Credit Default Swaps
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Investment Grade CDS Market Summary:
february 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 2/1/24 – 2/29/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | OPTUS 5Y | SINGAPORE TELECOMMUNICATIONS | -28.8% | -15 | 37 | 52 | 4 |
| 2 | LUV 5Y | AIRTRAN HLDGS INC | -22.9% | -20 | 67 | 88 | 5 |
| 3 | BASGR 5Y | ENGELHARD CORP | -22.2% | -11 | 40 | 52 | 5 |
| 4 | DELL 5Y | DELL COMPUTER CORP | -18.7% | -12 | 53 | 66 | 6 |
| 5 | HYUELE 5Y | HYNIX SEMICONDUCTOR INC | -18.6% | -16 | 70 | 86 | 2 |
| 6 | ALTRIA 5Y | ALTRIA GROUP INC | -18.6% | -10 | 44 | 54 | 5 |
| 7 | ORCL 5Y | ORACLE CORP | -17.5% | -9 | 43 | 52 | 6 |
| 8 | MWDP 5Y | WENDEL | -17.3% | -14 | 66 | 80 | 5 |
| 9 | HEIGR 5Y | STARDUST FINANCE HOLDINGS INC | -16.8% | -16 | 77 | 93 | 3 |
| 10 | KOBSTL 5Y | KOBE STEEL LTD | -16.7% | -11 | 56 | 67 | 3 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 2/1/24 – 2/29/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | UUW 5Y | UNITED UTILS PLC | 11.4% | 5 | 53 | 48 | 6 |
| 2 | BWA 5Y | BORGWARNER INC | 10.0% | 7 | 78 | 71 | 4 |
| 3 | NKE 5Y | NIKE INC MEDIUM TERM NTS BOOK | 9.8% | 6 | 65 | 59 | 2 |
| 4 | CI 5Y | CIGNA CORP | 8.1% | 4 | 53 | 49 | 3 |
| 5 | ENGIFP 5Y | GDF SUEZ | 7.7% | 3 | 39 | 36 | 6 |
| 6 | HRB 5Y | BLOCK FINL LLC | 7.0% | 4 | 64 | 60 | 6 |
| 7 | NEM 5Y | NEWMONT MNG CORP | 6.8% | 3 | 45 | 42 | 6 |
| 8 | ADECCO 5Y | ADECCO SA | 6.8% | 5 | 79 | 74 | 6 |
| 9 | ENIIM 5Y | ENI SPA | 5.0% | 3 | 53 | 50 | 6 |
| 10 | SGOFP 5Y | CIE DE SAINT-GOBAIN | 4.5% | 2.0 | 45 | 43 | 6 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 2/1/24 – 2/29/24
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 1/31/23 vs. the month ending 2/29/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 54 | 49 | -5 | Tighter | 578 |
| U.S. | 53 | 50 | -3 | Tighter | 236 |
| Japan | 30 | 30 | 0 | Wider | 43 |
| Europe | 52 | 46 | -5 | Tighter | 152 |
| U.K. | 58 | 58 | 0 | Wider | 39 |
| MENA | 81 | 57 | -24 | Tighter | 10 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 2/1/24 – 2/29/24
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 1/31/23 vs. the month ending 2/29/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 54 | 49 | -5 | Tighter | 579.00 |
| Beverage, Food & Tobacco | 43 | 40 | -3 | Tighter | 32.00 |
| Consumer Goods: Durable | 59 | 65 | 6 | Wider | 7.00 |
| Consumer Goods: Non-Durable | 54 | 53 | 0 | Tighter | 13.00 |
| Utilities: Electric | 46 | 46 | 0 | Tighter | 24.00 |
| Services: Business | 57 | 55 | -2 | Tighter | 3.00 |
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