Credit Default Swaps
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Investment Grade CDS Market may 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 5/1/24 – 5/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | MRO 5Y | MARATHON GLOBAL FDG CORP | -51.9% | -62 | 58 | 120 | 3 |
| 2 | USB 5Y | FBS CAP I | -26.6% | -19 | 51 | 70 | 3 |
| 3 | AVT 5Y | AVNET INC | -22.8% | -19 | 66 | 86 | 4 |
| 4 | TRPCN 5Y | ANR PIPELINE CO | -17.2% | -11 | 52 | 63 | 5 |
| 5 | FREGR 5Y | FRESENIUS SE & CO KGAA | -17.2% | -14 | 66 | 80 | 3 |
| 6 | ARNC 5Y | ALCOA INC | -16.2% | -11 | 58 | 69 | 4 |
| 7 | BWA 5Y | BORGWARNER INC | -16.1% | -12 | 62 | 74 | 4 |
| 8 | HAOHUA 5Y | CNAC CENTURY HK CO LTD | -16.1% | -16 | 82 | 98 | 3 |
| 9 | ARW 5Y | ARROW ELECTRONICS INC | -15.4% | -12 | 65 | 77 | 5 |
| 10 | MS 5Y | MORGAN STANLEY | -15.1% | -9 | 51 | 60 | 4 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 5/1/24 – 5/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | GOOG 5Y | GOOGLE LLC | 32.0% | 9 | 38 | 29 | 2 |
| 2 | OPTUS 5Y | SINGAPORE TELECOMMUNICATIONS | 23.0% | 10 | 51 | 42 | 3 |
| 3 | CVS 5Y | CVS CAREMARK CORP | 21.5% | 10 | 58 | 48 | 5 |
| 4 | TGT 5Y | DAYTON HUDSON CORP MEDIUM TERM | 20.1% | 6 | 37 | 31 | 5 |
| 5 | EXPE 5Y | EXPEDIA INC | 19.3% | 14 | 89 | 75 | 6 |
| 6 | SO 5Y | ALABAMA PWR CAP TR IV | 13.8% | 4 | 36 | 32 | 6 |
| 7 | DIS 5Y | CAPITAL CITIES ABC FIN INC | 11.7% | 4 | 38 | 34 | 5 |
| 8 | BAX 5Y | BAXTER INTL INC | 11.0% | 7 | 71 | 64 | 6 |
| 9 | MPC 5Y | MPC LLC | 8.3% | 4 | 52 | 48 | 5 |
| 10 | FDX 5Y | FEDERAL EXPRESS CORP | 7.5% | 3.3 | 48 | 44 | 6 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 5/1/24 – 5/31/24
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 4/30/23 vs. the month ending 5/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 48 | 49 | 0 | Wider | 608 |
| U.S. | 50 | 49 | -1 | Tighter | 248 |
| Europe | 47 | 45 | -1 | Tighter | 158 |
| China | 74 | 66 | -9 | Tighter | 9 |
| APAC | 47 | 46 | -1 | Tighter | 45 |
| Latin America | 96 | 94 | -2 | Tighter | 9 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 5/1/24 – 4/31/24
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 4/30/23 vs. the month ending 5/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 49 | 49 | 0 | Wider | 610 |
| Beverage, Food & Tobacco | 40 | 40 | 0 | Tighter | 34 |
| Transportation: Cargo | 23 | 24 | 1 | Wider | 14 |
| Consumer Goods: Durable | 78 | 72 | -6 | Tighter | 6 |
| Services: Business | 56 | 49 | -7 | Tighter | 3 |
| Media: Broadcasting & Subscription | 121 | 122 | 1 | Wider | 2 |
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