Market Data — Thursday, 2 September 2010 23:30 BST

The most credible credit
market data available

Market Movers

Largest Widening Spreads (Greatest Credit Deterioration)
Entity Name 5 Yr Mid Change From Close
bps bps %
Anglo Irish Bank Corporation Limited (SUB) 1200.98 +164.78 +15.90
Apache Corp 69.11 +8.10 +13.28
Wendys International Inc 256.91 +23.63 +10.13
Expedia, Inc. 170.24 +11.16 +7.01
Pactiv Corporation 421.30 +21.88 +5.48

Anglo Irish Bank Corporation Limited (SUB)

top movers time series Anglo Irish Bank Corporation Limited (SUB)

Apache Corp

top movers time series Apache Corp

Wendys International Inc

top movers time series Wendys International Inc

Expedia, Inc.

top movers time series Expedia, Inc.

Pactiv Corporation

top movers time series Pactiv Corporation
Largest Tightening Spreads (Greatest Credit Improvement)
Entity Name 5 Yr Mid Change From Close
bps bps %
Block Financial LLC 299.99 -46.29 -13.37
Natixis (SUB) 212.34 -31.72 -13.00
Natixis 134.93 -19.90 -12.85
Stora Enso Oyj 277.79 -34.53 -11.06
Norske Skogindustrier ASA 1119.35 -122.20 -9.84

Block Financial LLC

top movers time series Block Financial LLC

Natixis (SUB)

top movers time series Natixis (SUB)

Natixis

top movers time series Natixis

Stora Enso Oyj

top movers time series Stora Enso Oyj

Norske Skogindustrier ASA

top movers time series Norske Skogindustrier ASA


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.

Highest Default Probabilities
Entity Name Mid Spread CPD (%)
Venezuela 1250.29 56.90
Greece 876.53 51.90
Argentina 892.06 44.69
Pakistan 834.40 43.11
Ukraine 543.00 31.08
Dubai/Emirate of 463.76 27.10
Iraq 440.40 26.20
Ireland 335.47 24.69
Portugal 302.09 22.66
Romania 369.96 22.47
Sovereign Tighteners
Entity Name 5 Yr Mid Change (%) Change (bps) CPD (%)
Germany 36.97 -8.18 -3.30 3.14
Sweden 34.21 -8.01 -2.98 2.91
Portugal 302.09 -7.94 -26.05 22.66
France 74.26 -6.55 -5.21 6.21
Denmark 36.76 -5.47 -2.13 3.12
Netherlands 45.29 -4.99 -2.38 3.83
New Zealand 59.59 -4.55 -2.84 4.99
United Kingdom of Great Britain and Northern Ireland 65.68 -4.29 -2.94 5.53
Sovereign Wideners
Entity Name 5 Yr Mid Change (%) Change (bps) CPD (%)
Morocco 130.54 +4.73 +5.90 8.60
Dubai/Emirate of 463.76 +0.16 +0.73 27.10
Venezuela 1250.29 +0.12 +1.47 56.90
Ireland 335.47 +0.05 +0.17 24.69

Global Financial Risk Monitor

USA

Entity Name 5 Yr Mid Change bps Change %
Bank of America Corp. 172.22 -7.19 -4.01
Wells Fargo & Company 114.94 -4.26 -3.58
JP Morgan Chase & Co. 99.65 -4.81 -4.61
Morgan Stanley 195.68 -5.58 -2.77
Goldman Sachs Group Inc 159.64 -2.96 -1.82

UK

Entity Name 5 Yr Mid Change bps Change %
Bank of Scotland plc 173.58 -0.40 -0.23
Barclays Bank Plc 122.96 -3.39 -2.68
Lloyds TSB Bank Plc 181.47 -1.94 -1.06
Royal Bank of Scotland Group Plc 181.68 -3.52 -1.90

Europe

Entity Name 5 Yr Mid Change bps Change %
Banco Santander, S.A. 165.02 -7.07 -4.11
Credit Agricole SA 130.50 -6.37 -4.66
Deutsche Bank AG 104.71 -4.55 -4.17
ING Bank NV 117.46 -1.00 -0.84
UniCredit SpA 152.59 -2.70 -1.74

Asia

Entity Name 5 Yr Mid Change bps Change %
Australia & New Zealand Banking Group Limited 118.73 -3.12 -2.56
Bank of Tokyo-Mitsubishi UFJ, Ltd./The 67.12 -0.09 -0.13
Standard Chartered Bank 91.54 -1.99 -2.12

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 56.67 71.26 86.17 114.44 124.79 132.65
Market Spread 109.00
Skew -5.44
Month To Date -0.92 -1.24 -1.58 -3.41 -2.24 -2.35

CDX North America HY , Series 14

1YR 2YR 3YR 5YR 7YR 10YR
Fair Value 321.49 (101.42) 402.54 (101.69) 483.97 (100.41) 586.47 (96.53) 586.96 (95.56) 573.27 (95.35)
Market Spread 504.80 (99.88) 580.50 (96.78)
Skew +20.84 -5.97
Month To Date -9.87 -12.22 -9.96 -13.15 -9.82 -8.50

iTraxx Europe, Series 13

3YR 5YR 7YR 10YR
Fair Value 102.28 121.35 126.56 130.97
Market Spread 111.92
Skew -9.44
Month To Date -4.77 -5.68 -5.52 -5.53

iTraxx Europe Crossover, Series 13

3YR 5YR 7YR 10YR
Fair Value 442.72 513.40 517.11 508.80
Market Spread 506.62
Skew -6.77
Month To Date -13.23 -19.74 -17.39 -15.79