Credit Default Swaps
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Investment Grade CDS Market Summary:
september 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 9/1/23 – 9/30/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | SHIMIZ 5Y | SHIMIZU CORP | -14.5% | -3 | 18 | 21 | 3 |
| 2 | LOUDRE 5Y | LOUIS DREYFUS CO BV | -10.6% | -17 | 141 | 158 | 4 |
| 3 | AMZN 5Y | AMAZON.COM INC | -10.5% | -4 | 35 | 39 | 3 |
| 4 | RELIN 5Y | RELIANCE HLDG USA INC | -6.5% | -5 | 68 | 73 | 3 |
| 5 | RTN 5Y | RAYTHEON CO | -5.4% | -1 | 12 | 13 | 3 |
| 6 | BABA 5Y | ALIBABA GROUP HOLDING | -5.3% | -7 | 121 | 128 | 3 |
| 7 | RENTOKIL 5Y | RENTOKIL GROUP PLC | -4.8% | -3 | 57 | 60 | 3 |
| 8 | BOCAVI 5Y CDS | BOC AVIATION LTD | -4.2% | -6 | 143 | 150 | 3 |
| 9 | EJRAIL 5Y | EAST JAPAN RAILWAY COMPANY | -3.5% | -1 | 26 | 27 | 3 |
| 10 | GE 5Y | GENERAL ELEC CAP CORP MEDIUM | -2.4% | -2 | 65 | 67 | 4 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 9/1/23 – 9/30/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | ACE 5Y | ACE INA HLDG INC | 69.7% | 17 | 42 | 25 | 4 |
| 2 | CB 5Y | CHUBB CORP | 60.5% | 15 | 40 | 25 | 6 |
| 3 | NMAC 5Y | NISSAN MTR ACCEP CORP | 35.2% | 35 | 134 | 99 | 3 |
| 4 | BASGR 5Y | ENGELHARD CORP | 35.1% | 21 | 80 | 59 | 4 |
| 5 | AUCHAN 5Y | AUCHAN SA | 32.7% | 52 | 212 | 159 | 4 |
| 6 | ORCL 5Y | ORACLE CORP | 31.8% | 17 | 71 | 54 | 4 |
| 7 | AIRFP 5Y | AIRBUS SE | 28.6% | 18 | 79 | 62 | 4 |
| 8 | CARLB 5Y | CARLSBERG AS | 28.5% | 9 | 41 | 32 | 4 |
| 9 | MOT 5Y | MOTOROLA INC | 27.8% | 11 | 50 | 39 | 4 |
| 10 | RTX 5Y | UNITED TECHNOLOGIES CORP | 26.0% | 11.5 | 56 | 44 | 5 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 9/1/23 – 9/30/23
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 8/31/23 vs. the month ending 9/30/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 61 | 66 | 6 | Wider | 529 |
| U.S. | 59 | 65 | 6 | Wider | 190 |
| Japan | 35 | 40 | 4 | Wider | 43 |
| Europe | 62 | 70 | 8 | Wider | 148 |
| APAC | 55 | 59 | 4 | Wider | 41 |
| Latin America | 74 | 85 | 11 | Wider | 9 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 9/1/23 – 9/30/23
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 8/31/23 vs. the month ending 9/30/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 61 | 66 | 6 | Wider | 530 |
| Capital Equipment | 71 | 76 | 5 | Wider | 11 |
| Energy: Oil & Gas | 71 | 73 | 2 | Wider | 29 |
| Consumer Goods: Durable | 49 | 55 | 5 | Wider | 6 |
| Insurance | 50 | 53 | 3 | Wider | 27 |
| Finance | 69 | 74 | 5 | Wider | 42 |
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