Bloomberg News

Credit Swaps Benchmark in U.S. Pares Decline on Bernanke Speech

August 31, 2012

A benchmark gauge of U.S. company credit risk pared a decline as Federal Reserve Chairman Ben S. Bernanke said he wouldn’t rule out further bond purchases to boost economic growth.

The Markit CDX North America Investment Grade Index of credit-default swaps, which investors use to hedge against losses on corporate debt or to speculate on creditworthiness, rose to a mid-price of 102.1 basis points at 10:24 a.m. in New York, after earlier falling to as low as 100.8 basis points.

The measure, which typically drops as investor confidence improves and rises as it deteriorates, is down from 102.9 basis points yesterday.

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: Shannon D. Harrington at sharrington6@bloomberg.net


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