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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