Investment Grade CDS Market Summary – September 2024
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Investment Grade CDS Market september 2024
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 9/1/24 – 9/30/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
|---|---|---|---|---|---|---|---|
| 1 | K 5Y | FLOWERS INDS INC | -35.9% | -23 | 41 | 63 | 2 |
| 2 | HMSOLN 5Y | HAMMERSON PLC | -13.8% | -9 | 59 | 69 | 3 |
| 3 | NOMURA 5Y | NOMURA HLDGS INC | -8.9% | -6 | 65 | 71 | 2 |
| 4 | KOBSTL 5Y | KOBE STEEL LTD | -7.0% | -4 | 57 | 62 | 3 |
| 5 | FREGR 5Y | FRESENIUS SE & CO KGAA | -5.7% | -3 | 54 | 57 | 3 |
| 6 | CAIXAB 5Y | CAIXA FINANCE BV | -4.9% | -5 | 93 | 98 | 2 |
| 7 | LUV 5Y | AIRTRAN HLDGS INC | -4.2% | -4 | 93 | 97 | 5 |
| 8 | CNPCCH 5Y | CNPC HK OVERSEAS CAP LTD | -3.9% | -3 | 65 | 67 | 2 |
| 9 | BRCORO 5Y | BRISA CONCESSAO RODOVIARIA SA | -3.4% | -3 | 95 | 98 | 2 |
| 10 | KAWKIS 5Y | KAWASAKI KISEN KAISHA LTD | -2.7% | -2 | 83 | 85 | 3 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 9/1/24 – 9/30/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
|---|---|---|---|---|---|---|---|
| 1 | FSA_AA 5Y | ASSURED GUARANTY MUNICIPAL CORP. | 48.4% | 28 | 87 | 59 | 4 |
| 2 | RENTOKIL 5Y | RENTOKIL GROUP PLC | 44.7% | 26 | 83 | 57 | 7 |
| 3 | CONTI 5Y | CONTI-GUMMI FIN B V | 41.0% | 32 | 111 | 78 | 6 |
| 4 | UUW 5Y | UNITED UTILS PLC | 38.9% | 20 | 71 | 51 | 7 |
| 5 | SZUGR 5Y | SUEDZUCKER AG | 38.3% | 23 | 84 | 61 | 6 |
| 6 | VW 5Y | VW CR CDA INC | 35.0% | 30 | 114 | 85 | 7 |
| 7 | DAIGR 5Y | DAIMLER AG | 32.8% | 15 | 61 | 46 | 7 |
| 8 | PPR 5Y | KERING SA | 32.5% | 12 | 49 | 37 | 6 |
| 9 | BMW 5Y | BMW BK NORTH AMER SALT LAKE | 32.3% | 15 | 62 | 47 | 7 |
| 10 | MPC 5Y | MPC LLC | 27.7% | 16.4 | 75 | 59 | 4 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 9/1/24 – 9/30/24 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 9/30/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
|---|---|---|---|---|---|
| Global | 47 | 51 | 4 | Wider | 598 |
| U.S. | 47 | 48 | 1 | Wider | 238 |
| U.K. | 53 | 59 | 6 | Wider | 45 |
| Canada | 54 | 60 | 7 | Wider | 12 |
| China | 60 | 61 | 1 | Wider | 9 |
| APAC | 45 | 47 | 2 | Wider | 42 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 9/1/24 – 9/30/24 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 9/30/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
|---|---|---|---|---|---|
| All Industries | 47 | 51 | 4 | Wider | 599.00 |
| Capital Equipment | 59 | 59 | 0 | Wider | 10.00 |
| Consumer Goods: Non-Durable | 50 | 48 | -2 | Tighter | 15.00 |
| Retail | 44 | 37 | -7 | Tighter | 19.00 |
| Chemicals, Plastics & Rubber | 60 | 60 | 0 | Wider | 15.00 |
| Healthcare & Pharmaceuticals | 37 | 39 | 2 | Wider | 31.00 |
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