Credit Default Swaps
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Investment Grade CDS Market Summary:
August 2023
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 8/1/23 – 8/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | ADECCO 5Y | ADECCO SA | -19.4% | -17 | 69 | 85 | 5 |
| 2 | NRUC 5Y | NATIONAL RURAL UTILS COOP FIN | -18.5% | -5 | 24 | 29 | 4 |
| 3 | HRB 5Y | BLOCK FINL LLC | -18.4% | -17 | 76 | 93 | 3 |
| 4 | RAKUTN 5Y | RAKUTEN INC | -15.8% | -102 | 547 | 649 | 4 |
| 5 | RAI 5Y | RJ REYNOLDS TOBACCO HOLDINGS INC | -15.2% | -8 | 44 | 52 | 3 |
| 6 | PNLNA 5Y | POSTNL NV | -13.6% | -17 | 105 | 122 | 7 |
| 7 | HAL 5Y | DRESSER INDS INC | -13.1% | -8 | 53 | 61 | 5 |
| 8 | EQM 5Y | EQT MIDSTREAM PARTNERS L P | -12.5% | -18 | 126 | 144 | 3 |
| 9 | ITVLN 5Y | ITV PLC | -12.3% | -17 | 118 | 134 | 8 |
| 10 | HON 5Y | ALLIED SIGNAL INC | -11.5% | -3 | 25 | 29 | 4 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 8/1/23 – 8/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | DXC 5Y | DXC TECHNOLOGY CO | 46.4% | 70 | 221 | 151 | 3 |
| 2 | BCHINA 5Y | BANK CHINA LTD | 45.8% | 31 | 98 | 67 | 3 |
| 3 | CCBC 5Y | CHINA CONSTR BK CORP INSTL CTF | 44.4% | 30 | 98 | 68 | 3 |
| 4 | BOCOM 5Y | BANK OF COMMUNICATIONS (UK) LIMITED | 40.2% | 29 | 100 | 71 | 2 |
| 5 | CHGRID 5Y | STATE GRID CORPORATION OF CHINA | 33.7% | 22 | 88 | 66 | 3 |
| 6 | CHIOLI 5Y | CHINA OVERSEAS LAND & INVESTMENT LTD | 31.1% | 34 | 145 | 111 | 2 |
| 7 | SCFER HOLDCO 5Y | SCHAEFFLER FINANCE BV | 27.4% | 47 | 220 | 173 | 4 |
| 8 | AES 5Y | AES TRUST I | 27.0% | 31 | 148 | 117 | 3 |
| 9 | NIPYU 5Y | NIPPON YUSEN KK | 26.0% | 11 | 55 | 43 | 4 |
| 10 | AXPRS 5Y | AMERICAN EXPRESS BK FSB MEDIUM | 21.7% | 8.1 | 45 | 37 | 4 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 8/1/23 – 8/31/23
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 7/31/23 vs. the month ending 8/31/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 60 | 61 | 1 | Wider | 497 |
| U.S. | 60 | 59 | -1 | Tighter | 171 |
| Europe | 62 | 63 | 1 | Wider | 148 |
| Canada | 59 | 55 | -3 | Tighter | 5 |
| China | 68 | 94 | 26 | Wider | 8 |
| APAC | 48 | 55 | 7 | Wider | 41 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 8/1/23 – 8/31/23
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 7/31/23 vs. the month ending 8/31/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 60 | 61 | 1 | Wider | 498 |
| Automotive | 84 | 79 | -6 | Tighter | 16 |
| Energy: Oil & Gas | 69 | 71 | 2 | Wider | 28 |
| Hotel, Gaming & Leisure | 61 | 60 | -1 | Tighter | 3 |
| Metals & Mining | 69 | 80 | 11 | Wider | 17 |
| Finance | 70 | 69 | -1 | Tighter | 40 |
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