Credit-Default Index Falls as Labor Department Says Jobless Claims Dropped

A gauge of corporate credit risk in the U.S. fell to the lowest in more than four weeks after a government report showed applications for jobless benefits fell more than forecast last week.

The Markit CDX North America Investment Grade Index, a credit-default swaps benchmark that investors use to hedge against losses on corporate debt or to speculate on creditworthiness, declined 2.2 basis points to a mid-price of 103.2 basis points as of 8:47 a.m. in New York, according to Markit Group Ltd. The index, which was trading at the lowest since Aug. 9, typically falls as investor confidence improves and rises as it deteriorates.

Initial jobless claims dropped by 27,000 to 451,000 in the week ended Sept. 4, U.S. Labor Department data showed today. Economists had forecast claims of 470,000, according to the median of 46 estimates in a Bloomberg News survey.

Credit swaps pay the buyer face value if a borrower fails to meet its obligations, less the value of the defaulted debt. A basis point equals $1,000 annually on a contract protecting $10 million of debt.

To contact the reporter on this story: Shannon D. Harrington in New York at sharrington6@bloomberg.net

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