Credit Default Swaps
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Investment Grade CDS Market August 2024
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 8/1/24 – 8/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | RENTOKIL 5Y | RENTOKIL GROUP PLC | -20.7% | -15 | 57 | 72 | 4 |
| 2 | BAX 5Y | BAXTER INTL INC | -20.2% | -13 | 53 | 67 | 4 |
| 3 | NOKIA 5Y | NOKIA CORP | -19.4% | -15 | 64 | 79 | 5 |
| 4 | BAYGR 5Y | BAYER CORP | -19.1% | -17 | 72 | 89 | 4 |
| 5 | BATSLN 5Y | B A T INTL FIN PLC | -17.8% | -11 | 51 | 62 | 4 |
| 6 | BRITEL 5Y | BRITISH TELECOM FIN INC | -16.5% | -10 | 52 | 62 | 4 |
| 7 | ERICB 5Y | TELEFONAKTIEBOLAGET LM ERICSSON | -16.1% | -15 | 78 | 93 | 5 |
| 8 | CONTI 5Y | CONTI-GUMMI FIN B V | -16.1% | -15 | 79 | 94 | 4 |
| 9 | CAFP 5Y | CARREFOUR SA | -13.5% | -8 | 51 | 59 | 5 |
| 10 | SUMICH 5Y | SUMITOMO CHEMICAL CO LTD | -12.7% | -9 | 64 | 73 | 3 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 8/1/24 – 8/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | NOMURA 5Y | NOMURA HLDGS INC | 16.9% | 12 | 80 | 68 | 2 |
| 2 | OVV 5Y | OVINTIV | 14.9% | 12 | 96 | 83 | 3 |
| 3 | TCKCN 5Y | TECK RESOURCES LIMITED | 11.9% | 8 | 78 | 70 | 5 |
| 4 | ORIX 5Y | ORIX CORP | 11.8% | 4 | 37 | 33 | 3 |
| 5 | DELL 5Y | DELL COMPUTER CORP | 10.6% | 6 | 62 | 56 | 4 |
| 6 | AIG 5Y | AMERICAN INTERNATIONAL GROUP | 9.9% | 5 | 54 | 49 | 4 |
| 7 | ACOMCO 5Y | ACOM CO LTD | 8.9% | 4 | 45 | 42 | 3 |
| 8 | RDN 5Y | RADIAN GROUP INC | 7.8% | 7 | 91 | 84 | 3 |
| 9 | NIPSTL 5Y | SUMITOMO METAL INDUSTRIES LTD | 7.7% | 3 | 43 | 40 | 3 |
| 10 | HPQ 5Y | COMPAQ COMPUTER CORP | 7.7% | 3.9 | 55 | 51 | 4 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 8/1/24 – 8/31/24
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 8/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 50 | 47 | -3 | Tighter | 595 |
| U.S. | 50 | 48 | -2 | Tighter | 254 |
| Japan | 33 | 35 | 2 | Wider | 37 |
| Europe | 48 | 45 | -3 | Tighter | 153 |
| China | 65 | 61 | -5 | Tighter | 9 |
| APAC | 44 | 45 | 1 | Wider | 39 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 8/1/24 – 8/31/24
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 8/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 50 | 48 | -2 | Tighter | 596.00 |
| Construction & Building | 47 | 47 | 0 | Tighter | 14.00 |
| Beverage, Food & Tobacco | 43 | 41 | -1 | Tighter | 35.00 |
| Healthcare & Pharmaceuticals | 38 | 37 | -1 | Tighter | 31.00 |
| Retail | 51 | 44 | -7 | Tighter | 20.00 |
| Telecommunications | 47 | 45 | -2 | Tighter | 34.00 |
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