Bloomberg News

U.S. Corporate Credit Risk Benchmark Rises From Three-Week Low

October 13, 2011

Oct. 13 (Bloomberg) -- A benchmark gauge of U.S. corporate credit risk rose from the lowest level in three weeks as China’s export growth slowed, reviving concern that the global economy may falter.

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 points to a mid-price of 132.5 basis points at 8:19 a.m. New York time, according to index administrator Markit Group Ltd.

The index, which typically rises as investor confidence deteriorates and falls as it improves, reached 130.3 basis points yesterday, the lowest level since Sept. 20. The swaps index had decreased from 150.1 on Oct. 3 as European leaders signaled progress in stemming the region’s sovereign debt crisis.

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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