Bloomberg News

U.S. Corporate Credit Risk Gauge Rises to Highest Since May 2009

October 04, 2011

Oct. 4 (Bloomberg) -- A benchmark gauge of U.S. corporate credit risk rose for a third day to its highest level since May 2009, as investor concern mounted that bondholders may incur bigger losses on Greek bonds, adding to potential bank losses.

The Markit CDX North America Investment Grade Index, which investors use to hedge against losses on corporate debt or to speculate on creditworthiness, rose 2.8 basis points to a mid-price of 152.9 basis points as of 8:01 a.m. in New York, according to index administrator Markit Group Ltd.

The index, which typically rises as investor confidence deteriorates and falls as it improves, has climbed from 136.2 basis points on Sept. 27.

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: John Parry in New York at jparry5@bloomberg.net

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


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