Investment Grade CDS Market Summary – March 2023
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Investment Grade CDS Market Summary:March 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 2/1/23 – 2/28/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
|---|---|---|---|---|---|---|---|
| 1 | SYNNVX 5Y | SYNGENTA AG | -30.1% | -42 | 98 | 140 | 5 |
| 2 | NEM 5Y | NEWMONT MNG CORP | -28.8% | -19 | 46 | 65 | 5 |
| 3 | ABXFIN 5Y | BARRICK GOLD CORP | -19.2% | -13 | 55 | 69 | 5 |
| 4 | PG 5Y | GILLETTE CO CORENOTES BOOK | -19.1% | -8 | 33 | 40 | 5 |
| 5 | KIM 5Y | KIMCO REALTY CORP | -18.6% | -17 | 73 | 89 | 2 |
| 6 | DHI 5Y | D R HORTON INC | -17.7% | -14 | 67 | 82 | 4 |
| 7 | WMT 5Y | WAL-MART STORES INC | -17.3% | -7 | 32 | 38 | 6 |
| 8 | MCD 5Y | MCDONALDS CORP | -16.4% | -6 | 30 | 35 | 6 |
| 9 | WYE 5Y | ALPHARMA INC | -16.1% | -8 | 40 | 47 | 6 |
| 10 | HON 5Y | ALLIED SIGNAL INC | -14.1% | -5 | 30 | 35 | 5 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 2/1/23 – 2/28/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
|---|---|---|---|---|---|---|---|
| 1 | UBS HOLDCO 5Y | UBS AG LONDON BRH | 103.4% | 77 | 151 | 74 | 3 |
| 2 | LNC 5Y | JEFFERSON-PILOT CAP TR B | 88.3% | 131 | 280 | 149 | 4 |
| 3 | COFF 5Y | CAPITAL ONE FINL CORP | 86.0% | 108 | 233 | 125 | 3 |
| 4 | DB 5Y | DEUTSCHE BK AG GLOBAL MEDIUM | 68.5% | 60 | 147 | 87 | 3 |
| 5 | NOMURA 5Y | NOMURA HLDGS INC | 63.7% | 48 | 123 | 75 | 3 |
| 6 | SESGLX 5Y | SES SA | 63.4% | 83 | 215 | 131 | 6 |
| 7 | ORIX 5Y | ORIX CORP | 62.3% | 32 | 82 | 51 | 3 |
| 8 | SPG 5Y | CPG PARTNERS L P | 55.8% | 49 | 136 | 87 | 3 |
| 9 | MET 5Y | GENAMERICA CAP I | 52.9% | 40 | 117 | 77 | 4 |
| 10 | FSA_AA 5Y | ASSURED GUARANTY MUNICIPAL CORP. | 52.4% | 29.9 | 87 | 57 | 4 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 2/1/23 – 2/28/23 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 1/31/23 vs. the month ending 2/28/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
|---|---|---|---|---|---|
| Global | 69 | 75 | 7 | Wider | 509 |
| U.S. | 67 | 73 | 6 | Wider | 179 |
| Japan | 39 | 49 | 9 | Wider | 36 |
| U.K. | 82 | 86 | 4 | Wider | 39 |
| Canada | 78 | 70 | -7 | Tighter | 4 |
| APAC | 68 | 75 | 7 | Wider | 36 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 2/1/23 – 2/28/23 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 1/31/23 vs. the month ending 2/28/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
|---|---|---|---|---|---|
| All Industries | 69 | 75 | 7 | Wider | 510 |
| Aerospace & Defense | 48 | 46 | -2 | Tighter | 10 |
| Healthcare & Pharmaceuticals | 47 | 45 | -2 | Tighter | 25 |
| Hotel, Gaming & Leisure | 69 | 75 | 6 | Wider | 3 |
| Metals & Mining | 84 | 86 | 2 | Wider | 18 |
| Finance | 81 | 90 | 9 | Wider | 40 |
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