Credit Default Swaps
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Investment Grade CDS Market june 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 6/1/24 – 6/30/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | WHR 5Y | MAYTAG CORP | -33.3% | -49 | 97 | 146 | 5 |
| 2 | EXPE 5Y | EXPEDIA INC | -14.6% | -13 | 76 | 89 | 3 |
| 3 | LUV 5Y | AIRTRAN HLDGS INC | -11.4% | -13 | 99 | 112 | 4 |
| 4 | HMSOLN 5Y | HAMMERSON PLC | -11.2% | -12 | 98 | 111 | 3 |
| 5 | UHS 5Y | UNIVERSAL HEALTH SERVICES INC | -10.0% | -6 | 56 | 62 | 3 |
| 6 | FITB 5Y | FIFTH THIRD BANCORP | -9.0% | -7 | 69 | 76 | 2 |
| 7 | MRO 5Y | MARATHON GLOBAL FDG CORP | -5.9% | -3 | 55 | 58 | 3 |
| 8 | HYUELE 5Y | HYNIX SEMICONDUCTOR INC | -5.9% | -4 | 70 | 74 | 2 |
| 9 | SUMICH 5Y | SUMITOMO CHEMICAL CO LTD | -4.4% | -4 | 78 | 82 | 3 |
| 10 | FISV 5Y | FISERV INC | -4.3% | -3 | 62 | 65 | 3 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 6/1/24 – 6/30/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | VINCI 5Y | VINCI | 54.6% | 17 | 47 | 31 | 5 |
| 2 | MMBFP 5Y | LAGARDERE SCA | 52.4% | 28 | 81 | 53 | 3 |
| 3 | CARLB 5Y | CARLSBERG AS | 49.2% | 13 | 39 | 26 | 4 |
| 4 | ENFP 5Y | BOUYGUES SA | 41.1% | 13 | 43 | 31 | 5 |
| 5 | HANRUE 5Y | HANNOVER RUECK | 36.8% | 10 | 39 | 28 | 4 |
| 6 | CAFP 5Y | CARREFOUR SA | 36.3% | 18 | 66 | 48 | 5 |
| 7 | MUNRE 5Y | MUENCHENER RUECKVERSICHERUNGS | 36.0% | 10 | 39 | 29 | 4 |
| 8 | ALVGR 5Y | ALLIANZ SE | 35.5% | 10 | 37 | 27 | 4 |
| 9 | AXASA 5Y | AXA SA | 34.7% | 13 | 52 | 39 | 4 |
| 10 | ORAFP 5Y | ORANGE SA | 34.4% | 10.3 | 40 | 30 | 4 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 6/1/24 – 6/30/24
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 5/31/23 vs. the month ending 6/30/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 49 | 55 | 6 | Wider | 753 |
| U.S. | 49 | 53 | 4 | Wider | 296 |
| Canada | 49 | 48 | -1 | Tighter | 17 |
| China | 66 | 69 | 4 | Wider | 12 |
| APAC | 46 | 46 | -1 | Tighter | 55 |
| Latin America | 94 | 122 | 28 | Wider | 11 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 6/1/24 – 6/30/24
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 5/31/23 vs. the month ending 6/30/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 49 | 55 | 6 | Wider | 755.00 |
| Aerospace & Defense | 39 | 41 | 2 | Wider | 12.00 |
| Chemicals, Plastics & Rubber | 72 | 76 | 3 | Wider | 15.00 |
| Telecommunications | 51 | 51 | 0 | Tighter | 45.00 |
| Media: Broadcasting & Subscription | 122 | 148 | 26 | Wider | 2.00 |
| Energy: Electricity | 77 | 76 | -1 | Tighter | 2.00 |
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