Credit Default Swaps

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High Yield CDS Market Summary:
August 2022

Our newsletter presents key trends derived from observable Credit Default Swaps pricing data over a monthly period.

Top 10 Outperformers

Showcases the top 10 HY CDS “outperformers” based on the largest mid spread decreases between 8/1/22 – 8/31/22

RANK BOND NAME ISSUER % CHG BPS CHG SPRD SPRD-1 MNTH
1 GT 5Y GOODYEAR TIRE & RUBBER CO -25.6% -122 355 476
2 OXY 5Y OCCIDENTAL PETE CORP -24.2% -39 121 160
3 TCKCN 5Y TECK RESOURCES LIMITED -20.6% -48 186 234
4 TDC 5Y NORDIC TEL CO HLDG APS -46.5% -120 137 257
5 ARM 5Y ARVIN CAP I -39.4% -44 67 111
6 ORANOF 5Y ORANO SA -19.4% -51 213 265
7 NIDHEA 5Y STADA ARZNEIMITTEL AG -17.6% -121 565 686
8 CCK 5Y CROWN AMERICAS LLC -17.3% -47 226 273
9 XRX 5Y XEROX BUSINESS SERVICES LLC -17.1% -77 376 453
10 FCX 5Y FREEPORT-MCMORAN COPPER & GOLD -15.8% -36 191 226

Top 10 Underperformers

Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 8/1/22 – 8/31/22

RANK BOND NAME ISSUER % CHG BPS CHG SPRD SPRD-1 MNTH
1 BLL 5Y BALL CORP 38.2% 81 293 212
2 LW 5Y LAMB WESTON 37.1% 44 164 120
3 DELL 5Y DELL COMPUTER CORP 33.7% 50 198 148
4 BMY 5Y BRISTOL MYERS SQUIBB CO 28.6% 10 44 34
5 BZH 5Y BEAZER HOMES USA INC 28.5% 157 709 552
6 UIS 5Y UNISYS CORP 23.6% 102 534 432
7 KHC 5Y KRAFT HEINZ FOODS CO 22.4% 17 94 77
8 AGLSCG 5Y ALGECO GLOBAL FINANCE PLC 20.0% 45 271 226
9 TOL 5Y TOLL BROS INC 19.9% 47 282 235
10 MBIA_AA 5Y MBIA INC 19.6% 59 359 301

Normalized HY Spread by Region

Displays the HY CDS spread by region between 8/1/22 – 8/31/22

Results are based on 5 select regions, however, we offer data across 12 regions

HY Spread by Region – Monthly Comparison

Exhibits the HY mid spread by region for the month ending 7/31/22 vs. the month ending 8/31/22

REGION PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
Global 213 212 -1 Tighter 256
U.S. 209 200 -9 Tighter 140
Japan 222 215 -7 Tighter 4
Canada 141 129 -12 Tighter 6
APAC 143 129 -14 Tighter 5
Latin America 289 261 -28 Tighter 9

Normalized HY Spread by Industry

Displays the HY CDS spread by industry between 8/1/22 – 8/31/22

Results are based on 5 select industry sectors, however, we offer data across 36 sectors

HY Spread by Industries – Monthly Comparison

Exhibits the HY spread by industry for the month ending 7/31/22 vs. the month ending 8/31/22

INDUSTRY PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
All Industries 213 212 -1 Tighter 256
Aerospace & Defense 388 336 -52 Tighter 2
Construction & Building 180 206 26 Wider 8
Insurance 114 118 4 Wider 6
Utilities: Electric 165 151 -14 Tighter 10
Healthcare & Pharmaceuticals 171 177 6 Wider 8

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