European credit derivatives markets were in recovery mode on Friday morning. Despite the shock of yesterday’s news that the UK could lose its triple-A rating, indices across the board in Europe tightened.
The Markit Europe main index of the leading investment grade borrowers’ CDS - contracts that provide a form of insurance against default on debt – was quoted tighter at around 123 basis points on Friday from a closing level of 127.57bps. on Thursday. Yesterday it had closed 7.57bps wider.
The Crossover index of mostly junk borrowers CDS was quoted at around a mid price of 750bps from a closing level on Thursday of 765.36bps.Yesterday it had closed a whopping 26.6bps wider.
Amongst individual names, one trend picked up by data providers CMA was the tightening of CDS covering Asian automakers. Suzuki, Toyota and Honda all saw their CDS tightening – Suzuki the most at 8.6 per cent.
Overnight the US credit derivatives indices across the board ended the day wider. The CDX North America, the key index for the region, was quoted 2.26bps wider at 146.2bps. The iTraxx Japan index traded 13bps tighter overnight to close at 205bps.