Credit Default Swaps
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Investment Grade CDS Market Summary:
March 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 3/1/24 – 3/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | COFF 5Y | CAPITAL ONE FINL CORP | -53.2% | -80 | 70 | 150 | 4 |
| 2 | SUMICH 5Y | SUMITOMO CHEMICAL CO LTD | -14.2% | -12 | 74 | 86 | 4 |
| 3 | RDN 5Y | RADIAN GROUP INC | -13.6% | -15 | 97 | 112 | 4 |
| 4 | LDOIM 5Y | LEONARDO SPA | -13.4% | -9 | 55 | 64 | 5 |
| 5 | NXT 5Y | NEXT PLC | -12.4% | -7 | 51 | 59 | 6 |
| 6 | DB 5Y | DEUTSCHE BK AG GLOBAL MEDIUM | -10.7% | -9 | 75 | 84 | 6 |
| 7 | BACR 5Y | BARCLAYS BANK PLC | -10.7% | -8 | 69 | 77 | 6 |
| 8 | BACR HOLDCO 5Y | BARCLAYS BANK PLC | -10.6% | -9 | 74 | 83 | 6 |
| 9 | ACCOR 5Y | ACCOR SA | -10.5% | -8 | 65 | 73 | 4 |
| 10 | HSBC HOLDCO 5Y | HSBC BK USA N A MC LEAN VA | -10.2% | -6 | 53 | 59 | 5 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 3/1/24 – 3/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | OPTUS 5Y | SINGAPORE TELECOMMUNICATIONS | 28.5% | 11 | 48 | 37 | 3 |
| 2 | LUV 5Y | AIRTRAN HLDGS INC | 28.2% | 19 | 87 | 67 | 5 |
| 3 | KOREAT 5Y | KT CORP MEDIUM TERM NTS BOOK | 16.0% | 6 | 41 | 36 | 2 |
| 4 | COP 5Y | BURLINGTON RES FIN CO | 14.1% | 5 | 43 | 38 | 3 |
| 5 | SOLBBB 5Y | SOLVAY | 14.0% | 11 | 92 | 80 | 5 |
| 6 | GSCCOR 5Y | GS CALTEX CORP | 13.3% | 5 | 46 | 41 | 2 |
| 7 | PSON 5Y | PEARSON DLR FIN PLC | 12.7% | 6 | 52 | 46 | 6 |
| 8 | AMGN 5Y | AMGEN INC | 12.5% | 5 | 42 | 37 | 7 |
| 9 | RTX 5Y | UNITED TECHNOLOGIES CORP | 12.3% | 5 | 46 | 41 | 8 |
| 10 | HTHROW 5Y | BAA FDG LTD | 11.7% | 6.8 | 65 | 58 | 2 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 3/1/24 – 3/31/24
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 2/29/23 vs. the month ending 3/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 49 | 48 | -1 | Tighter | 585 |
| U.S. | 50 | 49 | -1 | Tighter | 239 |
| Japan | 30 | 28 | -2 | Tighter | 43 |
| U.K. | 58 | 57 | -1 | Tighter | 39 |
| China | 76 | 79 | 4 | Wider | 9 |
| APAC | 46 | 49 | 2 | Wider | 46 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 3/1/24 – 3/31/24
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 2/29/23 vs. the month ending 3/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 49 | 48 | -1 | Tighter | 586.00 |
| Retail | 38 | 41 | 2 | Wider | 21.00 |
| Energy: Electricity | 73 | 76 | 3 | Wider | 2.00 |
| Real Estate | 70 | 72 | 2 | Wider | 24.00 |
| Construction & Building | 53 | 53 | 0 | Tighter | 14.00 |
| Media: Advertising, Printing & Publishing | 41 | 42 | 0 | Wider | 3.00 |
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