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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