Credit Default Swaps
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Investment Grade CDS Market Summary:
January 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 1/1/24 – 1/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | MDC 5Y | M.D.C. HOLDINGS, INC | -36.3% | -42 | 74 | 116 | 5 |
| 2 | VLO 5Y | PREMCOR REFNG GROUP INC | -19.4% | -14 | 59 | 74 | 5 |
| 3 | VIVFP 5Y | SEAGRAM CO LTD | -19.1% | -13 | 56 | 69 | 6 |
| 4 | BATSLN 5Y | B A T INTL FIN PLC | -17.4% | -14 | 68 | 83 | 6 |
| 5 | MPC 5Y | MPC LLC | -15.9% | -11 | 59 | 70 | 5 |
| 6 | AKZANA 5Y | ICI WILMINGTON INC | -15.4% | -10 | 54 | 63 | 6 |
| 7 | TRPCN 5Y | ANR PIPELINE CO | -15.4% | -11 | 59 | 70 | 4 |
| 8 | HCA 5Y | HCA INC | -14.4% | -12 | 68 | 80 | 5 |
| 9 | ACOMCO 5Y | ACOM CO LTD | -13.9% | -9 | 55 | 64 | 4 |
| 10 | IMBLN 5Y | IMPERIAL BRANDS FIN PLC | -13.2% | -11 | 71 | 81 | 6 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 1/1/24 – 1/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | SUMICH 5Y | SUMITOMO CHEMICAL CO LTD | 64.0% | 38 | 97 | 59 | 3 |
| 2 | SOLBBB 5Y | SOLVAY | 61.0% | 34 | 91 | 57 | 6 |
| 3 | BA 5Y | BOEING CAP CORP INTERNOTES | 42.4% | 26 | 87 | 61 | 4 |
| 4 | ABXFIN 5Y | BARRICK GOLD CORP | 25.4% | 11 | 55 | 44 | 5 |
| 5 | TENCNT 5Y | TENCENT HLDGS LTD | 19.9% | 16 | 94 | 78 | 3 |
| 6 | CMBKKO 5Y | WOORI BK KOREA | 19.4% | 6 | 36 | 31 | 3 |
| 7 | CHGRID 5Y | STATE GRID CORPORATION OF CHINA | 16.6% | 10 | 68 | 59 | 3 |
| 8 | ADECCO 5Y | ADECCO SA | 15.1% | 10 | 74 | 64 | 6 |
| 9 | SUNHUN 5Y | SUN HUNG KAI PPTYS LTD | 14.6% | 9 | 69 | 60 | 3 |
| 10 | SWIRE 5Y | SWIRE PACIFIC LTD | 14.2% | 8.4 | 68 | 59 | 3 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 1/1/24 – 1/31/24
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 12/31/23 vs. the month ending 1/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 53 | 54 | 0.2 | Wider | 610 |
| U.S. | 55 | 53 | -2 | Tighter | 237 |
| Japan | 32 | 30 | -2 | Tighter | 43 |
| U.K. | 60 | 58 | -2 | Tighter | 39 |
| China | 68 | 75 | 7 | Wider | 9 |
| APAC | 45 | 49 | 4 | Wider | 46 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 1/1/24 – 1/31/24
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 12/31/23 vs. the month ending 1/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industry | 54 | 54 | 0 | Tighter | 0 |
| Capital Equipment | 73 | 74 | 0 | Wider | 0 |
| Beverage, Food & Tobacco | 46 | 43 | -4 | Tighter | 0 |
| Energy: Oil & Gas | 67 | 68 | 1 | Wider | 0 |
| Real Estate | 93 | 89 | -4 | Tighter | 0 |
| Transportation: Consumer | 86 | 84 | -2 | Tighter | 0 |
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