Credit Default Swaps
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Investment Grade CDS Market Summary:
February 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 1/31/22 – 2/28/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | OMC 5Y | OMNICOM GROUP INC | -14.4% | -8 | 46 | 54 |
| 2 | UFS 5Y | DOMTAR CORP | -11.3% | -54 | 426 | 480 |
| 3 | CAFP 5Y | CARREFOUR SA | -11.0% | -13 | 102 | 114 |
| 4 | NWL 5Y | NEWELL RUBBERMAID INC MEDIUM | -10.6% | -14 | 115 | 129 |
| 5 | CAT 5Y | CATERPILLAR INC. | -8.3% | -3 | 34 | 37 |
| 6 | DIS 5Y | CAPITAL CITIES ABC FIN INC | -8.2% | -4 | 43 | 46 |
| 7 | KMP 5Y | KINDER MORGAN ENERGY PARTNERS | -8.0% | -4 | 45 | 49 |
| 8 | TJX 5Y | TJX COS INC NEW | -7.8% | -4 | 47 | 51 |
| 9 | TSN 5Y | HOLLY FARMS CORP | -7.7% | -5 | 56 | 60 |
| 10 | MAR 5Y | MARRIOTT INTL INC | -7.7% | -7 | 79 | 85 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 1/31/22 – 2/28/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | CARLB 5Y | CARLSBERG AS | 85.3% | 27 | 58 | 31 |
| 2 | AQUASM 5Y | FCC AQUALIA SA | 66.8% | 47 | 117 | 70 |
| 3 | ALOFP 5Y | ALSTOM SA | 61.6% | 48 | 127 | 78 |
| 4 | CLAR 5Y | CLARIANT AG | 61.5% | 53 | 139 | 86 |
| 5 | FRTUM 5Y | FORTUM OYJ | 58.2% | 37 | 99 | 63 |
| 6 | RAKUTN 5Y | RAKUTEN INC | 53.0% | 52 | 150 | 98 |
| 7 | MWV 5Y | MEAD CORP | 50.1% | 14 | 43 | 29 |
| 8 | VIA 5Y | VIACOM INC NEW | 45.8% | 37 | 117 | 80 |
| 9 | CBS 5Y | CBS INC | 45.4% | 37 | 118 | 81 |
| 10 | CS 5Y | CREDIT SUISSE AG NEW YORK BRH | 45.0% | 32 | 102 | 71 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 1/31/22 – 2/28/22
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 1/31/22 vs. the month ending 2/28/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 55 | 62 | 8 | Wider | 590 |
| U.S. | 54 | 56 | 2 | Wider | 203 |
| Japan | 26 | 29 | 2 | Wider | 46 |
| Europe | 53 | 64 | 11 | Wider | 180 |
| China | 64 | 74 | 10 | Wider | 8 |
| Latin America | 85 | 92 | 7 | Wider | 11 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 1/31/22 – 2/28/22
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 1/31/22 vs. the month ending 2/28/22
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 55 | 62 | 8 | Wider | 590 |
| Capital Equipment | 50 | 58 | 9 | Wider | 11 |
| Insurance | 44 | 47 | 3 | Wider | 28 |
| Hotel, Gaming & Leisure | 85 | 79 | -7 | Tighter | 3 |
| Utilities: Electric | 52 | 58 | 6 | Wider | 24 |
| High Tech Industries | 31 | 36 | 5 | Wider | 22 |
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