Credit Default Swaps
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High Yield CDS Market Summary:
February 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 1/31/22 – 2/28/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | MAT 5Y | MATTEL INC | -14.6% | -20 | 117 | 137 |
| 2 | RCL 5Y | ROYAL CARIBBEAN CRUISES LTD | -13.6% | -59 | 377 | 437 |
| 3 | AMD 5Y | ADVANCED MICRO DEVICES INC | -13.3% | -8 | 53 | 61 |
| 4 | X 5Y | TRANSTAR HLDGS INC | -13.2% | -55 | 363 | 418 |
| 5 | AR 5Y | ANTERO RESOURCES CORP | -12.9% | -35 | 237 | 273 |
| 6 | BRITEL 5Y | BRITISH TELECOM FIN INC | -11.7% | -14 | 108 | 123 |
| 7 | FD 5Y | FEDERATED DEPT STORES INC | -11.6% | -36 | 277 | 313 |
| 8 | RRD 5Y | DONNELLEY R R & SONS CO | -11.5% | -25 | 190 | 215 |
| 9 | URI 5Y | UR FING ESCROW CORP | -10.7% | -17 | 144 | 161 |
| 10 | ADLERR 5Y | ADLER REAL ESTATE AG | -10.5% | -67 | 568 | 635 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 1/31/22 – 2/28/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | ERICB 5Y | TELEFONAKTIEBOLAGET LM ERICSSON | 52.8% | 43 | 123 | 81 |
| 2 | AGLSCG 5Y | ALGECO GLOBAL FINANCE PLC | 47.8% | 60 | 184 | 125 |
| 3 | MONTE 5Y | BANCA ANTONVENETA SPA/OLD | 46.5% | 144 | 454 | 310 |
| 4 | ROLLS 5Y | ROLLS ROYCE LTD | 35.3% | 65 | 250 | 184 |
| 5 | IGTLN 5Y | INTERNATIONAL GAMING TECHNOLOGY PLC | 35.3% | 84 | 322 | 238 |
| 6 | CETSA 5Y | CELLNEX TELECOM SA | 34.8% | 55 | 215 | 159 |
| 7 | UNILAB 5Y | UNILABS HOLDINGS SA | 31.4% | 42 | 175 | 134 |
| 8 | MATTER 5Y | ORANGE COMMUNICATIONS | 31.0% | 85 | 361 | 276 |
| 9 | MDC 5Y | M.D.C. HOLDINGS, INC | 30.8% | 36 | 155 | 118 |
| 10 | INEGRP 5Y | INEOS FIN PLC | 30.4% | 56 | 242 | 186 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 1/31/22 – 2/28/22
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 1/31/22 vs. the month ending 2/28/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 159 | 171 | 12 | Wider | 314 |
| U.S. | 144 | 158 | 14 | Wider | 159 |
| Japan | 82 | 88 | 6 | Wider | 4 |
| Europe | 160 | 195 | 35 | Wider | 80 |
| China | 96 | 98 | 2 | Wider | 3 |
| Latin America | 255 | 234 | -21 | Tighter | 8 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 1/31/22 – 2/28/22
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 1/31/22 vs. the month ending 2/28/22
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 159 | 171 | 12 | Wider | 314.00 |
| Capital Equipment | 282 | 286 | 4 | Wider | 10.00 |
| Insurance | 74 | 81 | 7 | Wider | 6.00 |
| Hotel, Gaming & Leisure | 248 | 313 | 65 | Wider | 11.00 |
| Utilities: Electric | 82 | 86 | 5 | Wider | 13.00 |
| High Tech Industries | 60 | 54 | -6 | Tighter | 14.00 |
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