New Series of Corporate Credit-Default Swap Indexes Open TradingBy
The latest series of benchmarks measuring the cost of insuring against losses on corporate debt started trading.
Gauges of credit-default swaps on companies in Europe, Asia, Japan and Australia rolled into their 26th series. The 27th version of the Markit CDX North America Investment Grade Index also opens on Tuesday and the high-yield measure starts trading on Sept. 27.
Five companies changed in Europe’s high-yield benchmark and two in its investment-grade measure. Members of the financial gauges didn’t change. New benchmarks are created every six months when companies are added or dropped depending on their ratings, cost of protection and ease of trading.
The Markit iTraxx Crossover Index linked to 75 companies with mostly junk ratings cost 336 basis points at 8:37 a.m. in London. That compares with 326 basis points for the previous series at the close of trading on Monday, according to data compiled by Bloomberg. Deutsche Lufthansa AG, Nokia Oyj, TUI AG, Metsa Board Oyj and Unilabs SA joined the measure instead of Alstom SA, British Airways Plc, Elis SA, Melia Hotels International SA and UPM-Kymmene Oyj.
The new high-yield portfolio has “slightly lower quality,” with an average spread of 125 basis points for the companies joining the index, compared with 100 basis points for those leaving, Ioannis Angelakis, a credit derivatives strategist at Bank of America Corp. in London, wrote in a note to clients.
The Markit iTraxx Europe Index linked to 125 companies with investment-grade ratings was at 74 basis points, compared with 69 basis points on the previous version on Monday. Imperial Brands Plc and SSE Plc replaced Compass Group Plc and RWE AG.
The Markit iTraxx Financial Index of credit-default swaps on the senior debt of 30 banks and insurers rose to 99 basis points from 93 basis points on the earlier version, and the subordinated index increased to 217 basis points from 203 basis points on the previous series.