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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