Credit Default Swap Pricing Movement Spreads to Global Banks and Utilities

Fitch Solutions' latest Risk and Performance Monitor notes that the focus on credit default swap (CDS) pricing movement has shifted from sovereigns to global banks and utilities. CDS on financial institutions are underperforming the broader credit markets, with spreads on North American and European banks widening the most.

Key Takeaways:

• CDS spreads on North American banks have widened by 7.3% and those on European banks by 4.7%, with spreads on Japanese electric power companies moving out by an average of 77%.
• U.S. banks such as Wells Fargo & Co. (14%) and Citigroup Inc. (11%) and Italian banks like Banca Popolare di Milano (36%), Unione Di Banche Italiante (16.5%), and Unicredit SpA (15.8%) are among the big movers.
• Utilities sold off more than for any other sector last week, with notable underperformance evident among Japanese electric power companies.
• The 'Fitch Risk and Performance Monitor', published weekly, provides market data and analysis on CDS pricing movement.
• Additional market data and analysis are available at Fitch Solutions' Twitter account (@fitchsolutions).

Statistics:

• 7.3% widening of CDS spreads on North American banks.
• 4.7% widening of CDS spreads on European banks.
• 14% increase in Wells Fargo & Co. CDS spreads.
• 11% increase in Citigroup Inc. CDS spreads.
• 36% increase in Banca Popolare di Milano CDS spreads.
• 16.5% increase in Unione Di Banche Italiante CDS spreads.
• 15.8% increase in Unicredit SpA CDS spreads.
• 77% average widening of CDS spreads on Japanese electric power companies.