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Monthly CDS Report

29 November 2013 by HCM

Over the last month, the European CDS market has over-performed the North American market. The iTraxx Europe members are in average 12 bps tighter while the CDX NA members are in average only 6bps tighter. The European Xover members are 35bps tighter while the North American High Yield members are only 18bps tighter. The trading activity is 50% more important in Europe than in the US, with a 6BUSD per day for the iTraxx Europe members and 4BUSD per day for the CDX NA members (bubble colour) while the outstanding notional is 2.3TUSD and 1.7TUSD respectively (bubble size).