Credit Default Swaps
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Investment Grade CDS Market Summary:
December 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 12/1/22 – 12/31/22
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | MITSCO 5Y | MITSUI & CO LTD | -19.9% | -6 | 26 | 33 | 3 |
| 2 | MITHI 5Y | MITSUBISHI HEAVY INDUSTRIES LTD | -15.8% | -5 | 25 | 29 | 3 |
| 3 | SHW 5Y | SHERWIN WILLIAMS CO | -15.2% | -17 | 96 | 113 | 3 |
| 4 | CCBC 5Y | CHINA CONSTR BK CORP INSTL CTF | -14.9% | -15 | 85 | 99 | 2 |
| 5 | KOMATS 5Y | KOMATSU FINANCE AMERICA INC | -13.4% | -3 | 21 | 25 | 3 |
| 6 | GSK 5Y | GLAXOSMITHKLINE CAP INC | -13.3% | -6 | 37 | 42 | 5 |
| 7 | PCG 5Y | PG&E CORP | -13.1% | -60 | 395 | 455 | 3 |
| 8 | DXC 5Y | DXC TECHNOLOGY CO | -12.8% | -26 | 178 | 204 | 3 |
| 9 | BCHINA 5Y | BANK CHINA LTD | -11.7% | -12 | 88 | 99 | 2 |
| 10 | RYD 5Y | RYDER SYS INC | -11.2% | -19 | 151 | 170 | 7 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 12/1/22 – 12/31/22
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | AMGN 5Y | AMGEN INC | 26.2% | 11 | 55 | 44 | 3 |
| 2 | ZURNVX 5Y | ZURICH INSURANCE CO LTD | 23.8% | 13 | 66 | 53 | 3 |
| 3 | VLO 5Y | PREMCOR REFNG GROUP INC | 20.4% | 17 | 100 | 83 | 5 |
| 4 | LUV 5Y | AIRTRAN HLDGS INC | 19.5% | 19 | 117 | 98 | 3 |
| 5 | MPC 5Y | MPC LLC | 18.7% | 15 | 97 | 82 | 5 |
| 6 | SCHREI 5Y | SWISS REINSURANCE COMPANY LTD | 18.0% | 10 | 66 | 56 | 3 |
| 7 | HPQ 5Y | COMPAQ COMPUTER CORP | 17.5% | 22 | 145 | 123 | 4 |
| 8 | LNC 5Y | JEFFERSON-PILOT CAP TR B | 17.2% | 28 | 188 | 161 | 6 |
| 9 | ALLY 5Y | ALLY FINL INC | 17.0% | 49 | 336 | 287 | 5 |
| 10 | ACE 5Y | ACE INA HLDG INC | 16.7% | 4.1 | 29 | 25 | 4 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 12/1/22 – 12/31/22
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 11/30/22 vs. the month ending 12/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 79 | 80 | 1 | Wider | 512 |
| U.S. | 67 | 68 | 1 | Wider | 187 |
| Japan | 42 | 41 | -1 | Tighter | 38 |
| Europe | 82 | 83 | 1 | Wider | 151 |
| Canada | 78 | 92 | 14 | Wider | 4 |
| Latin America | 118 | 113 | -5 | Tighter | 10 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 12/1/22 – 12/31/22
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 11/30/22 vs. the month ending 12/31/22
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 79 | 80 | 1 | Wider | 512.00 |
| Automotive | 97 | 90 | -8 | Tighter | 17.00 |
| Energy: Oil & Gas | 88 | 91 | 4 | Wider | 30.00 |
| Hotel, Gaming & Leisure | 81 | 83 | 2 | Wider | 3.00 |
| Metals & Mining | 108 | 102 | -6 | Tighter | 18.00 |
| Finance | 90 | 96 | 6 | Wider | 42.00 |
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