Credit Default Swaps
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Investment Grade CDS Market Summary:
October 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 10/1/23 – 10/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | HESS 5Y | AMERADA HESS CORP | -46.0% | -45 | 52 | 97 | 7 |
| 2 | ABXFIN 5Y | BARRICK GOLD CORP | -9.0% | -6 | 59 | 64 | 7 |
| 3 | PSON 5Y | PEARSON DLR FIN PLC | -6.7% | -6 | 77 | 82 | 5 |
| 4 | TESCO 5Y | TESCO PLC | -5.6% | -5 | 87 | 92 | 5 |
| 5 | LIFP 5Y | KLEPIERRE SA | -5.2% | -5 | 94 | 99 | 3 |
| 6 | PUBFP 5Y | PUBLICIS S A NEW | -5.1% | -4 | 71 | 75 | 5 |
| 7 | VOLTRY 5Y | VOLVO TREAS AB | -4.5% | -3 | 74 | 77 | 4 |
| 8 | COXENT 5Y | COX COMMUNICATIONS INC NEW | -4.2% | -3 | 71 | 74 | 7 |
| 9 | GE 5Y | GENERAL ELEC CAP CORP MEDIUM | -3.9% | -3 | 63 | 66 | 6 |
| 10 | KPN 5Y | ROYAL KPN NV | -3.1% | -2 | 60 | 62 | 5 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 10/1/23 – 10/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | SUMICH 5Y | SUMITOMO CHEMICAL CO LTD | 66.2% | 30 | 75 | 45 | 3 |
| 2 | RENTOKIL 5Y | RENTOKIL GROUP PLC | 52.6% | 31 | 89 | 58 | 5 |
| 3 | KAWHI 5Y | KAWASAKI HEAVY INDUSTRIES LTD | 39.6% | 20 | 70 | 50 | 3 |
| 4 | SIEGR 5Y | SIEMENS | 37.2% | 15 | 57 | 41 | 4 |
| 5 | TELMAL 5Y | TELEKOM MALAYSIA BERHAD | 32.6% | 15 | 61 | 46 | 2 |
| 6 | MITTOA 5Y | MITSUI CHEMICALS INC | 32.4% | 11 | 45 | 34 | 3 |
| 7 | CAT 5Y | CATERPILLAR INC. | 25.9% | 10 | 47 | 37 | 5 |
| 8 | AMZN 5Y | AMAZON.COM INC | 24.1% | 8 | 43 | 35 | 3 |
| 9 | CMBKKO 5Y | WOORI BK KOREA | 23.1% | 9 | 49 | 40 | 3 |
| 10 | KOREAT 5Y | KT CORP MEDIUM TERM NTS BOOK | 22.9% | 9.2 | 50 | 40 | 2 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 10/1/23 – 10/31/23
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 9/30/23 vs. the month ending 10/31/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 67 | 70 | 3 | Wider | 496 |
| U.S. | 66 | 68 | 2 | Wider | 171 |
| Europe | 70 | 72 | 2 | Wider | 148 |
| Canada | 73 | 60 | -12 | Tighter | 5 |
| China | 92 | 93 | 1 | Wider | 8 |
| MENA | 80 | 98 | 18 | Wider | 14 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 10/1/23 – 10/31/23
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 9/30/23 vs. the month ending 10/31/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 67 | 70 | 3 | Wider | 0 |
| Containers, Packaging, & Glass | 62 | 62 | 0 | Wider | 0 |
| Retail | 59 | 63 | 4 | Wider | 0 |
| Finance | 76 | 76 | 0 | Wider | 0 |
| Beverage, Food & Tobacco | 48 | 51 | 4 | Wider | 0 |
| Services: Consumer | 122 | 129 | 6 | Wider | 0 |
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