Credit Default Swaps
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Investment Grade CDS Market Summary:
March 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 2/28/22 – 3/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | HOFP 5Y | THALES SA | -28.8% | -16 | 40 | 56 |
| 2 | BAE 5Y | ARMOR HLDGS INC | -21.3% | -13 | 48 | 61 |
| 3 | TELMEX 5Y | AMERICA MOVIL SAB DE CV | -20.0% | -21 | 85 | 106 |
| 4 | STOIL 5Y | EQUINOR ASA | -18.2% | -7 | 30 | 36 |
| 5 | BERTEL 5Y | BERTELSMANN SE & CO KGAA | -17.9% | -7 | 34 | 41 |
| 6 | AIFP 5Y | AIR LIQUIDE | -17.5% | -7 | 32 | 38 |
| 7 | HEIANA 5Y | HEINEKEN N V | -16.9% | -6 | 32 | 38 |
| 8 | ABXFIN 5Y | BARRICK GOLD CORP | -16.5% | -11 | 53 | 64 |
| 9 | NEM 5Y | NEWMONT MNG CORP | -15.6% | -8 | 41 | 49 |
| 10 | AZN 5Y | ASTRAZENECA PLC | -15.3% | -6 | 34 | 40 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 2/28/22 – 3/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | NMAC 5Y | NISSAN MTR ACCEP CORP | 58.0% | 50 | 135 | 86 |
| 2 | UPMKYM 5Y | UPM-KYMMENE OYJ | 47.1% | 21 | 66 | 45 |
| 3 | FDX 5Y | FEDERAL EXPRESS CORP | 43.4% | 22 | 72 | 51 |
| 4 | LXSGR 5Y | LANXESS FINANCE BV | 42.6% | 36 | 120 | 84 |
| 5 | STERV 5Y | STORA ENSO CORP | 39.0% | 31 | 109 | 79 |
| 6 | DNA 5Y | GENENTECH INC | 36.9% | 8 | 29 | 21 |
| 7 | XTALN 5Y | FALCONBRIDGE LTD NEW | 34.1% | 39 | 152 | 113 |
| 8 | BA 5Y | BOEING CAP CORP INTERNOTES | 32.9% | 37 | 150 | 113 |
| 9 | LUV 5Y | AIRTRAN HLDGS INC | 32.8% | 30 | 122 | 92 |
| 10 | RAI 5Y | RJ REYNOLDS TOBACCO HOLDINGS INC | 31.4% | 12.2 | 51 | 39 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 2/28/22 – 3/31/22
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 2/28/22 vs. the month ending 3/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 62 | 65 | 3 | Wider | 553 |
| U.S. | 56 | 59 | 3 | Wider | 199 |
| Japan | 29 | 34 | 5 | Wider | 46 |
| Europe | 64 | 68 | 4 | Wider | 168 |
| U.K. | 74 | 76 | 1 | Wider | 40 |
| Canada | 68 | 59 | -9 | Tighter | 6 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 2/28/22 – 3/31/22
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 2/28/22 vs. the month ending 3/31/22
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 62 | 65 | 3 | Wider | 553 |
| Construction & Building | 54 | 50 | -4 | Tighter | 13 |
| Aerospace & Defense | 44 | 40 | -5 | Tighter | 11 |
| Services: Consumer | 88 | 102 | 13 | Wider | 4 |
| Sovereign & Public Finance | 58 | 61 | 3 | Wider | 56 |
| Retail | 51 | 67 | 16 | Wider | 21 |
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