Credit Default Swaps
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Investment Grade CDS Market Summary:
May 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 5/1/23 – 5/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | KAWHI 5Y | KAWASAKI HEAVY INDUSTRIES LTD | -34.5% | -20 | 38 | 58 | 4 |
| 2 | CA 5Y | CA INC | -31.1% | -30 | 66 | 97 | 2 |
| 3 | ALOFP 5Y | ALSTOM SA | -29.4% | -53 | 128 | 182 | 7 |
| 4 | KOBSTL 5Y | KOBE STEEL LTD | -28.6% | -36 | 90 | 126 | 5 |
| 5 | CS 5Y | CREDIT SUISSE AG NEW YORK BRH | -26.9% | -46 | 124 | 169 | 3 |
| 6 | NIPSTL 5Y | SUMITOMO METAL INDUSTRIES LTD | -26.7% | -16 | 43 | 59 | 5 |
| 7 | JFEHLD 5Y | JFE HOLDINGS INC | -25.5% | -16 | 47 | 63 | 4 |
| 8 | VIVFP 5Y | SEAGRAM CO LTD | -21.8% | -28 | 101 | 130 | 7 |
| 9 | UBS HOLDCO 5Y | UBS AG LONDON BRH | -20.6% | -27 | 106 | 133 | 6 |
| 10 | MARSPE 5Y | MARKS & SPENCER PLC | -19.8% | -54 | 219 | 274 | 7 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 5/1/23 – 5/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | LNGFOR 5Y | LONGFOR PPTYS CO LTD | 38.6% | 270 | 970 | 699 | 3 |
| 2 | NEM 5Y | NEWMONT MNG CORP | 28.2% | 13 | 61 | 48 | 3 |
| 3 | ASH 5Y | ASHLAND GLOBAL HOLDINGS | 28.2% | 28 | 129 | 101 | 4 |
| 4 | NWL 5Y | NEWELL RUBBERMAID INC MEDIUM | 28.2% | 108 | 492 | 384 | 3 |
| 5 | CBS 5Y | CBS INC | 23.2% | 49 | 263 | 213 | 5 |
| 6 | AZO 5Y | AUTOZONE INC | 19.7% | 8 | 48 | 40 | 5 |
| 7 | HRB 5Y | BLOCK FINL LLC | 18.0% | 19 | 122 | 103 | 3 |
| 8 | BAYGR 5Y | BAYER CORP | 16.0% | 12 | 84 | 72 | 7 |
| 9 | HON 5Y | ALLIED SIGNAL INC | 14.2% | 4 | 35 | 31 | 5 |
| 10 | ZIGGO 5Y | ZIGGO HOLDING BV | 13.5% | 59.8 | 502 | 442 | 4 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 5/1/23 – 5/31/23
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 4/30/23 vs. the month ending 5/31/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 72 | 68 | -5 | Tighter | 499 |
| U.S. | 71 | 67 | -4 | Tighter | 183 |
| Japan | 46 | 37 | -9 | Tighter | 38 |
| U.K. | 86 | 87 | 1 | Wider | 39 |
| APAC | 71 | 64 | -7 | Tighter | 38 |
| Latin America | 101 | 90 | -11 | Tighter | 10 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 5/1/23 – 5/31/23
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 4/30/23 vs. the month ending 5/31/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 72 | 68 | -5 | Tighter | 500.00 |
| Capital Equipment | 71 | 70 | -1 | Tighter | 11.00 |
| Construction & Building | 62 | 63 | 1 | Wider | 10.00 |
| Insurance | 63 | 62 | -1 | Tighter | 25.00 |
| Retail | 54 | 53 | -1 | Tighter | 22.00 |
| Healthcare & Pharmaceuticals | 45 | 44 | -1 | Tighter | 25.00 |
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