The graphs of the CDX Indices are shown below, with the red line indicating the spreads easing over the past few days.

CDX (North American, Investment Grade) Index

Source: Markit

CDX (North America, High Yield) Index

Source: Markit

Lastly, some CDS statistics as at November 26, courtesy of Markit. These prices represent the cost per year to insure $10,000 of debt for five years. For example, Italy is in most trouble among the G7 countries with a cost of $139 per year to insure $10,000 of debt.

It is noteworthy that the US and UK CDSs are trading at record levels as unease over the level of national debt takes its toll on their sovereign credit risk.



The TED and the LIBOR-OIS spreads have eased (i.e. narrowed) since the panic levels of October 10, whereas the CDX and iTraxx indices have also shown some improvement over the past few days. However, US Treasury Bills and high-yield spreads are still at distressed levels.

In summary, although some progress has been made as a result of central banks’ liquidity facilities and capital injections, the credit markets are not yet thawing.