Credit Default Swaps
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Investment Grade CDS Market Summary:
August 2022
Our newsletter presents key trends derived from observable Credit Default Swaps pricing data over a monthly period.
Top 10 Outperformers
Showcases the top 10 IG CDS “outperformers” based on the largest mid spread decreases between 8/1/22 – 8/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | MMBFP 5Y | LAGARDERE SCA | -21.7% | -40 | 146 | 186 |
| 2 | ADECCO 5Y | ADECCO SA | -17.5% | -20 | 96 | 116 |
| 3 | NIPSTL 5Y | SUMITOMO METAL INDUSTRIES LTD | -17.2% | -8 | 41 | 49 |
| 4 | DVN 5Y | DEVON ENERGY CORP | -17.2% | -28 | 136 | 164 |
| 5 | HESS 5Y | AMERADA HESS CORP | -16.7% | -27 | 137 | 164 |
| 6 | MRO 5Y | MARATHON GLOBAL FDG CORP | -16.5% | -30 | 151 | 181 |
| 7 | KAWKIS 5Y | KAWASAKI KISEN KAISHA LTD | -16.3% | -30 | 156 | 186 |
| 8 | MITSCO 5Y | MITSUI & CO LTD | -16.2% | -7 | 38 | 45 |
| 9 | EXPE 5Y | EXPEDIA INC | -15.5% | -29 | 158 | 187 |
| 10 | KINKI 5Y | KINTETSU GROUP HOLDINGS CO LTD | -15.4% | -13 | 72 | 85 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 8/1/22 – 8/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | GSK 5Y | GLAXOSMITHKLINE CAP INC | 68.4% | 25 | 62 | 37 |
| 2 | SANFP 5Y | GENZYME CORP | 51.2% | 18 | 54 | 36 |
| 3 | SESGLX 5Y | SES SA | 46.4% | 56 | 178 | 122 |
| 4 | AVT 5Y | AVNET INC | 39.8% | 37 | 128 | 92 |
| 5 | ARW 5Y | ARROW ELECTRONICS INC | 39.6% | 34 | 121 | 87 |
| 6 | EDF 5Y | EDF S A | 35.5% | 34 | 131 | 97 |
| 7 | GIS 5Y | GENERAL MLS INC | 34.5% | 15 | 58 | 43 |
| 8 | HON 5Y | ALLIED SIGNAL INC | 34.2% | 9 | 37 | 28 |
| 9 | MOET 5Y | LVMH MOET HENNESSY LOUIS | 33.7% | 12 | 47 | 35 |
| 10 | WYE 5Y | ALPHARMA INC | 31.3% | 10.4 | 44 | 33 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 8/1/22 – 8/31/22
Results are based on 5 select regions, however, we offer data across 12 regions
IG Spread by Region – Monthly Comparison
Exhibits the IG mid spread by region for the month ending 7/31/22 vs. the month ending 8/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 82 | 83 | 1 | Wider | 532 |
| U.S. | 71 | 75 | 3 | Wider | 193 |
| Japan | 45 | 41 | -5 | Tighter | 45 |
| Canada | 89 | 86 | -4 | Tighter | 6 |
| APAC | 93 | 81 | -12 | Tighter | 29 |
| Latin America | 140 | 128 | -12 | Tighter | 10 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 8/1/22 – 8/31/22
Results are based on 5 select industry sectors, however, we offer data across 36 sectors
IG Spread by Industries – Monthly Comparison
Exhibits the IG spread by industry for the month ending 7/31/22 vs. the month ending 8/31/22
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 82 | 83 | 1 | Wider | 532 |
| Aerospace & Defense | 44 | 53 | 9 | Wider | 11 |
| Construction & Building | 63 | 66 | 4 | Wider | 12 |
| Insurance | 70 | 74 | 4 | Wider | 27 |
| Utilities: Electric | 93 | 94 | 1 | Wider | 20 |
| Healthcare & Pharmaceuticals | 44 | 55 | 10 | Wider | 28 |
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