Investment Grade CDS Market Summary – July 2024
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Investment Grade CDS Market july 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 7/1/24 – 7/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
|---|---|---|---|---|---|---|---|
| 1 | HMSOLN 5Y | HAMMERSON PLC | -31.3% | -29 | 65 | 94 | 3 |
| 2 | TOL 5Y | TOLL BROS INC | -25.6% | -23 | 66 | 89 | 4 |
| 3 | PHM 5Y | CENTEX CORP | -17.7% | -13 | 60 | 73 | 4 |
| 4 | LEN 5Y | LENNAR CORP | -17.4% | -13 | 60 | 73 | 4 |
| 5 | EDF 5Y | EDF S A | -16.3% | -13 | 67 | 80 | 7 |
| 6 | RDN 5Y | RADIAN GROUP INC | -16.2% | -16 | 84 | 101 | 4 |
| 7 | NUE 5Y | NUCOR CORP | -15.5% | -14 | 76 | 90 | 2 |
| 8 | ENEL 5Y | ENEL SPA | -15.3% | -10 | 54 | 64 | 5 |
| 9 | BAYGR 5Y | BAYER CORP | -14.5% | -15 | 89 | 104 | 6 |
| 10 | HOTGR 5Y | HOCHTIEF AG | -13.9% | -14 | 86 | 100 | 6 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 7/1/24 – 7/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
|---|---|---|---|---|---|---|---|
| 1 | WHR 5Y | MAYTAG CORP | 40.2% | 40 | 138 | 98 | 6 |
| 2 | RENTOKIL 5Y | RENTOKIL GROUP PLC | 34.1% | 18 | 72 | 53 | 4 |
| 3 | VIVFP 5Y | SEAGRAM CO LTD | 16.0% | 9 | 63 | 55 | 7 |
| 4 | DELL 5Y | DELL COMPUTER CORP | 14.1% | 7 | 56 | 49 | 4 |
| 5 | MMBFP 5Y | LAGARDERE SCA | 13.8% | 11 | 90 | 79 | 4 |
| 6 | DRI 5Y | DARDEN RESTAURANTS INC | 11.9% | 5 | 52 | 46 | 4 |
| 7 | CMCSA 5Y | AT&T BROADBAND CORP | 8.5% | 4 | 50 | 46 | 5 |
| 8 | ACCOR 5Y | ACCOR SA | 8.1% | 5 | 69 | 64 | 6 |
| 9 | SZUGR 5Y | SUEDZUCKER AG | 7.7% | 5 | 67 | 62 | 6 |
| 10 | HAOHUA 5Y | CNAC CENTURY HK CO LTD | 7.2% | 6.0 | 89 | 83 | 3 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 7/1/24 – 7/31/24 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 6/30/23 vs. the month ending 7/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
|---|---|---|---|---|---|
| Global | 51 | 50 | -1 | Tighter | 589 |
| U.S. | 51 | 50 | -1 | Tighter | 250 |
| Japan | 31 | 33 | 2 | Wider | 38 |
| U.K. | 57 | 56 | -1 | Tighter | 40 |
| China | 69 | 65 | -4 | Tighter | 9 |
| APAC | 46 | 44 | -1 | Tighter | 41 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 7/1/24 – 7/31/24 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 6/30/23 vs. the month ending 7/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
|---|---|---|---|---|---|
| All Industries | 51 | 50 | -1 | Tighter | 590.00 |
| Construction & Building | 51 | 47 | -5 | Tighter | 13.00 |
| Containers, Packaging, & Glass | 30 | 30 | 0 | Tighter | 2.00 |
| Media: Broadcasting & Subscription | 147 | 121 | -26 | Tighter | 2.00 |
| Transportation: Cargo | 25 | 24 | -1 | Tighter | 14.00 |
| Services: Business | 53 | 72 | 18 | Wider | 3.00 |
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