Credit Default Swaps
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High Yield CDS Market Summary:
June 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 6/1/24 – 6/30/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | MBIA_AA 5Y | MBIA INC | -19.3% | -30 | 124 | 154 | 3 |
| 2 | CCLLN 5Y | CARNIVAL PLC | -19.2% | -50 | 210 | 259 | 4 |
| 3 | NCX 5Y | NOVA CHEMS LTD | -16.1% | -36 | 188 | 224 | 3 |
| 4 | MGM 5Y | MGM RESORTS INTERNATIONAL | -15.9% | -28 | 150 | 179 | 3 |
| 5 | RCL 5Y | ROYAL CARIBBEAN CRUISES LTD | -15.3% | -19 | 106 | 126 | 4 |
| 6 | RMK 5Y | ARAMARK CORP | -9.3% | -11 | 105 | 116 | 3 |
| 7 | CZR 5Y | CAESARS ENTERTAINMENT OP | -8.9% | -17 | 169 | 186 | 3 |
| 8 | ADT 5Y | PROTECTION ONE INC | -6.3% | -7 | 110 | 117 | 3 |
| 9 | SIRI 5Y | SCS HOLDINGS INC | -5.8% | -13 | 212 | 225 | 3 |
| 10 | GFKLDE 5Y | LOWELL HOLDINGS GMBH | -3.5% | -4 | 108 | 112 | 2 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 6/1/24 – 6/30/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | RAYAC 5Y | REXEL | 31.9% | 30 | 126 | 96 | 4 |
| 2 | CSTM 5Y | CONSTELLIUM NV | 29.6% | 51 | 222 | 171 | 3 |
| 3 | BBWI 5Y | BATH & BODY WORKS | 27.0% | 38 | 180 | 142 | 3 |
| 4 | AES 5Y | AES TRUST I | 25.4% | 23 | 111 | 89 | 4 |
| 5 | CNH 5Y | CASE CORP | 24.1% | 20 | 100 | 81 | 3 |
| 6 | LB 5Y | LIMITED BRANDS | 23.4% | 34 | 179 | 145 | 2 |
| 7 | VOVCAB 5Y | VOLVO | 22.5% | 34 | 187 | 153 | 3 |
| 8 | AFKLM 5Y | AIR FRANCE-KLM | 22.3% | 44 | 241 | 197 | 5 |
| 9 | TKAGR 5Y | VERTICAL MIDCO GMBH | 20.9% | 31 | 179 | 148 | 3 |
| 10 | CCK 5Y | CROWN AMERICAS LLC | 20.3% | 23 | 139 | 115 | 2 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 6/1/24 – 6/30/24
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 5/31/24 vs. the month ending 6/30/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 137 | 147 | 11 | Wider | 228 |
| U.S. | 134 | 139 | 4 | Wider | 127 |
| Canada | 75 | 75 | 0 | Tighter | 3 |
| China | 77 | 77 | 0 | Wider | 1 |
| APAC | 113 | 116 | 3 | Wider | 1 |
| Latin America | 170 | 175 | 5 | Wider | 6 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 6/1/24 – 6/30/24
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 5/31/24 vs. the month ending 6/30/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 137 | 147 | 11 | Wider | 228.00 |
| Aerospace & Defense | 82 | 92 | 10 | Wider | 1.00 |
| Chemicals, Plastics & Rubber | 101 | 93 | -8 | Tighter | 10.00 |
| Telecommunications | 183 | 195 | 12 | Wider | 12.00 |
| Media: Broadcasting & Subscription | 306 | 294 | -12 | Tighter | 7.00 |
| Energy: Electricity | 125 | 132 | 6 | Wider | 1.00 |
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