Investment Grade CDS Market Summary – July 2022
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Investment Grade CDS Market Summary: July 2022
Our newsletter presents key trends derived from observable Credit Default Swaps pricing data over a monthly period.
Top 20 Underperformers
Showcases the top 20 IG CDS “underperformers” based on the largest mid spread increases between 7/1/22 -7/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
|---|---|---|---|---|---|---|
| 1 | NUNPC 5Y | NIPPON PAPER INDUSTRIES CO LTD | 101.5% | 88 | 174 | 86 |
| 2 | AKZANA 5Y | ICI WILMINGTON INC | 82.9% | 61 | 135 | 74 |
| 3 | AIFP 5Y | AIR LIQUIDE | 73.1% | 24 | 58 | 33 |
| 4 | DOW 5Y | DOW CAP B V | 72.9% | 67 | 159 | 92 |
| 5 | DSM 5Y | KONINKLIJKE DSM NV | 72.1% | 24 | 57 | 33 |
| 6 | EMN 5Y | EASTMAN CHEMICAL CO | 66.5% | 59 | 148 | 89 |
| 7 | SUMIRD 5Y | SUMITOMO REALTY & DEVELOPMENT CO LTD | 65.1% | 23 | 59 | 36 |
| 8 | PG 5Y | GILLETTE CO CORENOTES BOOK | 63.6% | 16 | 42 | 26 |
| 9 | MITCO 5Y | MITSUBISHI CORP | 60.3% | 17 | 45 | 28 |
| 10 | DD 5Y | DU PONT E I DE NEMOURS & CO | 60.3% | 31.2 | 83 | 52 |
| 11 | HST 5Y | HOST HOTELS & RESORTS INC | 59.9% | 82.4 | 220 | 137 |
| 12 | EXPE 5Y | EXPEDIA INC | 59.3% | 86.5 | 232 | 146 |
| 13 | ULFP 5Y | UNIBAIL-RODAMCO SE | 59.0% | 123.7 | 333 | 209 |
| 14 | SUMI 5Y | SUMITOMO CORP | 58.3% | 21.1 | 57 | 36 |
| 15 | SOLBBB 5Y | SOLVAY | 58.1% | 56.5 | 154 | 97 |
| 16 | BAYGR 5Y | BAYER CORP | 57.2% | 43.7 | 120 | 76 |
| 17 | JUSCO 5Y | AEON CO LTD | 57.2% | 26.4 | 73 | 46 |
| 18 | CS 5Y | CREDIT SUISSE AG NEW YORK BRH | 56.6% | 76.0 | 210 | 134 |
| 19 | OMC 5Y | OMNICOM GROUP INC | 55.7% | 32.8 | 92 | 59 |
| 20 | MUNRE 5Y | MUENCHENER RUECKVERSICHERUNGS | 55.4% | 22.6 | 63 | 41 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 7/1/22 -7/31/22 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 6/31/22 vs. the month ending 7/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
|---|---|---|---|---|---|
| Global | 69 | 83 | 14 | Wider | 535 |
| U.S. | 64 | 79 | 16 | Wider | 186 |
| Europe | 68 | 86 | 18 | Wider | 164 |
| Canada | 79 | 81 | 2 | Wider | 6 |
| APAC | 85 | 96 | 11 | Wider | 30 |
| Latin America | 102 | 119 | 17 | Wider | 10 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 7/1/22 -7/31/22 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 6/31/22 vs. the month ending 7/31/22
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
|---|---|---|---|---|---|
| All Industries | 69 | 83 | 14 | Wider | 535.00 |
| Aerospace & Defense | 38 | 54 | 16 | Wider | 11.00 |
| Automotive | 130 | 168 | 38 | Wider | 16.00 |
| Hotel, Gaming & Leisure | 87 | 121 | 34 | Wider | 3.00 |
| Retail | 72 | 73 | 1 | Wider | 21.00 |
| Media: Advertising, Printing & Publishing | 103 | 131 | 29 | Wider | 3.00 |
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