Email of the day (1)
Comment of the Day

September 27 2011

Commentary by Eoin Treacy

Email of the day (1)

on CDS indices:
"The chart library has an excellent collection of graphs of sovereign CDS prices. I do not see as many CDS index prices for corporate bonds. I do see the ITRAXX Europe and North American high yield indices. A similar index for the emerging markets in the chart library has not updated for quite some time.

"Since the credit markets are so much the focus today could you please look into what is available in Bloomberg and provide us with as many Investment Grade and High Yield CDS Indices from different regions of the world as you can?

"Maybe even review their performance?

"Also Greek 10 year bond rates have not updated for some time."

Eoin Treacy's view Thank you for these suggestions. We have a number of CDS prices for individual Eurozone banks in the Chart Library which may be of interest. These can be found using 'CDS' as the search parameter. Unfortunately we are limited in the number of generic CDS indices we can add to the Chart Library because most are not freely available. Bloomberg does not appear to be updating the Greek 5yr CDS. I have contacted the Help Desk and they are looking into it.

The Markit CDX North America High Yield S14 06/15 Index broke successfully above 600 basis points in August and continues to hold above that level. The CDX North American Investment Grade has a similar pattern of increased perception of risk and continues to trend higher.

The Markit iBoxx EUR Liquid High Yield TRI and CDX Emerging Market Generic Index are both price indices and share a simply pattern of increased risk perception.

CDS indices are useful barometers of risk perception but I have doubts as to how forward looking they are. For sovereign bonds I prefer to monitor spread charts and for individual equities I think shares are as useful as CDS.

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