Credit Default Swaps
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Investment Grade CDS Market Summary:
July 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 7/1/22 – 7/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | EDF 5Y | EDF S A | -36.1% | -55 | 97 | 152 |
| 2 | MOET 5Y | LVMH MOET HENNESSY LOUIS | -35.4% | -19 | 35 | 55 |
| 3 | DGELN 5Y | DIAGEO CAP PLC MEDIUM TERM NTS | -33.2% | -18 | 37 | 55 |
| 4 | MOT 5Y | MOTOROLA INC | -33.1% | -37 | 74 | 111 |
| 5 | SPG 5Y | CPG PARTNERS L P | -32.0% | -57 | 121 | 178 |
| 6 | BA 5Y | BOEING CAP CORP INTERNOTES | -32.0% | -82 | 175 | 257 |
| 7 | KANSEL 5Y | KANSAI ELEC PWR INC | -31.8% | -17 | 38 | 55 |
| 8 | ASH 5Y | ASHLAND GLOBAL HOLDINGS | -31.2% | -75 | 167 | 242 |
| 9 | GIS 5Y | GENERAL MLS INC | -31.0% | -19 | 43 | 63 |
| 10 | CPGLN 5Y | COMPASS GROUP PLC | -31.0% | -17 | 38 | 55 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 7/1/22 – 7/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | LNGFOR 5Y | LONGFOR PPTYS CO LTD | 115.3% | 415 | 775 | 360 |
| 2 | VANKE 5Y | CHINA VANKE CORP | 105.2% | 279 | 544 | 265 |
| 3 | NUE 5Y | NUCOR CORP | 38.2% | 38 | 138 | 100 |
| 4 | BOCAVI 5Y CDS | BOC AVIATION LTD | 25.7% | 33 | 163 | 130 |
| 5 | LXSGR 5Y | LANXESS FINANCE BV | 20.2% | 42 | 252 | 210 |
| 6 | CKHH 5Y | CK HUTCHISON INTL 16 LTD | 20.0% | 15 | 90 | 75 |
| 7 | DBSSP 5Y | DBS BK LTD GLOBAL MEDIUM TERM | 20.0% | 7 | 42 | 35 |
| 8 | BMW 5Y | BMW BK NORTH AMER SALT LAKE | 19.5% | 19 | 114 | 95 |
| 9 | SGOFP 5Y | CIE DE SAINT-GOBAIN | 17.2% | 19 | 126 | 108 |
| 10 | OPTUS 5Y | SINGAPORE TELECOMMUNICATIONS | 17.1% | 7.0 | 48 | 41 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 7/1/22 – 7/31/22
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 6/30/22 vs. the month ending 7/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 83 | 82 | -1 | Tighter | 537 |
| U.S. | 82 | 72 | -10 | Tighter | 192 |
| Japan | 49 | 45 | -4 | Tighter | 45 |
| Europe | 85 | 90 | 5 | Wider | 157 |
| Canada | 81 | 89 | 8 | Wider | 5 |
| APAC | 96 | 93 | -4 | Tighter | 30 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 7/1/22 – 7/31/22
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 6/30/22 vs. the month ending 7/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 83 | 82 | -1 | Tighter | 537.00 |
| Construction & Building | 74 | 63 | -11 | Tighter | 13.00 |
| Energy: Oil & Gas | 114 | 110 | -4 | Tighter | 28.00 |
| Metals & Mining | 97 | 106 | 10 | Wider | 18.00 |
| Insurance | 72 | 70 | -2 | Tighter | 27.00 |
| High Tech Industries | 54 | 51 | -3 | Tighter | 18.00 |
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