Credit Default Swaps
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High Yield CDS Market Summary:
January 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 12/31/21 – 1/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | STGATE 5Y | STONEGATE PUB CO FINANCING PLC | -21.4% | -116 | 426 | 542 |
| 2 | AR 5Y | ANTERO RESOURCES CORP | -16.5% | -54 | 273 | 326 |
| 3 | AFKLM 5Y | AIR FRANCE-KLM | -10.0% | -47 | 425 | 472 |
| 4 | LABFP 5Y | EPHIOS BONDCO | -9.4% | -6 | 58 | 64 |
| 5 | OVV 5Y | OVINTIV | -7.7% | -12 | 139 | 150 |
| 6 | OSBCN 5Y | NORBORD INC | -5.7% | -3 | 53 | 56 |
| 7 | INTRUM 5Y | INTRUM JUSTITIA AB | -4.1% | -15 | 345 | 360 |
| 8 | ECACN 5Y | ALBERTA ENERGY CO LTD MEDIUM | -3.5% | -5 | 132 | 137 |
| 9 | DDS 5Y | DILLARD DEPT STORES INC | -3.2% | -3 | 96 | 99 |
| 10 | BANSAB 5Y | TRANSATLANTIC BK MIAMI FLA | -1.8% | -1 | 80 | 82 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 12/31/21 – 1/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | GVCLN 5Y | GVC CORP | 43.2% | 73 | 243 | 170 |
| 2 | LEN 5Y | LENNAR CORP | 37.6% | 30 | 108 | 79 |
| 3 | CLF 5Y | CLIFFS NAT RES INC | 33.5% | 74 | 295 | 221 |
| 4 | GT 5Y | GOODYEAR TIRE & RUBBER CO | 31.9% | 60 | 249 | 189 |
| 5 | NAVI 5Y | SLM CORP MEDIUM TERM NTS BOOK | 31.3% | 97 | 405 | 308 |
| 6 | BZH 5Y | BEAZER HOMES USA INC | 29.5% | 79 | 348 | 268 |
| 7 | OLN 5Y | OLIN CORP | 29.3% | 41 | 182 | 140 |
| 8 | ARM 5Y | ARVIN CAP I | 29.2% | 63 | 279 | 216 |
| 9 | GM 5Y | GENERAL MOTORS CO | 28.7% | 27 | 120 | 93 |
| 10 | AMKR 5Y | AMKOR TECHNOLOGY INC | 28.0% | 41 | 187 | 146 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 12/31/21 – 1/31/22
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 12/31/21 vs. the month ending 1/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 141 | 160 | 19 | Wider | 327 |
| U.S. | 140 | 149 | 9 | Wider | 172 |
| Japan | 79 | 82 | 3 | Wider | 4 |
| Europe | 150 | 160 | 11 | Wider | 81 |
| U.K. | 115 | 125 | 10 | Wider | 21 |
| MENA | 390 | 405 | 15 | Wider | 21 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 12/31/21 – 1/31/22
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 12/31/21 vs. the month ending 1/31/22
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 141 | 160 | 19 | Wider | 327 |
| Chemicals, Plastics & Rubber | 133 | 181 | 48 | Wider | 11 |
| Construction & Building | 79 | 100 | 21 | Wider | 6 |
| Healthcare & Pharmaceuticals | 109 | 136 | 27 | Wider | 11 |
| Real Estate | 268 | 335 | 67 | Wider | 11 |
| Transportation: Cargo | 67 | 70 | 3 | Wider | 7 |
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