Credit Default Swaps
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High Yield CDS Market Summary:
March 2022
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 2/28/22 – 3/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | CLF 5Y | CLIFFS NAT RES INC | -26.2% | -73 | 205 | 277 |
| 2 | SDFGR 5Y | MORTON INTL INC IND | -24.6% | -73 | 222 | 295 |
| 3 | OXY 5Y | OCCIDENTAL PETE CORP | -22.1% | -36 | 128 | 164 |
| 4 | SVU 5Y | SUPERVALU INC | -21.8% | -48 | 171 | 218 |
| 5 | CSAL 5Y | COMMUNICATIONS SALES & LEASING INC | -21.8% | -90 | 324 | 414 |
| 6 | APA 5Y | APACHE CORP | -20.2% | -34 | 136 | 170 |
| 7 | OVV 5Y | OVINTIV | -16.7% | -24 | 118 | 142 |
| 8 | CAR 5Y | AVIS BUDGET CAR RENTAL LLC | -15.9% | -53 | 280 | 333 |
| 9 | JWN 5Y | NORDSTROM INC | -14.3% | -61 | 368 | 430 |
| 10 | FCX 5Y | FREEPORT-MCMORAN COPPER & GOLD | -12.9% | -15 | 102 | 117 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 2/28/22 – 3/31/22
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | TOSH 5Y | TOSHIBA CORP | 36.5% | 36 | 133 | 98 |
| 2 | TATAMTR 5Y | JAGUAR LD ROVER PLC | 33.9% | 145 | 572 | 427 |
| 3 | WNDTR 5Y | WIND TRE SPA | 33.1% | 20 | 81 | 61 |
| 4 | LW 5Y | LAMB WESTON | 32.0% | 51 | 208 | 158 |
| 5 | FD 5Y | FEDERATED DEPT STORES INC | 26.6% | 74 | 351 | 277 |
| 6 | SWY 5Y | SAFEWAY INC | 25.5% | 51 | 251 | 200 |
| 7 | LINTA 5Y | LIBERTY MEDIA CORP | 24.7% | 152 | 769 | 616 |
| 8 | LB 5Y | LIMITED BRANDS | 23.8% | 56 | 291 | 235 |
| 9 | TITIM 5Y | TELECOM ITALIA SPA | 23.7% | 70 | 367 | 297 |
| 10 | AFKLM 5Y | AIR FRANCE-KLM | 21.8% | 99 | 551 | 453 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 2/28/22 – 3/31/22
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 2/28/22 vs. the month ending 3/31/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 173 | 168 | -4 | Tighter | 294 |
| U.S. | 158 | 170 | 13 | Wider | 164 |
| Japan | 88 | 101 | 13 | Wider | 4 |
| Europe | 195 | 169 | -26 | Tighter | 71 |
| U.K. | 184 | 139 | -45 | Tighter | 20 |
| Canada | 120 | 110 | -10 | Tighter | 7 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 2/28/22 – 3/31/22
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 2/28/22 vs. the month ending 3/31/22
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 173 | 168 | -4 | Tighter | 294 |
| Construction & Building | 119 | 129 | 10 | Wider | 6 |
| Aerospace & Defense | 324 | 329 | 5 | Wider | 4 |
| Services: Consumer | 340 | 312 | -27 | Tighter | 6 |
| Sovereign & Public Finance | 222 | 196 | -26 | Tighter | 22 |
| Retail | 256 | 291 | 35 | Wider | 17 |
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