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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