Credit Default Swaps

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High Yield CDS Market Summary:
July 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 7/1/24 – 7/31/24

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPRD SPRD-1 MONTH DEALERS
1 KBH 5Y KB HOME -17.8% -21 100 121 4
2 MBIA_AA 5Y MBIA INC -17.5% -22 104 126 3
3 IGT 5Y INTERNATIONAL GAME TECHNOLOGY -16.6% -23 115 137 3
4 IGTLN 5Y INTERNATIONAL GAMING TECHNOLOGY PLC -15.8% -22 116 138 3
5 NVFVES 5Y NOVAFIVES SAS -14.5% -24 144 168 3
6 TGNA 5Y TEGNA INC -14.0% -35 215 250 3
7 CCOH 5Y CCO HOLDINGS LLC -13.3% -36 233 269 3
8 BZH 5Y BEAZER HOMES USA INC -13.0% -30 198 228 3
9 RAYAC 5Y REXEL -11.5% -13 100 113 4
10 TITIM 5Y TELECOM ITALIA SPA -10.9% -24 196 220 4

Top 10 Underperformers

Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 7/1/24 – 7/31/24

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPREAD SPREAD-1 MONTH DEALERS
1 RRD 5Y DONNELLEY R R & SONS CO 84.8% 218 475 257 3
2 LW 5Y LAMB WESTON 53.4% 46 133 86 3
3 NIDHEA 5Y STADA ARZNEIMITTEL AG 35.5% 79 303 223 3
4 GFKLDE 5Y LOWELL HOLDINGS GMBH 34.0% 35 137 102 2
5 XRX 5Y XEROX BUSINESS SERVICES LLC 20.7% 81 473 392 4
6 OLN 5Y OLIN CORP 18.2% 20 132 111 4
7 TKAGR 5Y VERTICAL MIDCO GMBH 15.3% 26 196 170 4
8 CHRYSLER 5Y FIAT CHRYSLER AUTOMOBILES NV 14.9% 15 117 102 6
9 AVNT 5Y AVIENT CORP 14.3% 13 101 88 3
10 TUIGR 5Y CP SHIPS LTD 10.6% 33 339 307 4

Normalized HY Spread by Region

Displays the HY CDS spread by region between 7/1/24 – 7/31/24

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 6/30/24 vs. the month ending 7/31/24

REGION PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
Global 138 137 -2 Tighter 180
U.S. 134 131 -3 Tighter 97
Japan 62 58 -4 Tighter 5
U.K. 100 95 -5 Tighter 17
China 77 78 0 Wider 1
APAC 116 111 -5 Tighter 1

Normalized HY Spread by Industry

Displays the HY CDS spread by industry between 7/1/24 – 7/31/24

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 6/30/24 vs. the month ending 7/31/24

INDUSTRIES PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
All Industries 138 137 -2 Tighter 0
Construction & Building 187 199 12 Wider 0
Containers, Packaging, & Glass 94 92 -2 Tighter 0
Media: Broadcasting & Subscription 291 295 3 Wider 0
Transportation: Cargo 199 178 -21 Tighter 0
Services: Business 159 147 -12 Tighter 0

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