Credit Default Swaps
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High Yield CDS Market Summary:
March 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 3/1/23 – 3/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH |
| 1 | UPS 5Y | UNITED PARCEL SVC AMER INC | -17.6% | -7 | 33 | 41 |
| 2 | BSX 5Y | BOSTON SCIENTIFIC CORP | -17.3% | -7 | 36 | 43 |
| 3 | KR 5Y | CA FM LEASE TR | -16.9% | -12 | 61 | 73 |
| 4 | LEN 5Y | LENNAR CORP | -16.8% | -20 | 100 | 120 |
| 5 | OXY 5Y | OCCIDENTAL PETE CORP | -15.9% | -23 | 120 | 143 |
| 6 | KBH 5Y | KB HOME | -15.3% | -43 | 240 | 283 |
| 7 | MDC 5Y | M.D.C. HOLDINGS, INC | -15.2% | -29 | 161 | 190 |
| 8 | PHM 5Y | CENTEX CORP | -14.7% | -17 | 99 | 116 |
| 9 | LW 5Y | LAMB WESTON | -14.1% | -19 | 116 | 135 |
| 10 | LPX 5Y | LP PINEWOOD SPV LLC | -11.9% | -17 | 124 | 140 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 3/1/23 – 3/31/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH |
| 1 | MBIA_AA 5Y | MBIA INC | 58.6% | 140 | 378 | 238 |
| 2 | NDASS 5Y | NORDEA BANK AG MEDIUM TERM | 43.0% | 19 | 65 | 45 |
| 3 | AGFC 5Y | AGFC CAP TR I | 39.9% | 156 | 547 | 391 |
| 4 | AIG 5Y | AMERICAN INTERNATIONAL GROUP | 36.5% | 29 | 109 | 80 |
| 5 | DANBNK 5Y | DANSKE BK A/S MEDIUM TERM NTS | 35.0% | 19 | 72 | 54 |
| 6 | HAOHUA 5Y | CNAC CENTURY HK CO LTD | 33.7% | 50 | 198 | 148 |
| 7 | OI 5Y | OI EUROPEAN GROUP BV | 33.6% | 86 | 343 | 257 |
| 8 | SEB 5Y | SKANDINAVISKA ENSKILDA BANKEN | 32.9% | 17 | 70 | 52 |
| 9 | URI 5Y | UR FING ESCROW CORP | 30.2% | 42 | 180 | 138 |
| 10 | RAYAC 5Y | REXEL | 28.2% | 48 | 218 | 170 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 3/1/23 – 3/31/23
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 2/28/23 vs. the month ending 3/31/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 159 | 176 | 17 | Wider | 249 |
| U.S. | 150 | 164 | 14 | Wider | 135 |
| Japan | 196 | 221 | 25 | Wider | 4 |
| U.K. | 111 | 109 | -2 | Tighter | 16 |
| Canada | 115 | 168 | 53 | Wider | 5 |
| APAC | 113 | 133 | 20 | Wider | 5 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 3/1/23 – 3/31/23
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 2/28/23 vs. the month ending 3/31/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 159 | 176 | 17 | Wider | 249 |
| Aerospace & Defense | 194 | 262 | 67 | Wider | 3 |
| Healthcare & Pharmaceuticals | 119 | 136 | 17 | Wider | 8 |
| Hotel, Gaming & Leisure | 235 | 248 | 13 | Wider | 11 |
| Metals & Mining | 140 | 149 | 9 | Wider | 9 |
| Finance | 121 | 153 | 31 | Wider | 24 |
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