Credit Default Swaps

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Investment Grade CDS Market Summary:
November 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 11/1/23 – 11/30/23

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPRD SPRD-1 MONTH DEALERS
1 EXPE 5Y EXPEDIA INC -34.4% -45 86 131 6
2 K 5Y FLOWERS INDS INC -34.2% -35 68 103 2
3 SGOFP 5Y CIE DE SAINT-GOBAIN -31.9% -26 57 83 5
4 CHGRID 5Y STATE GRID CORPORATION OF CHINA -31.2% -28 61 89 3
5 AIG 5Y AMERICAN INTERNATIONAL GROUP -31.0% -31 68 99 5
6 AIRFP 5Y AIRBUS SE -30.7% -25 57 82 5
7 UHS 5Y UNIVERSAL HEALTH SERVICES INC -30.5% -42 95 137 5
8 NXT 5Y NEXT PLC -30.1% -33 77 110 5
9 LHNVX 5Y LAFARGEHOLCIM LTD -29.7% -36 85 120 5
10 WPPLN 5Y GREY GLOBAL GROUP INC -28.8% -30 75 106 4

Top 10 Underperformers

Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 11/1/23 – 11/30/23

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPRD SPRD-1 MONTH DEALERS
1 HESS 5Y AMERADA HESS CORP 11.5% 6 58 52 5
2 BERTEL 5Y BERTELSMANN SE & CO KGAA 8.7% 4 47 44 4
3 CNQCN 5Y CANADIAN NAT RES LTD 6.9% 4 64 60 4
4 HAL 5Y DRESSER INDS INC 3.5% 2 60 58 6
5 KOBSTL 5Y KOBE STEEL LTD 2.6% 2 91 89 6
6 VLO 5Y PREMCOR REFNG GROUP INC 2.0% 2 79 78 5
7 KMP 5Y KINDER MORGAN ENERGY PARTNERS 2.0% 1 51 50 2
8 KMP 5Y KINDER MORGAN ENERGY PARTNERS 2.0% 1 51 50 2
9 ABT 5Y ABBOTT LABORATORIES 1.4% 1 46 45 2
10 CATF 5Y CATERPILLAR FINANCIAL SERVICES CORP 1.0% 0.5 48 48 2

Normalized IG Spread by Region

Displays the IG CDS spread by region between 11/1/23 – 11/30/23

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 10/31/23 vs. the month ending 11/30/23

REGION PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
Global 70 60 -10 Tighter 606
U.S. 69 59 -10 Tighter 238
Japan 42 37 -5 Tighter 42
Europe 71 60 -11 Tighter 159
China 95 70 -25 Tighter 9
Latin America 112 78 -34 Tighter 10

Normalized IG Spread by Industry

Displays the IG CDS spread by industry between 11/1/23 – 11/30/23

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 10/31/23 vs. the month ending 11/30/23

INDUSTRIES PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
All Industry 70 60 -10 Tighter 607.00
Media: Advertising, Printing & Publishing 71 60 -11 Tighter 3.00
High Tech Industries 53 46 -7 Tighter 26.00
Hotel, Gaming & Leisure 74 57 -17 Tighter 4.00
Capital Equipment 89 84 -5 Tighter 11.00
Beverage, Food & Tobacco 54 45 -9 Tighter 33.00

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