Credit Default Swaps
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High Yield CDS Market Summary:
August 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 HY CDS “outperformers” based on the largest mid spread decreases between 8/1/24 – 8/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | OLN 5Y | OLIN CORP | -26.8% | -35 | 96 | 132 | 4 |
| 2 | TATAMTR 5Y | JAGUAR LD ROVER PLC | -21.0% | -42 | 157 | 199 | 3 |
| 3 | BAB 5Y | BRITISH AIRWAYS | -15.8% | -23 | 123 | 146 | 3 |
| 4 | VISTRAENE 5Y | VISTRA ENERGY CORP | -15.7% | -21 | 115 | 136 | 2 |
| 5 | NVFVES 5Y | NOVAFIVES SAS | -14.8% | -21 | 122 | 144 | 4 |
| 6 | LW 5Y | LAMB WESTON | -12.6% | -17 | 116 | 133 | 4 |
| 7 | TITIM 5Y | TELECOM ITALIA SPA | -12.5% | -24 | 171 | 196 | 4 |
| 8 | AES 5Y | AES TRUST I | -11.7% | -14 | 106 | 120 | 4 |
| 9 | NRG 5Y | NRG ENERGY INC | -10.4% | -13 | 112 | 125 | 5 |
| 10 | TKAGR 5Y | VERTICAL MIDCO GMBH | -9.2% | -18 | 178 | 196 | 3 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 8/1/24 – 8/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | MBIA_AA 5Y | MBIA INC | 89.9% | 94 | 198 | 104 | 3 |
| 2 | GT 5Y | GOODYEAR TIRE & RUBBER CO | 38.5% | 93 | 334 | 241 | 3 |
| 3 | GNW 5Y | AQGEN LIBERTY MGMT I INC | 36.1% | 28 | 106 | 78 | 3 |
| 4 | CLF 5Y | CLIFFS NAT RES INC | 32.8% | 62 | 251 | 189 | 4 |
| 5 | ZFFNGR 5Y | ZF NA CAPITAL | 20.9% | 42 | 243 | 201 | 2 |
| 6 | CABBCO 5Y | MONITCHEM HOLDCO 3 | 17.5% | 75 | 506 | 431 | 4 |
| 7 | RRD 5Y | DONNELLEY R R & SONS CO | 15.1% | 72 | 547 | 475 | 3 |
| 8 | CLAR 5Y | CLARIANT AG | 14.9% | 13 | 97 | 84 | 5 |
| 9 | MGM 5Y | MGM RESORTS INTERNATIONAL | 12.5% | 19 | 173 | 153 | 4 |
| 10 | CECGR 5Y | CECONOMY AG | 9.1% | 28 | 336 | 308 | 3 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 8/1/24 – 8/31/24
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 7/31/24 vs. the month ending 8/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 137 | 131 | -5 | Tighter | 192 |
| U.S. | 131 | 125 | -6 | Tighter | 103 |
| U.K. | 95 | 90 | -6 | Tighter | 17 |
| Canada | 75 | 65 | -11 | Tighter | 4 |
| China | 78 | 74 | -4 | Tighter | 1 |
| APAC | 111 | 100 | -11 | Tighter | 1 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 8/1/24 – 8/31/24
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 7/31/24 vs. the month ending 8/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 137 | 131 | -5 | Tighter | 192.00 |
| Construction & Building | 199 | 190 | -10 | Tighter | 6.00 |
| Beverage, Food & Tobacco | 168 | 173 | 5 | Wider | 5.00 |
| Healthcare & Pharmaceuticals | 94 | 89 | -5 | Tighter | 8.00 |
| Retail | 182 | 178 | -4 | Tighter | 16.00 |
| Telecommunications | 197 | 185 | -12 | Tighter | 10.00 |
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