Credit Default Swaps
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High Yield CDS Market Summary:
August 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 HY CDS “outperformers” based on the largest mid spread decreases between 8/1/23 – 8/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | TVOYFH 5Y | TVO | -15.6% | -10 | 55 | 65 | 4 |
| 2 | ORANOF 5Y | ORANO SA | -15.5% | -11 | 61 | 72 | 2 |
| 3 | TITIM 5Y | TELECOM ITALIA SPA | -13.8% | -51 | 317 | 368 | 4 |
| 4 | CIT 5Y | AT&T CAP CORP | -13.3% | -26 | 170 | 196 | 2 |
| 5 | TOKELP 5Y | TOKYO ELECTRIC POWER CO HOLDINGS INC | -12.4% | -8 | 54 | 62 | 4 |
| 6 | CCOH 5Y | CCO HOLDINGS LLC | -12.1% | -33 | 238 | 271 | 3 |
| 7 | THC 5Y | TENET HEALTHCARE CORP | -9.8% | -27 | 244 | 271 | 3 |
| 8 | MUR 5Y | MURPHY OIL CORP | -9.7% | -17 | 154 | 170 | 3 |
| 9 | UPS 5Y | UNITED PARCEL SVC AMER INC | -9.6% | -4 | 34 | 37 | 4 |
| 10 | APA 5Y | APACHE CORP | -9.4% | -13 | 127 | 141 | 4 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 8/1/23 – 8/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | ICBC 5Y | INDUSTRIAL & COML BK CHINA LTD | 42.1% | 29 | 97 | 68 | 3 |
| 2 | LPX 5Y | LP PINEWOOD SPV LLC | 39.0% | 39 | 140 | 101 | 3 |
| 3 | GT 5Y | GOODYEAR TIRE & RUBBER CO | 24.3% | 66 | 338 | 272 | 3 |
| 4 | BAIDU 5Y | BAIDU INC | 22.9% | 25 | 134 | 109 | 2 |
| 5 | SINOPE 5Y | SONANGOL EP | 22.6% | 18 | 95 | 78 | 3 |
| 6 | SEE 5Y | SEALED AIR CORP NEW | 22.0% | 35 | 194 | 159 | 4 |
| 7 | CINDBK 5Y | CHINA CITIC BANK CORP LTD | 21.1% | 21 | 119 | 99 | 3 |
| 8 | NCX 5Y | NOVA CHEMS LTD | 21.1% | 73 | 420 | 347 | 3 |
| 9 | HAOHUA 5Y | CNAC CENTURY HK CO LTD | 20.3% | 31 | 181 | 151 | 3 |
| 10 | EOFP 5Y | FAURECIA | 20.0% | 47 | 284 | 236 | 5 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 8/1/23 – 8/31/23
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 7/31/23 vs. the month ending 8/31/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 133 | 142 | 10 | Wider | 249 |
| U.S. | 123 | 136 | 13 | Wider | 130 |
| Europe | 152 | 151 | -1 | Tighter | 57 |
| Canada | 107 | 120 | 13 | Wider | 7 |
| China | 109 | 134 | 25 | Wider | 3 |
| APAC | 104 | 115 | 10 | Wider | 6 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 8/1/23 – 8/31/23
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 7/31/23 vs. the month ending 8/31/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 133 | 142 | 10 | Wider | 249 |
| Automotive | 214 | 229 | 15 | Wider | 11 |
| Energy: Oil & Gas | 104 | 111 | 7 | Wider | 19 |
| Hotel, Gaming & Leisure | 186 | 171 | -16 | Tighter | 10 |
| Metals & Mining | 122 | 140 | 18 | Wider | 9 |
| Finance | 127 | 129 | 3 | Wider | 24 |
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