Credit Default Swaps
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High Yield CDS Market Summary:
February 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 2/1/23 – 2/28/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH |
| 1 | PHG 5Y | KONINKLIJKE PHILIPS ELECTRS | -24.4% | -25 | 78 | 102 |
| 2 | CAR 5Y | AVIS BUDGET CAR RENTAL LLC | -19.7% | -81 | 332 | 413 |
| 3 | ARM 5Y | ARVIN CAP I | -19.6% | -5 | 21 | 26 |
| 4 | AFKLM 5Y | AIR FRANCE-KLM | -19.5% | -108 | 446 | 554 |
| 5 | RAYAC 5Y | REXEL | -18.2% | -38 | 170 | 208 |
| 6 | IGT 5Y | INTERNATIONAL GAME TECHNOLOGY | -18.1% | -50 | 226 | 276 |
| 7 | THC 5Y | TENET HEALTHCARE CORP | -17.8% | -76 | 354 | 430 |
| 8 | SAIBV 5Y | SAIPEM FINANCE INTERNATIONAL BV | -17.2% | -88 | 423 | 511 |
| 9 | ROLLS 5Y | ROLLS ROYCE LTD | -16.6% | -50 | 249 | 299 |
| 10 | TITIM 5Y | TELECOM ITALIA SPA | -15.6% | -62 | 335 | 396 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 2/1/23 – 2/28/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH |
| 1 | ICBC 5Y | INDUSTRIAL & COML BK CHINA LTD | 32.5% | 21 | 84 | 63 |
| 2 | RMK 5Y | ARAMARK CORP | 32.0% | 53 | 217 | 164 |
| 3 | NSC 5Y | CONSOLIDATED RAIL CORP | 31.6% | 11 | 45 | 34 |
| 4 | INEGRP 5Y | INEOS FIN PLC | 30.9% | 72 | 304 | 232 |
| 5 | LPX 5Y | LP PINEWOOD SPV LLC | 29.6% | 32 | 140 | 108 |
| 6 | AMKR 5Y | AMKOR TECHNOLOGY INC | 28.4% | 41 | 185 | 144 |
| 7 | OXY 5Y | OCCIDENTAL PETE CORP | 26.2% | 30 | 143 | 113 |
| 8 | CITOH 5Y | LE SPORTSAC INC | 25.6% | 5 | 25 | 20 |
| 9 | LW 5Y | LAMB WESTON | 23.7% | 26 | 135 | 109 |
| 10 | AR 5Y | ANTERO RESOURCES CORP | 23.7% | 45 | 237 | 191 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 2/1/23 – 2/28/23
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 1/31/23 vs. the month ending 2/28/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 153 | 159 | 6 | Wider | 255 |
| U.S. | 138 | 150 | 12 | Wider | 141 |
| Japan | 181 | 196 | 15 | Wider | 4 |
| U.K. | 108 | 111 | 2 | Wider | 17 |
| APAC | 110 | 113 | 3 | Wider | 5 |
| Latin America | 273 | 270 | -3 | Tighter | 8 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 2/1/23 – 2/28/23
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 1/31/23 vs. the month ending 2/28/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 153 | 159 | 6 | Wider | 255.00 |
| Capital Equipment | 376 | 355 | -22 | Tighter | 6.00 |
| Energy: Oil & Gas | 112 | 123 | 11 | Wider | 17.00 |
| Retail | 143 | 147 | 4 | Wider | 11.00 |
| Metals & Mining | 135 | 140 | 6 | Wider | 9.00 |
| Finance | 119 | 121 | 2 | Wider | 24.00 |
Stay up-to-date with monthly summaries.
