Credit Default Swaps
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Investment Grade CDS Market Summary:
December 2021
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 11/30/21 – 12/31/21
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | PRUFIN 5Y | PRUDENTIAL PLC | -23.9% | -18 | 56 | 74 |
| 2 | NEM 5Y | NEWMONT MNG CORP | -22.3% | -11 | 40 | 51 |
| 3 | CAG 5Y | CONAGRA FOODS INC | -22.0% | -16 | 57 | 73 |
| 4 | FDX 5Y | FEDERAL EXPRESS CORP | -21.7% | -11 | 39 | 50 |
| 5 | FSA_AA 5Y | ASSURED GUARANTY MUNICIPAL CORP | -21.5% | -12 | 44 | 56 |
| 6 | EXPE 5Y | EXPEDIA INC | -20.0% | -18 | 73 | 91 |
| 7 | BWA 5Y | BORGWARNER INC | -19.5% | -15 | 63 | 78 |
| 8 | CPB 5Y | CAMPBELL SOUP CO | -19.3% | -11 | 47 | 58 |
| 9 | MAR 5Y | MARRIOTT INTL INC | -19.2% | -18 | 74 | 91 |
| 10 | CAH 5Y | ALLEGIANCE CORP | -19.1% | -13 | 54 | 67 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 11/30/21 – 12/31/21
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | TJX 5Y | TJX COS INC NEW | 12.8% | 5 | 45 | 40 |
| 2 | ORCL 5Y | ORACLE CORP | 9.4% | 4 | 43 | 39 |
| 3 | UCBBB 5Y | UCB SA | 7.4% | 6 | 92 | 86 |
| 4 | SCFER 5Y | SCHAEFFLER FINANCE BV | 5.7% | 3 | 58 | 55 |
| 5 | NOMURA 5Y | NOMURA HLDGS INC | 3.7% | 3 | 78 | 75 |
| 6 | CA 5Y | CA INC | 2.5% | 2 | 97 | 95 |
| 7 | WPLAU 5Y | WOODSIDE FIN LTD | 2.4% | 2 | 79 | 77 |
| 8 | NTGYSM 5Y | GAS NATURAL FENOSA FINAN | 1.5% | 1 | 65 | 64 |
| 9 | SWEMAT 5Y | SWEDISH MATCH AB | 1.2% | 1 | 75 | 74 |
| 10 | CAFP 5Y | CARREFOUR SA | 1.2% | 0.8 | 63 | 63 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 11/30/21 – 12/31/21
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 11/30/21 vs. the month ending 12/31/21
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 54 | 50 | -4 | Tighter | 587 |
| U.S. | 51 | 45 | -6 | Tighter | 207 |
| U.K. | 69 | 57 | -12 | Tighter | 41 |
| Canada | 59 | 54 | -5 | Tighter | 7 |
| China | 68 | 57 | -11 | Tighter | 8 |
| APAC | 69 | 61 | -8 | Tighter | 31 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 11/30/21 – 12/31/21
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 11/30/21 vs. the month ending 12/31/21
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 54 | 50 | -4 | Tighter | 587 |
| Aerospace & Defense | 49 | 36 | -13 | Tighter | 11 |
| Construction & Building | 45 | 38 | -7 | Tighter | 13 |
| Insurance | 41 | 36 | -6 | Tighter | 28 |
| Media: Diversified & Production | 46 | 38 | -8 | Tighter | 4 |
| Sovereign & Public Finance | 53 | 44 | -8 | Tighter | 58 |
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