Credit Default Swaps
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High Yield CDS Market Summary:
June 2023
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 6/1/23 – 6/30/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | AVP 5Y | AVON PRODS INC | -26.2% | -73 | 205 | 278 | 3 |
| 2 | CAR 5Y | AVIS BUDGET CAR RENTAL LLC | -25.8% | -107 | 309 | 417 | 4 |
| 3 | DAL 5Y | DELTA AIR LINES INC | -24.3% | -55 | 173 | 229 | 6 |
| 4 | GVCLN 5Y | GVC CORP | -22.5% | -51 | 177 | 228 | 4 |
| 5 | SDFGR 5Y | MORTON INTL INC IND | -21.9% | -60 | 213 | 272 | 3 |
| 6 | RCL 5Y | ROYAL CARIBBEAN CRUISES LTD | -21.7% | -90 | 326 | 416 | 4 |
| 7 | DUFNSW 5Y | DUFRY AG | -21.6% | -71 | 257 | 328 | 3 |
| 8 | IGTLN 5Y | INTERNATIONAL GAMING TECHNOLOGY PLC | -21.1% | -47 | 175 | 222 | 2 |
| 9 | RDN 5Y | RADIAN GROUP INC | -20.2% | -39 | 153 | 192 | 4 |
| 10 | IGT 5Y | INTERNATIONAL GAME TECHNOLOGY | -20.0% | -45 | 180 | 225 | 2 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 6/1/23 – 6/30/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | OLN 5Y | OLIN CORP | 28.4% | 48 | 215 | 167 | 5 |
| 2 | SEE 5Y | SEALED AIR CORP NEW | 21.5% | 36 | 202 | 166 | 5 |
| 3 | NGGLN 5Y | BOSTON GAS CO | 20.5% | 13 | 79 | 65 | 6 |
| 4 | HPLGR 5Y | HAPAG-LLOYD A G | 13.6% | 38 | 315 | 277 | 6 |
| 5 | LLOYDS 5Y | BANK OF SCOTLAND PLC | 13.1% | 8 | 67 | 59 | 5 |
| 6 | SKGID 5Y | MDP ACQUISITIONS PLC | 12.2% | 12 | 108 | 96 | 5 |
| 7 | RBS 5Y | RBS CAP TR I | 9.9% | 8 | 92 | 84 | 4 |
| 8 | GT 5Y | GOODYEAR TIRE & RUBBER CO | 8.9% | 29 | 354 | 325 | 5 |
| 9 | UPC 5Y | UPC HOLDING BV | 8.8% | 36 | 450 | 414 | 4 |
| 10 | MBIA_AA 5Y | MBIA INC | 7.6% | 30 | 429 | 399 | 3 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 6/1/23 – 6/30/23
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 5/31/23 vs. the month ending 6/30/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 160 | 146 | -13 | Tighter | 250 |
| U.S. | 155 | 135 | -20 | Tighter | 140 |
| U.K. | 93 | 95 | 2 | Wider | 15 |
| Canada | 105 | 107 | 2 | Wider | 6 |
| China | 139 | 123 | -16 | Tighter | 3 |
| APAC | 118 | 113 | -5 | Tighter | 5 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 6/1/23 – 6/30/23
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 5/31/23 vs. the month ending 6/30/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 160 | 146 | -13 | Tighter | 250.00 |
| Capital Equipment | 359 | 332 | -27 | Tighter | 7.00 |
| Finance | 143 | 136 | -7 | Tighter | 24.00 |
| Insurance | 90 | 84 | -6 | Tighter | 7.00 |
| Real Estate | 184 | 167 | -17 | Tighter | 6.00 |
| Media: Advertising, Printing & Publishing | 194 | 193 | -1 | Tighter | 2.00 |
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