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Sovereign, Corporate Default Risk Rises in Europe, Swaps Show

The cost of insuring sovereign and corporate debt rose in Europe, reversing an earlier decline, according to credit-default swaps traders.

The Markit iTraxx SovX Western Europe Index of swaps on 15 governments climbed 3.5 basis points to 282.5 as of 11:35 a.m. in London, its third day of increases, BNP Paribas SA prices show.

The Markit iTraxx Crossover Index of contracts linked to 50 companies with mostly high-yield credit ratings jumped 18.5 basis points to 616.5. The gauge had risen each day since a new series of the index started on March 20.

The Markit iTraxx Financial Index of credit-default swaps on the senior debt of 25 banks and insurers rose 12 basis points to 217, while a gauge of subordinated debt risk was up 15.5 basis points at 338.5, BNP Paribas prices show.

The Markit iTraxx Europe Index of 125 companies with investment-grade ratings rose five basis points to 122.

A basis point on a credit-default swap protecting 10 million euros ($13.2 million) of debt from default for five years is equivalent to 1,000 euros a year. Swaps pay the buyer face value in exchange for the underlying securities or the cash equivalent should a borrower fail to adhere to its debt agreements.

editor responsible for this story: Paul Armstrong in London at

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