Credit Default Swaps

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High Yield CDS Market Summary:
July 2022

Our newsletter presents key trends derived from observable Credit Default Swaps pricing data over a monthly period.

Top 20 Underperformers

Showcases the top 20 HY CDS “underperformers” based on the largest mid spread increases between 7/1/22 -7/31/22

RANK BOND NAME ISSUER % CHG BPS CHG SPRD SPRD-1 MNTH
1 ALTRIA 5Y ALTRIA GROUP INC 77.9% 60 136 76
2 TOKELP 5Y TOKYO ELECTRIC POWER CO HOLDINGS INC 77.8% 54 124 70
3 SVU 5Y SUPERVALU INC 72.5% 135 321 186
4 OXY 5Y OCCIDENTAL PETE CORP 70.2% 92 222 131
5 CWCLN 5Y CABLE & WIRELESS LTD 65.1% 67 170 103
6 CWLN 5Y CWABS ASSET-BACKED CTFS TR SER 60.3% 63 167 104
7 DAVITA 5Y DAVITA HEALTHCARE PARTNERS INC 59.2% 196 527 331
8 TOL 5Y TOLL BROS INC 58.5% 122 330 208
9 CITOH 5Y LE SPORTSAC INC 58.2% 16 44 28
10 NGGLN 5Y BOSTON GAS CO 57.0% 33 91 58
11 HCA 5Y HCA INC 56.4% 87 242 155
12 TOSH 5Y TOSHIBA CORP 53.0% 122 351 230
13 DAL 5Y DELTA AIR LINES INC 52.9% 198 572 374
14 UNILAB 5Y UNILABS HOLDINGS SA 52.9% 52 151 99
15 RAYAC 5Y REXEL 52.6% 134 387 254
16 MTNA 5Y ARCELORMITTAL SA LUXEMBOURG 52.5% 107 310 203
17 MDC 5Y M.D.C. HOLDINGS, INC 51.3% 107 314 208
18 HPLGR 5Y HAPAG-LLOYD A G 51.2% 155 457 302
19 ELTLX 5Y ELECTROLUX AB 49.8% 30 90 60
20 KBH 5Y KB HOME 49.7% 152 459 306

Normalized HY Spread by Region

Displays the HY CDS spread by region between 7/1/22 -7/31/22

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 6/31/22 vs. the month ending 7/31/22

REGION PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
Global 201 263 62 Wider 271
U.S. 204 254 50 Wider 136
Europe 233 284 51 Wider 64
Canada 124 139 15 Wider 6
APAC 120 168 48 Wider 7
Latin America 250 268 18 Wider 8

Normalized HY Spread by Industry

Displays the HY CDS spread by industry between 7/1/22 -7/31/22

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 6/31/22 vs. the month ending 7/31/22

INDUSTRY PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
All Industries 201 263 62 Wider 271.00
Aerospace & Defense 253 319 66 Wider 2.00
Automotive 241 279 37 Wider 7.00
Hotel, Gaming & Leisure 349 492 143 Wider 11.00
Retail 339 418 79 Wider 12.00
Media: Advertising, Printing & Publishing 201 238 36 Wider 2.00

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