Europe’s credit derivatives indices rolled today, with the launch of the new iTraxx series 11 replacing many of the index’s underperforming names. As a result Europe’s crossover index of mostly junk rated borrowers’ CDS was being quoted at a mid-price of 920bp on this quiet Friday morning.
Despite the fact that, on the face of it, the index is much tighter, traders generally saw it as unchanged. The main investment grade index was quoted at 169bp bid.
Last night the US credit derivatives market’s most-traded index, CDX NA IG, of investment grade borrowers’ CDS, closed pretty much unchanged on the day at 229.54bp. The Japan CDS index closed 10bp tighter overnight at 467.8bp.
According to data providers CMA, some of the worst performing corporate credits were Allied Domecq, whose CDS moved 7bp wider to 190.77bp, and Energie Baden-Wuerttemberg, which moved nearly 10 per cent wider to 60.375bp.
Two of the better performers were Merck KGaA, whose CDS tightened 7.6bp to 263.3bp, and Reuters Group whose CDS tightned by 6.7bp to 32.6bp.