Bloomberg News

U.S. Corporate Risk Benchmark Halts Three Days of Declines

September 28, 2011

Sept. 28 (Bloomberg) -- A benchmark gauge of U.S. corporate credit risk snapped three days of declines after German Chancellor Angela Merkel signaled that Greece’s bailout may need to be renegotiated.

The Markit CDX North America Investment Grade Index, which investors use to hedge against losses on corporate debt or to speculate on creditworthiness, rose 2.2 basis point to a mid price of 138.4 basis points as of 12:56 p.m. in New York, according to index administrator Markit Group Ltd.

The swaps index, which typically falls as investor confidence improves and rises as it deteriorates, dropped 8.9 basis points in the prior three trading days as investor optimism grew that Europe’s leaders were making progress in stemming the region’s sovereign debt crisis.

Credit-default 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.

--Editor:

To contact the reporter on this story: Mary Childs in New York at mchilds5@bloomberg.net

To contact the editor responsible for this story: Pierre Paulden at ppaulden@bloomberg.net


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