Credit Default Swaps
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High Yield CDS Market Summary:
January 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 1/1/24 – 1/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | HPLGR 5Y | HAPAG-LLOYD A G | -23.4% | -64 | 212 | 276 | 3 |
| 2 | CHK 5Y | CHESAPEAKE ENERGY CORP | -21.9% | -31 | 112 | 143 | 3 |
| 3 | ZFFNGR 5Y | ZF NA CAPITAL | -19.4% | -52 | 218 | 270 | 2 |
| 4 | MTG 5Y | MGIC INVT CORP | -17.9% | -22 | 102 | 124 | 4 |
| 5 | DUFNSW 5Y | DUFRY AG | -16.3% | -33 | 168 | 201 | 3 |
| 6 | CSTM 5Y | CONSTELLIUM NV | -15.4% | -34 | 190 | 224 | 3 |
| 7 | THC 5Y | TENET HEALTHCARE CORP | -14.5% | -36 | 213 | 249 | 4 |
| 8 | MBIA_AA 5Y | MBIA INC | -12.0% | -33 | 245 | 278 | 2 |
| 9 | LHAGR 5Y | DEUTSCHE LUFTHANSA AG | -12.0% | -19 | 141 | 161 | 5 |
| 10 | CZR 5Y | CAESARS ENTERTAINMENT OP | -10.6% | -24 | 205 | 229 | 3 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 1/1/24 – 1/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | GRFSM 5Y | GRIFOLS WORLDWIDE OPERATIONS USA INC | 54.7% | 180 | 509 | 329 | 3 |
| 2 | SCFER 5Y | SCHAEFFLER FINANCE BV | 35.3% | 45 | 172 | 127 | 3 |
| 3 | OI 5Y | OI EUROPEAN GROUP BV | 33.9% | 65 | 257 | 192 | 3 |
| 4 | CLAR 5Y | CLARIANT AG | 23.5% | 26 | 135 | 109 | 5 |
| 5 | RAKUTN 5Y | RAKUTEN INC | 21.4% | 85 | 479 | 394 | 4 |
| 6 | VOVCAB 5Y | VOLVO | 12.3% | 26 | 237 | 211 | 5 |
| 7 | X 5Y | TRANSTAR HLDGS INC | 11.6% | 10 | 100 | 89 | 6 |
| 8 | MARSPE 5Y | MARKS & SPENCER PLC | 11.6% | 11 | 110 | 98 | 5 |
| 9 | AFKLM 5Y | AIR FRANCE-KLM | 11.5% | 24 | 228 | 205 | 6 |
| 10 | AES 5Y | AES TRUST I | 9.3% | 11 | 128 | 118 | 5 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 1/1/24 – 1/31/24
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 12/31/23 vs. the month ending 1/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 156 | 173 | 17 | Wider | 186 |
| U.S. | 154 | 166 | 12 | Wider | 91 |
| Japan | 191 | 177 | -14 | Tighter | 5 |
| U.K. | 125 | 110 | -15 | Tighter | 16 |
| China | 85 | 90 | 5 | Wider | 1 |
| APAC | 120 | 125 | 5 | Wider | 1 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 1/1/24 – 1/31/24
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 12/31/23 vs. the month ending 1/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 156 | 173 | 17 | Wider | 0 |
| Capital Equipment | 243 | 232 | -11 | Tighter | 0 |
| Beverage, Food & Tobacco | 158 | 178 | 19 | Wider | 0 |
| Energy: Oil & Gas | 124 | 125 | 1 | Wider | 0 |
| Real Estate | 161 | 153 | -9 | Tighter | 0 |
| Transportation: Consumer | 205 | 219 | 14 | Wider | 0 |
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