Credit Default Swaps
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High Yield CDS Market Summary:
December 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 12/1/22 – 12/31/22
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | LPX 5Y | LP PINEWOOD SPV LLC | -21.2% | -38 | 140 | 178 | 3 |
| 2 | FCX 5Y | FREEPORT-MCMORAN COPPER & GOLD | -16.1% | -26 | 136 | 162 | 3 |
| 3 | RRD 5Y | DONNELLEY R R & SONS CO | -15.9% | -58 | 308 | 366 | 3 |
| 4 | TCKCN 5Y | TECK RESOURCES LIMITED | -15.8% | -27 | 144 | 171 | 3 |
| 5 | MBIA_AA 5Y | MBIA INC | -15.2% | -56 | 312 | 368 | 3 |
| 6 | HAOHUA 5Y | CNAC CENTURY HK CO LTD | -13.8% | -24 | 152 | 177 | 2 |
| 7 | HCA 5Y | HCA INC | -13.1% | -17 | 116 | 133 | 6 |
| 8 | MDC 5Y | M.D.C. HOLDINGS, INC | -10.7% | -25 | 207 | 232 | 7 |
| 9 | TOL 5Y | TOLL BROS INC | -10.6% | -25 | 211 | 236 | 3 |
| 10 | KBH 5Y | KB HOME | -10.5% | -38 | 321 | 359 | 5 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 12/1/22 – 12/31/22
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | NRG 5Y | NRG ENERGY INC | 33.0% | 105 | 422 | 317 | 3 |
| 2 | AXL 5Y | AMERICAN AXLE & MFG HLDGS INC | 28.4% | 137 | 622 | 484 | 3 |
| 3 | AMKR 5Y | AMKOR TECHNOLOGY INC | 16.7% | 24 | 167 | 143 | 4 |
| 4 | TDC 5Y | NORDIC TEL CO HLDG APS | 13.7% | 17 | 142 | 125 | 3 |
| 5 | AMD 5Y | ADVANCED MICRO DEVICES INC | 13.5% | 10 | 87 | 76 | 3 |
| 6 | GASSM 5Y | GNFT | 13.5% | 12 | 101 | 89 | 2 |
| 7 | SIRI 5Y | SCS HOLDINGS INC | 12.9% | 23 | 201 | 178 | 4 |
| 8 | GM 5Y | GENERAL MOTORS CO | 12.6% | 24 | 214 | 190 | 7 |
| 9 | CSTM 5Y | CONSTELLIUM NV | 11.9% | 39 | 365 | 326 | 3 |
| 10 | MMC 5Y | KROLL INC | 11.4% | 3 | 30 | 27 | 6 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 12/1/22 – 12/31/22
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 11/30/22 vs. the month ending 12/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 171 | 164 | -7 | Tighter | 248 |
| U.S. | 165 | 156 | -9 | Tighter | 136 |
| Japan | 241 | 244 | 3 | Wider | 4 |
| Europe | 208 | 211 | 2 | Wider | 51 |
| Canada | 112 | 110 | -2 | Tighter | 6 |
| Latin America | 285 | 278 | -7 | Tighter | 8 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 12/1/22 – 12/31/22
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 11/30/22 vs. the month ending 12/31/22
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 171 | 164 | -7 | Tighter | 248.00 |
| Automotive | 245 | 281 | 36 | Wider | 9.00 |
| Energy: Oil & Gas | 140 | 143 | 4 | Wider | 15.00 |
| Hotel, Gaming & Leisure | 321 | 330 | 9 | Wider | 11.00 |
| Metals & Mining | 178 | 147 | -31 | Tighter | 9.00 |
| Finance | 135 | 140 | 5 | Wider | 23.00 |
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