Per the WSJ:
The CDS’s of Citigroup, which lost 23% Wednesday, reflected a cost of $400,000 for protecting $10 million in bonds against default over five years. That’s up from $240,000 on Tuesday, according to Phoenix Partners Group.
The data in the fixed-income market is no more encouraging. Investment-grade banking bonds closed Wednesday at an average spread of 5.35 percentage points over comparable Treasurys, according to Barclays Capital.
The cost of protection for Morgan Stanley was $455,000, Goldman Sachs was $335,000, and Merrill Lynch’s CDS were at $230,000. Markit’s index of key investment-grade credit default index rose to $260,000.