | Change From Close | |
|---|---|---|---|
| bps | bps | % | |
| Brisa Finance B.V. | 149.63 | -16.43 | -9.89 |
| Allianz SE | 62.67 | -6.73 | -9.70 |
| Swiss Reinsurance Company | 130.19 | -13.41 | -9.34 |
| Allianz SE (SUB) | 87.14 | -8.75 | -9.12 |
| Swiss Reinsurance Company (SUB) | 159.66 | -14.94 | -8.56 |
Brisa Finance B.V.
Allianz SE
Swiss Reinsurance Company
Allianz SE (SUB)
Swiss Reinsurance Company (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.
| Entity Name | Mid Spread | CPD (%) |
|---|---|---|
| Venezuela | 1250.66 | 56.99 |
| Greece | 858.87 | 51.18 |
| Argentina | 853.89 | 43.13 |
| Pakistan | 829.50 | 43.00 |
| Ukraine | 532.56 | 30.57 |
| Dubai/Emirate of | 462.36 | 27.02 |
| Iraq | 430.20 | 25.67 |
| Ireland | 336.79 | 24.76 |
| Romania | 374.86 | 22.73 |
| Portugal | 290.88 | 21.91 |
| Entity Name | 5 Yr Mid | Change (%) | Change (bps) | CPD (%) |
|---|---|---|---|---|
| Italy | 187.93 | -6.71 | -13.51 | 14.90 |
| Denmark | 34.47 | -6.24 | -2.29 | 2.93 |
| France | 69.83 | -5.97 | -4.43 | 5.84 |
| Argentina | 853.89 | -4.28 | -38.17 | 43.13 |
| United Mexican States | 132.47 | -3.89 | -5.37 | 8.74 |
| Lithuania | 263.87 | -3.82 | -10.49 | 16.55 |
| Portugal | 290.88 | -3.71 | -11.20 | 21.91 |
| Belgium | 116.63 | -3.70 | -4.48 | 9.56 |
| Entity Name | 5 Yr Mid | Change (%) | Change (bps) | CPD (%) |
|---|---|---|---|---|
| Banque Centrale de Tunisie | 124.63 | +2.71 | +3.28 | 8.22 |
| Romania | 374.86 | +1.38 | +5.09 | 22.73 |
| Ireland | 336.79 | +0.39 | +1.32 | 24.76 |
| Lebanon | 288.12 | +0.28 | +0.79 | 18.10 |
| Indonesia | 153.86 | +0.22 | +0.34 | 10.20 |
| Norway | 23.05 | +0.18 | +0.04 | 1.98 |
| Panama | 106.60 | +0.18 | +0.19 | 7.12 |
| Qatar | 94.50 | +0.12 | +0.12 | 6.32 |
Global Financial Risk Monitor
USA
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Bank of America Corp. | 166.26 | -5.86 | -3.40 |
| Wells Fargo & Company | 108.96 | -5.97 | -5.19 |
| JP Morgan Chase & Co. | 95.53 | -3.83 | -3.86 |
| Morgan Stanley | 190.74 | -4.94 | -2.53 |
| Goldman Sachs Group Inc | 150.40 | -9.22 | -5.78 |
UK
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Bank of Scotland plc | 165.65 | -7.93 | -4.57 |
| Barclays Bank Plc | 115.89 | -7.06 | -5.75 |
| Lloyds TSB Bank Plc | 173.84 | -7.63 | -4.20 |
| Royal Bank of Scotland Group Plc | 173.34 | -8.34 | -4.59 |
Europe
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Banco Santander, S.A. | 154.31 | -10.71 | -6.49 |
| Credit Agricole SA | 124.99 | -5.51 | -4.22 |
| Deutsche Bank AG | 99.98 | -4.73 | -4.51 |
| ING Bank NV | 114.65 | -2.81 | -2.39 |
| UniCredit SpA | 143.26 | -9.33 | -6.12 |
Asia
| Entity Name | 5 Yr Mid | Change bps | Change % |
|---|---|---|---|
| Australia & New Zealand Banking Group Limited | 116.60 | -2.13 | -1.79 |
| Bank of Tokyo-Mitsubishi UFJ, Ltd./The | 66.55 | -0.57 | -0.84 |
| Standard Chartered Bank | 89.25 | -2.29 | -2.50 |
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 | 55.06 | 69.56 | 84.19 | 112.38 | 122.90 | 130.85 |
| Market Spread | 106.13 | |||||
| Skew | -6.26 | |||||
| Month To Date | -2.52 | -2.94 | -3.56 | -5.47 | -4.13 | -4.15 |
CDX North America HY , Series 14
| 1YR | 2YR | 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|---|---|
| Fair Value | 315.24 (101.46) | 395.46 (101.81) | 476.56 (100.61) | 579.77 (96.80) | 581.14 (95.85) | 567.87 (95.68) |
| Market Spread | 565.31 (97.38) | |||||
| Skew | -14.46 | |||||
| Month To Date | -16.11 | -19.30 | -17.36 | -19.85 | -15.63 | -13.90 |
iTraxx Europe, Series 13
| 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|
| Fair Value | 99.27 | 117.84 | 123.24 | 127.60 |
| Market Spread | 108.45 | |||
| Skew | -9.39 | |||
| Month To Date | -7.78 | -9.19 | -8.84 | -8.91 |
iTraxx Europe Crossover, Series 13
| 3YR | 5YR | 7YR | 10YR | |
|---|---|---|---|---|
| Fair Value | 429.51 | 502.60 | 506.98 | 498.90 |
| Market Spread | 491.76 | |||
| Skew | -10.84 | |||
| Month To Date | -26.44 | -30.53 | -27.52 | -25.69 |