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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