Fitch Solutions: JPMorgan CDS 32% Wider; BofA Spreads Out 14%

Mounting concerns over the health of large U.S. banks are manifesting in both widening credit default swap (CDS) spreads and higher liquidity among two of the sector's biggest names, according to Fitch Solutions.

JPMorgan & Chase Co. (JPMorgan) and Bank of America Corporation (BofA) have underperformed their peers over the past quarter. JP Morgan's CDS has widened 32% while BofA's spreads are 14% wider, compared with 4% widening observed across all North American banks. CDS liquidity picked up for both banks as well. While North American banks have performed well over the past three months, the CDS market continues to make clear distinctions among names within the sector, according to Author and Managing Director Jonathan Di Giambattista.

'Despite recent spread volatility, the market is still pricing JPMorgan in-line with AA-rated credits,' said Di Giambattista. 'In contrast, BofA, is pricing in line with BBB- names while its high liquidity signals widespread uncertainty over future prospects.'

On the positive side, technology mainstays Intel Corporation (Intel) and Advance Micro Devices Inc. (AMD) are both outperforming their counterparts, with credit markets continuing to price default risk for Intel at an 'AAA' level despite minor spread widening of late. Similarly, AMD's CDS spreads have tightened 2% over the past three months, pricing in line with 'B' levels, tight of its historical trading pattern.

General Electric Company is also on the upswing, with CDS 10% tighter over the past three months. General Electric has made strides in recovering from the stressed CDS levels seen a year ago,' said Di Giambattista.

ALCOA Inc. (BASIC MATERIALS/Industrial Metals)

Credit spreads have widened over the last three months, with the five-year point widening from 165 basis points (bps) to 209 bps, an increase of 27%. The liquidity score on ALCOA Inc. decreased from 7.42 to 6.73 over the three-month period, causing an increase in liquidity from trading in the 4th percentile to the 2nd percentile.

Advanced Micro Devices, Inc. (TECHNOLOGY/Technology Hardware & Equipment)

Credit spreads have tightened over the last three months, with the five-year point tightening from 577 bps to 566 bps, a decrease of -2%. The liquidity score on Advanced Micro Devices, Inc. decreased from 7.76 to 7.45 over the three-month period, causing a decrease in liquidity from trading in the 10th percentile to the 14th percentile.

AMR Corporation (CONSUMER SERVICES/Travel & Leisure)

Credit spreads have tightened over the last three months, with the five-year point tightening from 1631 bps to 965 bps, a decrease of -41%. The liquidity score on AMR Corporation decreased from 8.37 to 7.66 over the three-month period, causing an increase in liquidity from trading in the 28th percentile to the 21st percentile.

Bank of America Corporation (FINANCIALS/Banks)

Credit spreads have widened over the last three months, with the five-year point widening from 103 bps to 117 bps, an increase of 14%. The liquidity score on Bank of America Corporation decreased from 7.73 to 7.05 over the three-month period, causing an increase in liquidity from trading in the 9th percentile to the 5th percentile.

Peabody Energy Corporation (BASIC MATERIALS/Mining)

Credit spreads have widened over the last three months, with the five-year point widening from 139 bps to 160 bps, an increase of 15%. The liquidity score on Peabody Energy Corporation decreased from 8.77 to 8.17 over the three-month period, causing an increase in liquidity from trading in the 40th percentile to the 38th percentile.

CSX Corporation (INDUSTRIALS/Industrial Transportation)

Credit spreads have widened over the last three months, with the five-year point widening from 44 bps to 61 bps, an increase of 37%. The liquidity score on CSX Corporation decreased from 7.97 to 7.64 over the three-month period, causing a decrease in liquidity from trading in the 16th percentile to the 20th percentile.

Gannett Co., Inc. (CONSUMER SERVICES/Media)

Credit spreads have widened over the last three months, with the five-year point widening from 291 bps to 334 bps, an increase of 15%. The liquidity score on Gannett Co., Inc. decreased from 7.98 to 7.31 over the three-month period, causing an increase in liquidity from trading in the 17th percentile to the 10th percentile.

General Electric Company (CONSUMER GOODS/Household Goods)

Credit spreads have tightened over the last three months, with the five-year point tightening from 130 bps to 117 bps, a decrease of -10%. The liquidity score on General Electric Company decreased from 10.14 to 9.29 over the three-month period, causing an increase in liquidity from trading in the 73rd percentile to the 62nd percentile.

Intel Corporation (TECHNOLOGY/Technology Hardware & Equipment)

Credit spreads have widened over the last three months, with the five-year point widening from 30 bps to 36 bps, an increase of 21%. The liquidity score on Intel Corporation decreased from 10.32 to 9 over the three-month period, causing an increase in liquidity from trading in the 75th percentile to the 57th percentile.

JPMorgan Chase & Co. (FINANCIALS/Banks)

Credit spreads have widened over the last three months, with the five-year point widening from 48 bps to 63 bps, an increase of 32%. The liquidity score on JPMorgan Chase & Co. decreased from 8.32 to 7.83 over the three-month period, causing an increase in liquidity from trading in the 27th percentile to the 25th percentile.

Kinder Morgan Energy Partners L.P. (OIL & GAS/Oil Equipment, Services & Distribution)

Credit spreads have widened over the last three months, with the five-year point widening from 86 bps to 118 bps, an increase of 37%. The liquidity score on Kinder Morgan Energy Partners L.P. decreased from 7.99 to 7.46 over the three-month period, causing an increase in liquidity from trading in the 17th percentile to the 15th percentile.

Mattel Inc. (CONSUMER GOODS/Leisure Goods)

Credit spreads have widened over the last three months, with the five-year point widening from 71 bps to 95 bps, an increase of 35%. The liquidity score on Mattel Inc. decreased from 9.14 to 8.59 over the three-month period, causing an increase in liquidity from trading in the 52nd percentile to the 49th percentile.

The Progressive Corporation (FINANCIALS/Nonlife Insurance)

Credit spreads have tightened over the last three months, with the five-year point tightening from 89 bps to 77 bps, a decrease of -14%. The liquidity score on The Progressive Corporation increased from 11.37 to 11.39 over the three-month period, causing a decrease in liquidity from trading in the 83rd percentile to the 86th percentile.

Charles Schwab Corporation (The) (FINANCIALS/General Financial)

Credit spreads have tightened over the last three months, with the five-year point tightening from 55 bps to 48 bps, a decrease of -13%. The liquidity score on Charles Schwab Corporation (The) decreased from 11.22 to 10.14 over the three-month period, causing an increase in liquidity from trading in the 83rd percentile to the 75th percentile.

Yum! Brands Inc. (CONSUMER SERVICES/Travel & Leisure)

Credit spreads have widened over the last three months, with the five-year point widening from 65 bps to 70 bps, an increase of 7%. The liquidity score on Yum! Brands Inc. decreased from 8.21 to 8.15 over the three-month period, causing a decrease in liquidity from trading in the 24th percentile to the 37th percentile.

Fitch Solutions, a division of the Fitch Group, focuses on the development of fixed-income products and services, bringing to market a wide range of data, analytical tools and related services. The division is also the distribution channel for Fitch Ratings content.

The Fitch Group also includes Fitch Ratings and Algorithmics, and is a majority-owned subsidiary of Fimalac, S.A. For additional information, please visit 'www.fitchsolutions.com'; 'www.fitchratings.com'; 'www.algorithmics.com'; and 'www.fimalac.com'.