Credit Default Swaps
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High Yield CDS Market Summary:
December 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 12/1/23 – 12/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | GNW 5Y | AQGEN LIBERTY MGMT I INC | -18.3% | -27 | 123 | 150 | 3 |
| 2 | NMAC 5Y | NISSAN MTR ACCEP CORP | -17.7% | -22 | 102 | 124 | 3 |
| 3 | NRG 5Y | NRG ENERGY INC | -16.8% | -37 | 183 | 220 | 3 |
| 4 | CSTM 5Y | CONSTELLIUM NV | -14.7% | -39 | 224 | 263 | 3 |
| 5 | CZR 5Y | CAESARS ENTERTAINMENT OP | -14.2% | -38 | 229 | 267 | 3 |
| 6 | LHAGR 5Y | DEUTSCHE LUFTHANSA AG | -12.9% | -24 | 160 | 184 | 3 |
| 7 | PFDLN 5Y | PREMIER FOODS FINANCE PLC | -11.8% | -23 | 174 | 197 | 3 |
| 8 | MGM 5Y | MGM RESORTS INTERNATIONAL | -9.4% | -20 | 194 | 214 | 3 |
| 9 | PPFTEL 5Y | PPF TELECOM GROUP BV | -7.8% | -9 | 101 | 109 | 2 |
| 10 | SOFTBK 5Y | SOFTBANK GROUP CORP | -6.3% | -13 | 189 | 202 | 3 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 12/1/23 – 12/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | AR 5Y | ANTERO RESOURCES CORP | 11.7% | 15 | 142 | 127 | 4 |
| 2 | CHK 5Y | CHESAPEAKE ENERGY CORP | 6.0% | 8 | 143 | 135 | 3 |
| 3 | TGNA 5Y | TEGNA INC | 5.7% | 12 | 219 | 208 | 3 |
| 4 | ECACN 5Y | ALBERTA ENERGY CO LTD MEDIUM | 3.1% | 3 | 105 | 102 | 3 |
| 5 | RMK 5Y | ARAMARK CORP | 3.0% | 4 | 143 | 139 | 3 |
| 6 | SFI 5Y | ISTAR FINL INC | 2.6% | 4 | 161 | 157 | 3 |
| 7 | IPGIM 5Y | SALINI IMPREGILO | 1.0% | 4 | 401 | 397 | 3 |
| 8 | MATTER 5Y | ORANGE COMMUNICATIONS | 0.8% | 2 | 270 | 268 | 2 |
| 9 | SVU 5Y | SUPERVALU INC | 0.1% | 0 | 259 | 259 | 3 |
| 10 | MAT 5Y | MATTEL INC | 0.1% | 0 | 205 | 205 | 2 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 12/1/23 – 12/31/23
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 11/30/23 vs. the month ending 12/31/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 191 | 160 | -31 | Tighter | 178 |
| U.S. | 186 | 160 | -25 | Tighter | 95 |
| Japan | 202 | 189 | -13 | Tighter | 5 |
| Europe | 189 | 170 | -20 | Tighter | 49 |
| Canada | 102 | 105 | 3 | Wider | 3 |
| Latin America | 241 | 215 | -25 | Tighter | 4 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 12/1/23 – 12/31/23
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 11/30/23 vs. the month ending 12/31/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 191 | 160 | -31 | Tighter | 178.00 |
| Beverage, Food & Tobacco | 197 | 158 | -38 | Tighter | 6.00 |
| Energy: Electricity | 220 | 183 | -37 | Tighter | 1.00 |
| Media: Broadcasting & Subscription | 323 | 273 | -51 | Tighter | 5.00 |
| Transportation: Cargo | 239 | 238 | -1 | Tighter | 4.00 |
| Capital Equipment | 266 | 245 | -21 | Tighter | 6.00 |
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