Asia-Pacific Credit-Default Swap Indexes Roll Into New SeriesBenjamin Purvis
The latest series of Markit Group Ltd.’s indexes measuring the cost of insuring Asia-Pacific debt with credit-default swaps started trading today.
The Series 19 Markit iTraxx Australia index was at 120.5 basis points as of 11:33 a.m. in Sydney, according to National Australia Bank Ltd. prices. That compares with a closing price of 105.3 basis points for the previous series yesterday, according to data provider CMA. Series 18 was at 107.5 basis points today, according to NAB.
The latest version of the Markit iTraxx Asia index of 40 investment-grade borrowers outside Japan was at 121.5 basis points as of 8:40 a.m. in Hong Kong, Australia & New Zealand Banking Group Ltd. prices show. The previous series closed at 103.4 basis points yesterday, according to CMA, which is owned by McGraw-Hill Cos. and compiles prices quoted by dealers in the privately negotiated market. Series 18 was at 106 basis points today, according to ANZ prices.
The new Markit iTraxx Japan series will begin trading tomorrow following a public holiday today in the country.
Fresh versions of the benchmarks are created every six months when companies are added or dropped depending on their ratings, cost of protection and ease of trading. The maturity date of the new indexes is June 2018, compared with December 2017 on the Series 18 versions.
Default swaps on Goodman Group, SP AusNet and Asciano Ltd. were added to the Australian index, while AMP Ltd., Crown Ltd. and Jemena Ltd. were dropped, according to information on Markit’s website. There were no changes to the constituents of the Asian gauge.
Contracts on Ricoh Co. and Sumitomo Chemical Co. were added to the Japan series, with Sharp Corp. and Mitsui & Co. removed, Markit said.
Credit-default swap indexes are benchmarks for protecting bonds against default and traders use them to speculate on credit quality. A drop signals improving perceptions of creditworthiness, while an increase suggests the opposite.
The swap contracts pay the buyer face value in exchange for the underlying securities if a borrower fails to meet its debt agreements.