IG 13 Constituent Spread Update

Zero Hedge

Below we present an analysis of the 125 names that make up the CDX IG 13 index. The index closed at 97.75 today, with constituent names trading between 873 bps on the wide side, to 29 bps on the tight side. While in March the ten widest names were all trading north of 1000 bps, now even bankrupt AIG and ILFC are inside. With just 40 bps of theoretical tightening, a basket of the 10 tightest names could be a generational opportunity for a catastrophe hedge. The ten widest names are:

1. ILFC – 872 bps
2. AIG – 653
3. Valero Energy – 249
4. UnitedHealth Group – 219
5. MetLife – 213
6. Alcoa – 210
7. Hartford – 209
8. General Electric Capital Corp. – 196
9. RR Donnelley – 188
10. Southwest Airlines – 185

And on the tight side of the index we have:

1. Lockheed Martin Corporation- 43 bps
2. The Walt Disney Company – 43
3. Computer Sciences Corporation – 43
4. AT&T Mobility – 42
5. The Black & Decker Corporation – 40
6. The Sherwin-Williams Company- 40
7. McKesson Corporation – 39
8. Campbell Soup Company – 38
9. International Business Machines – 34
10. Hewlett-Packard Company – 29

In 3 years, when you tell someone you could have bought HP at 29 bps, they very likely will think you are either insane or richer than John Paulson.

IG 13 CDS sort by Alpha:

IG 13 CDS sort by Spread:

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