Credit Default Swaps
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High Yield CDS Market Summary: December 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 12/1/24 – 12/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | NMAC 5Y | NISSAN MTR ACCEP CORP | -46.6% | -106 | 121 | 226 | 3 |
| 2 | SCFER 5Y | SCHAEFFLER FINANCE BV | -36.7% | -75 | 130 | 205 | 3 |
| 3 | TEVA 5Y | TEVA PHARMACEUTICAL INDUSTRIES LTD | -19.0% | -24 | 102 | 126 | 3 |
| 4 | FTI 5Y | TECHNIPFMC PLC | -13.3% | -20 | 132 | 152 | 4 |
| 5 | TKAGR 5Y | VERTICAL MIDCO GMBH | -12.2% | -21 | 154 | 175 | 4 |
| 6 | TUIGR 5Y | CP SHIPS LTD | -10.5% | -25 | 216 | 242 | 3 |
| 7 | STGATE 5Y | STONEGATE PUB CO FINANCING PLC | -8.6% | -12 | 125 | 137 | 2 |
| 8 | SAIBV 5Y | SAIPEM FINANCE INTERNATIONAL BV | -7.6% | -12 | 143 | 155 | 3 |
| 9 | IPGIM 5Y | SALINI IMPREGILO | -7.1% | -14 | 182 | 196 | 3 |
| 10 | DUFNSW 5Y | DUFRY AG | -6.6% | -9 | 134 | 143 | 3 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 12/1/24 – 12/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | X 5Y | TRANSTAR HLDGS INC | 49.6% | 70 | 210 | 141 | 3 |
| 2 | KBH 5Y | KB HOME | 45.4% | 50 | 160 | 110 | 4 |
| 3 | OLN 5Y | OLIN CORP | 32.8% | 38 | 155 | 117 | 3 |
| 4 | BZH 5Y | BEAZER HOMES USA INC | 31.7% | 66 | 275 | 209 | 3 |
| 5 | CAR 5Y | AVIS BUDGET CAR RENTAL LLC | 27.4% | 95 | 440 | 345 | 3 |
| 6 | PETBRA 5Y | PF EXPT RECEIVABLES MASTER TR | 26.7% | 47 | 221 | 174 | 3 |
| 7 | GFKLDE 5Y | LOWELL HOLDINGS GMBH | 25.2% | 32 | 160 | 128 | 2 |
| 8 | LW 5Y | LAMB WESTON | 24.8% | 26 | 131 | 105 | 3 |
| 9 | SIRI 5Y | SCS HOLDINGS INC | 24.3% | 41 | 210 | 169 | 3 |
| 10 | NCX 5Y | NOVA CHEMS LTD | 21.8% | 34 | 188 | 154 | 4 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 12/1/24 – 12/31/24
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 11/30/24 vs. the month ending 12/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 139 | 134 | -5 | Tighter | 181 |
| U.S. | 124 | 131 | 7 | Wider | 96 |
| U.K. | 89 | 94 | 5 | Wider | 17 |
| China | 87 | 87 | 0 | Wider | 1 |
| APAC | 102 | 107 | 4 | Wider | 1 |
| RoW | 98 | 98 | 0 | Unchanged | 1 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 12/1/24 – 12/31/24
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 11/30/24 vs. the month ending 12/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 139 | 134 | -5 | Tighter | 0 |
| Beverage, Food & Tobacco | 212 | 177 | -35 | Tighter | 0 |
| Containers, Packaging, & Glass | 95 | 95 | 0 | Wider | 0 |
| Healthcare & Pharmaceuticals | 116 | 120 | 4 | Wider | 0 |
| Retail | 143 | 129 | -14 | Tighter | 0 |
| Transportation: Cargo | 159 | 155 | -4 | Tighter | 0 |
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