Credit Default Swaps
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Investment Grade CDS Market Summary:
December 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 12/1/23 – 12/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | KOBSTL 5Y | KOBE STEEL LTD | -18.3% | -17 | 74 | 91 | 3 |
| 2 | MET 5Y | GENAMERICA CAP I | -18.2% | -16 | 74 | 91 | 3 |
| 3 | BMW 5Y | BMW BK NORTH AMER SALT LAKE | -17.0% | -10 | 51 | 61 | 4 |
| 4 | BAC 5Y | BANK OF AMERICA CORP. | -16.3% | -13 | 69 | 82 | 6 |
| 5 | UBS 5Y | UBS AG LONDON BRH | -15.6% | -10 | 52 | 62 | 3 |
| 6 | MS 5Y | MORGAN STANLEY | -14.2% | -10 | 63 | 74 | 4 |
| 7 | GS 5Y | GOLDMAN SACHS BK USA NEW YORK | -13.9% | -11 | 70 | 81 | 4 |
| 8 | ENIIM 5Y | ENI SPA | -13.5% | -8 | 53 | 61 | 5 |
| 9 | HPQ 5Y | COMPAQ COMPUTER CORP | -12.5% | -10 | 72 | 82 | 3 |
| 10 | TENCNT 5Y | TENCENT HLDGS LTD | -11.5% | -10 | 78 | 88 | 3 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 12/1/23 – 12/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | COFB 5Y | CAPITAL ONE FINL CORP | 127.2% | 49 | 88 | 39 | 3 |
| 2 | HESS 5Y | AMERADA HESS CORP | 14.2% | 8 | 67 | 58 | 3 |
| 3 | BATSLN 5Y | B A T INTL FIN PLC | 9.4% | 7 | 83 | 76 | 5 |
| 4 | ACE 5Y | ACE INA HLDG INC | 4.2% | 1 | 32 | 30 | 3 |
| 5 | CAG 5Y | CONAGRA FOODS INC | 3.8% | 2 | 64 | 61 | 5 |
| 6 | IMBLN 5Y | IMPERIAL BRANDS FIN PLC | 2.7% | 2 | 81 | 79 | 5 |
| 7 | RAI 5Y | RJ REYNOLDS TOBACCO HOLDINGS INC | 1.3% | 1 | 53 | 52 | 3 |
| 8 | TSN 5Y | HOLLY FARMS CORP | 1.1% | 1 | 70 | 69 | 4 |
| 9 | SWEMAT 5Y | SWEDISH MATCH AB | 0.3% | 0 | 90 | 90 | 2 |
| 10 | CL 5Y | COLGATE PALMOLIVE CO | 0.0% | 0.0 | 46 | 46 | 2 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 12/1/23 – 12/31/23
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 11/30/23 vs. the month ending 12/31/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 60 | 54 | -6 | Tighter | 597 |
| U.S. | 59 | 55 | -4 | Tighter | 249 |
| Japan | 37 | 34 | -3 | Tighter | 42 |
| Europe | 60 | 53 | -7 | Tighter | 149 |
| Canada | 67 | 80 | 13 | Wider | 15 |
| Latin America | 78 | 70 | -8 | Tighter | 10 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 12/1/23 – 12/31/23
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 11/30/23 vs. the month ending 12/31/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 60 | 54 | -6 | Tighter | 0 |
| Beverage, Food & Tobacco | 45 | 46 | 1 | Wider | 36.00 |
| Energy: Electricity | 75 | 72 | -3 | Tighter | 2.00 |
| Media: Broadcasting & Subscription | 47 | 44 | -3 | Tighter | 3.00 |
| Transportation: Cargo | 28 | 28 | 0 | Tighter | 15.00 |
| Capital Equipment | 84 | 73 | -10 | Tighter | 12.00 |
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