Credit Default Swaps
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Investment Grade CDS Market Summary:
June 2023
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 6/1/23 – 6/30/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | COFB 5Y | CAPITAL ONE FINL CORP | -28.2% | -18 | 45 | 63 | 3 |
| 2 | BRK 5Y | BERKSHIRE HATHAWAY FIN | -25.7% | -5 | 13 | 18 | 3 |
| 3 | CB 5Y | CHUBB CORP | -23.8% | -8 | 27 | 35 | 4 |
| 4 | SUMIBK 5Y | SMFG PFD CAP USD 2 LTD | -21.1% | -12 | 44 | 56 | 2 |
| 5 | ALL 5Y | ALLIED CAP COML MTG TR | -20.9% | -7 | 28 | 35 | 4 |
| 6 | SESGLX 5Y | SES SA | -20.5% | -35 | 134 | 169 | 5 |
| 7 | CMBKKO 5Y | WOORI BK KOREA | -20.2% | -10 | 39 | 49 | 3 |
| 8 | EQM 5Y | EQT MIDSTREAM PARTNERS L P | -19.9% | -46 | 184 | 230 | 3 |
| 9 | AXPRS 5Y | AMERICAN EXPRESS BK FSB MEDIUM | -19.9% | -10 | 41 | 51 | 4 |
| 10 | NAB 5Y | NATIONAL AUSTRALIA BK LTD | -19.3% | -12 | 52 | 64 | 3 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 6/1/23 – 6/30/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | PCG 5Y | PG&E CORP | 20.1% | 47 | 280 | 233 | 3 |
| 2 | LXSGR 5Y | LANXESS FINANCE BV | 19.3% | 32 | 197 | 165 | 7 |
| 3 | UUW 5Y | UNITED UTILS PLC | 19.3% | 8 | 52 | 44 | 6 |
| 4 | WALT 5Y | TWDC ENTERPRISES 18 CORP. | 18.6% | 5 | 30 | 25 | 4 |
| 5 | CPB 5Y | CAMPBELL SOUP CO | 13.4% | 7 | 60 | 53 | 4 |
| 6 | KAWHI 5Y | KAWASAKI HEAVY INDUSTRIES LTD | 11.9% | 5 | 43 | 38 | 4 |
| 7 | JFEHLD 5Y | JFE HOLDINGS INC | 11.8% | 6 | 52 | 47 | 5 |
| 8 | MCD 5Y | MCDONALDS CORP | 11.0% | 3 | 34 | 31 | 4 |
| 9 | VIVFP 5Y | SEAGRAM CO LTD | 10.4% | 10 | 112 | 101 | 5 |
| 10 | GLW 5Y | CORNING GLASS WKS | 10.1% | 7.1 | 77 | 70 | 3 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 6/1/23 – 6/30/23
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 5/31/23 vs. the month ending 6/30/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 68 | 65 | -3 | Tighter | 507 |
| U.S. | 67 | 63 | -3 | Tighter | 184 |
| U.K. | 86 | 81 | -6 | Tighter | 37 |
| Canada | 73 | 69 | -3 | Tighter | 6 |
| China | 84 | 76 | -8 | Tighter | 8 |
| APAC | 64 | 56 | -8 | Tighter | 42 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 6/1/23 – 6/30/23
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 5/31/23 vs. the month ending 6/30/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 68 | 65 | -3 | Tighter | 508.00 |
| Capital Equipment | 70 | 77 | 7 | Wider | 11.00 |
| Finance | 81 | 73 | -7 | Tighter | 40.00 |
| Insurance | 62 | 61 | -1 | Tighter | 25.00 |
| Real Estate | 107 | 101 | -5 | Tighter | 23.00 |
| Media: Advertising, Printing & Publishing | 75 | 67 | -7 | Tighter | 3.00 |
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