Bloomberg News

Asia-Pacific Bond Risk Rises, Credit-Default Swap Prices Show

March 29, 2012

The cost of insuring Asia-Pacific corporate and sovereign bonds against non-payment rose, according to credit-default swap traders.

The Markit iTraxx Asia index of 40 investment-grade borrowers outside Japan climbed 4 basis points to 162 basis points as of 8:40 a.m. in Hong Kong, Credit Agricole SA (ACA) prices show. While the gauge is set for its highest close since March 7, it’s poised to fall 44.3 basis points this quarter, its best three-month performance since the second quarter of 2009, according to data provider CMA.

The Markit iTraxx Australia index increased 3.5 basis points to 149.5 of 11:43 a.m. in Sydney, Westpac Banking Corp. (WBC) prices show. The measure is set to end the quarter down 31 basis points, according to CMA, which is owned by CME Group Inc. and compiles prices quoted by dealers in the privately negotiated market.

The Markit iTraxx Japan index advanced 3 basis points to 157 basis points as of 9:32 a.m. in Tokyo, Citigroup Inc. prices show.

Credit-default swap indexes are benchmarks for protecting bonds against default and traders use them to speculate on credit quality. A drop signals improving perceptions of creditworthiness, while an increase suggests the opposite.

The swap contracts pay the buyer face value in exchange for the underlying securities if a borrower fails to meet its debt agreements. A basis point is 0.01 percentage point.

To contact the reporter on this story: Wendy Mock in Hong Kong at wmock3@bloomberg.net

To contact the editor responsible for this story: Shelley Smith at ssmith118@bloomberg.net


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