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European corporate CDS indexes surge to pandemic highs

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(Reuters) – Credit default swap indexes measuring the cost of insuring against European corporate bond defaults jumped on Monday to their highest since 2020 as markets sold off sharply after red-hot U.S. inflation data and a COVID-19 warning in China.

The spread on the iTraxx European Crossover index, which measures the cost of insuring exposure to a basket of sub-investment-grade European companies surged nearly 27 basis points (bps) to 525.6 bps, the highest since May 2020 when markets were gripped by the fallout of the coronavirus pandemic.

It has risen nearly 90 bps over the last week as inflation and growth fears, topped by the European Central Bank laying out its plans to remove stimulus, have hit risk assets.

The spread on the iTraxx European index, which measures the cost of insuring against investment-grade corporate bond defaults rose 5 bps to 104.5 bps, the highest since April 2020.

European corporate CDS indexes surge to pandemic highs

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