Bloomberg News

Sovereign, Bank Credit-Default Swap Indexes Fluctuate in Europe

October 11, 2011

Oct. 11 (Bloomberg) -- The cost of insuring against default on European sovereign and financial debt fluctuated, according to traders of credit-default swaps.

The Markit iTraxx SovX Western Europe Index of swaps on 15 governments rose was unchanged at 322 basis points at 12:30 p.m. in London. An increase signals deteriorating perceptions of credit quality; a decline, the opposite.

The Markit iTraxx Financial Index linked to senior debt of 25 banks and insurers increased five basis points to 242 and the subordinated index climbed eight to 488, reversing earlier declines, according to JPMorgan Chase & Co.

Contracts on the Markit iTraxx Crossover Index of 50 companies with mostly high-yield credit ratings decreased 10.5 basis points to 767. The Markit iTraxx Europe Index of 125 companies with investment-grade ratings fell one basis point to 178.5 basis points.

A basis point on a credit-default swap protecting 10 million euros ($13.6 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: Michael Shanahan

To contact the reporter on this story: Abigail Moses in London at

To contact the editor responsible for this story: Paul Armstrong at

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