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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