Credit Default Swaps

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High Yield CDS Market Summary:
February 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 2/1/24 – 2/29/24

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPRD SPRD-1 MONTH DEALERS
1 UPC 5Y UPC HOLDING BV -39.4% -107 165 272 4
2 VOVCAB 5Y VOLVO -30.4% -72 165 237 4
3 THC 5Y TENET HEALTHCARE CORP -23.8% -51 162 213 3
4 BAB 5Y BRITISH AIRWAYS -22.0% -48 171 219 3
5 CLAR 5Y CLARIANT AG -21.9% -30 105 135 5
6 IGT 5Y INTERNATIONAL GAME TECHNOLOGY -21.6% -31 114 145 2
7 OI 5Y OI EUROPEAN GROUP BV -21.1% -54 203 257 3
8 CHRYSLER 5Y FIAT CHRYSLER AUTOMOBILES NV -20.4% -25 96 121 6
9 AR 5Y ANTERO RESOURCES CORP -20.0% -29 116 145 3
10 MBIA_AA 5Y MBIA INC -19.9% -49 196 245 2

Top 10 Underperformers

Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 2/1/24 – 2/29/24

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPREAD SPREAD-1 MONTH DEALERS
1 CECGR 5Y CECONOMY AG 235.3% 209 298 89 4
2 CCOH 5Y CCO HOLDINGS LLC 21.3% 51 292 241 5
3 X 5Y TRANSTAR HLDGS INC 20.7% 21 120 100 4
4 CCK 5Y CROWN AMERICAS LLC 15.1% 17 131 114 3
5 CAR 5Y AVIS BUDGET CAR RENTAL LLC 14.7% 51 395 344 3
6 AMKR 5Y AMKOR TECHNOLOGY INC 13.3% 12 103 91 5
7 HOV 5Y HOVNANIAN K ENTERPRISES INC 12.8% 45 394 350 2
8 TGNA 5Y TEGNA INC 9.3% 21 247 226 4
9 CMACG 5Y CMA CGM S A 6.4% 12 194 183 4
10 NCX 5Y NOVA CHEMS LTD 5.4% 19 363 344 3

Normalized HY Spread by Region

Displays the HY CDS spread by region between 2/1/24 – 2/29/24

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 1/31/24 vs. the month ending 2/29/24

REGION PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
Global 173 155 -18 Tighter 183
U.S. 166 151 -15 Tighter 94
Japan 177 167 -10 Tighter 5
Europe 173 155 -18 Tighter 50
U.K. 110 105 -5 Tighter 17
MENA 376 241 -136 Tighter 7

Normalized HY Spread by Industry

Displays the HY CDS spread by industry between 2/1/24 – 2/29/24

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 1/31/24 vs. the month ending 2/29/24

INDUSTRIES PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
All Industries 173 155 -18 Tighter 183.00
Beverage, Food & Tobacco 178 165 -12 Tighter 5.00
Consumer Goods: Durable 397 387 -10 Tighter 1.00
Consumer Goods: Non-Durable 116 108 -8 Tighter 6.00
Utilities: Electric 135 137 1 Wider 6.00
Services: Business 273 231 -42 Tighter 2.00

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