Credit Default Swaps
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High Yield CDS Market Summary:
March 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 3/1/24 – 3/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | DAVITA 5Y | DAVITA HEALTHCARE PARTNERS INC | -21.3% | -36 | 132 | 168 | 4 |
| 2 | SAIBV 5Y | SAIPEM FINANCE INTERNATIONAL BV | -19.0% | -40 | 171 | 211 | 4 |
| 3 | NRG 5Y | NRG ENERGY INC | -17.9% | -29 | 134 | 163 | 3 |
| 4 | AGFC 5Y | AGFC CAP TR I | -17.6% | -42 | 197 | 240 | 3 |
| 5 | FRFP 5Y | VALEO SA | -17.1% | -37 | 177 | 213 | 7 |
| 6 | BAB 5Y | BRITISH AIRWAYS | -15.2% | -26 | 145 | 171 | 3 |
| 7 | TKAGR 5Y | VERTICAL MIDCO GMBH | -14.9% | -24 | 135 | 159 | 4 |
| 8 | VISTRAENE 5Y | VISTRA ENERGY CORP | -14.4% | -21 | 126 | 147 | 3 |
| 9 | RCL 5Y | ROYAL CARIBBEAN CRUISES LTD | -13.8% | -23 | 142 | 165 | 4 |
| 10 | THC 5Y | TENET HEALTHCARE CORP | -10.2% | -17 | 146 | 162 | 5 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 3/1/24 – 3/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | RAKUTN 5Y | RAKUTEN INC | 40.9% | 121 | 415 | 295 | 5 |
| 2 | VMED 5Y | NTL CABLE PLC | 37.3% | 105 | 386 | 281 | 4 |
| 3 | UPC 5Y | UPC HOLDING BV | 27.1% | 45 | 210 | 165 | 3 |
| 4 | ZIGGO 5Y | ZIGGO HOLDING BV | 22.0% | 66 | 364 | 299 | 3 |
| 5 | CMACG 5Y | CMA CGM S A | 20.8% | 40 | 235 | 194 | 3 |
| 6 | HPLGR 5Y | HAPAG-LLOYD A G | 19.9% | 44 | 265 | 221 | 3 |
| 7 | TITIM 5Y | TELECOM ITALIA SPA | 18.5% | 34 | 216 | 183 | 5 |
| 8 | X 5Y | TRANSTAR HLDGS INC | 17.7% | 21 | 142 | 120 | 4 |
| 9 | CECGR 5Y | CECONOMY AG | 13.3% | 40 | 338 | 298 | 3 |
| 10 | NIDHEA 5Y | STADA ARZNEIMITTEL AG | 12.0% | 14 | 131 | 117 | 2 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 3/1/24 – 3/31/24
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 2/29/24 vs. the month ending 3/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 155 | 142 | -13 | Tighter | 180 |
| U.S. | 151 | 141 | -10 | Tighter | 94 |
| Japan | 167 | 83 | -84 | Tighter | 5 |
| U.K. | 105 | 105 | 0 | Unchanged | 17 |
| China | 80 | 82 | 2 | Wider | 1 |
| APAC | 121 | 123 | 2 | Wider | 1 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 3/1/24 – 3/31/24
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 2/29/24 vs. the month ending 3/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 155 | 142 | -13 | Tighter | 180.00 |
| Retail | 149 | 152 | 3 | Wider | 14.00 |
| Energy: Electricity | 163 | 134 | -29 | Tighter | 1.00 |
| Real Estate | 135 | 130 | -5 | Tighter | 5.00 |
| Construction & Building | 207 | 185 | -22 | Tighter | 5.00 |
| Media: Advertising, Printing & Publishing | 293 | 279 | -14 | Tighter | 1.00 |
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