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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