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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