Credit Default Swaps
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Investment Grade CDS Market Summary:
January 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 12/31/21 – 1/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | PBG 5Y | BOTTLING GROUP LLC | -19.5% | -6 | 26 | 33 |
| 2 | ACCOR 5Y | ACCOR SA | -8.8% | -14 | 148 | 162 |
| 3 | MRO 5Y | MARATHON GLOBAL FDG CORP | -6.8% | -8 | 106 | 114 |
| 4 | LHAGR 5Y | DEUTSCHE LUFTHANSA AG | -6.7% | -18 | 250 | 268 |
| 5 | HAL 5Y | DRESSER INDS INC | -5.9% | -5 | 77 | 81 |
| 6 | VLO 5Y | PREMCOR REFNG GROUP INC | -4.9% | -5 | 91 | 95 |
| 7 | NOMURA 5Y | NOMURA HLDGS INC | -3.3% | -3 | 75 | 78 |
| 8 | HESS 5Y | AMERADA HESS CORP | -2.8% | -3 | 105 | 108 |
| 9 | DVN 5Y | DEVON ENERGY CORP | -2.3% | -2 | 99 | 101 |
| 10 | UCBBB 5Y | UCB SA | -0.7% | -1 | 91 | 92 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 12/31/21 – 1/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | RAI 5Y | RJ REYNOLDS TOBACCO HOLDINGS INC | 45.1% | 11 | 34 | 24 |
| 2 | CB 5Y | CHUBB CORP | 39.9% | 8 | 29 | 21 |
| 3 | DRI 5Y | DARDEN RESTAURANTS INC | 33.5% | 18 | 70 | 53 |
| 4 | CVS 5Y | CVS CAREMARK CORP | 30.9% | 11 | 47 | 36 |
| 5 | JNJ 5Y | LIFESCAN GLOBAL CORP | 30.2% | 6 | 26 | 20 |
| 6 | WYE 5Y | ALPHARMA INC | 28.3% | 7 | 34 | 26 |
| 7 | AES 5Y | AES TRUST I | 27.3% | 23 | 108 | 85 |
| 8 | SKYLN 5Y | BRITISH SKY BROADCASTING | 27.0% | 4 | 18 | 14 |
| 9 | NEE 5Y | FPL ENERGY AMERN WIND LLC | 26.9% | 10 | 49 | 39 |
| 10 | PRU 5Y | PRUDENTIAL FINANCIAL, INC | 26.9% | 15 | 73 | 57 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 12/31/21 – 1/31/22
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 12/31/21 vs. the month ending 1/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 50 | 55 | 5 | Wider | 621 |
| U.S. | 45 | 54 | 8 | Wider | 226 |
| Japan | 25 | 26 | 1 | Wider | 48 |
| Europe | 46 | 53 | 7 | Wider | 180 |
| U.K. | 57 | 66 | 9 | Wider | 42 |
| MENA | 88 | 98 | 9 | Wider | 15 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 12/31/21 – 1/31/22
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 12/31/21 vs. the month ending 1/31/22
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 50 | 55 | 5 | Wider | 625 |
| Chemicals, Plastics & Rubber | 57 | 66 | 9 | Wider | 17 |
| Construction & Building | 38 | 44 | 6 | Wider | 14 |
| Healthcare & Pharmaceuticals | 33 | 39 | 6 | Wider | 31 |
| Real Estate | 61 | 67 | 6 | Wider | 33 |
| Transportation: Cargo | 31 | 34 | 2 | Wider | 13 |
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