Credit Default Swaps

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High Yield CDS Market Summary:
may 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 5/1/24 – 5/31/24

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPRD SPRD-1 MONTH DEALERS
1 SEE 5Y SEALED AIR CORP NEW -33.5% -54 107 160 4
2 NVFVES 5Y NOVAFIVES SAS -32.2% -74 156 231 3
3 NCX 5Y NOVA CHEMS LTD -28.5% -90 224 314 3
4 ADRBID 5Y UNITED GROUP BV -27.7% -96 250 345 5
5 BOMB 5Y BOMBARDIER CAP TR -22.6% -52 177 229 3
6 FTI 5Y TECHNIPFMC PLC -22.0% -52 184 236 3
7 ZFFNGR 5Y ZF NA CAPITAL -21.7% -49 179 228 2
8 INEGRP 5Y INEOS FIN PLC -19.7% -33 135 168 3
9 SAIBV 5Y SAIPEM FINANCE INTERNATIONAL BV -19.0% -33 141 174 4
10 GPS 5Y GAP INC -18.3% -39 174 213 5

Top 10 Underperformers

Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 5/1/24 – 5/31/24

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPREAD SPREAD-1 MONTH DEALERS
1 SCFER 5Y SCHAEFFLER FINANCE BV 15.1% 19 148 129 2
2 NIDHEA 5Y STADA ARZNEIMITTEL AG 12.2% 21 196 175 3
3 OI 5Y OI EUROPEAN GROUP BV 9.7% 22 245 223 4
4 SIRI 5Y SCS HOLDINGS INC 8.1% 17 225 208 3
5 X 5Y TRANSTAR HLDGS INC 7.3% 9 138 129 5
6 NMAC 5Y NISSAN MTR ACCEP CORP 6.2% 6 104 98 3
7 CCLLN 5Y CARNIVAL PLC 5.9% 14 259 245 4
8 RMK 5Y ARAMARK CORP 5.2% 6 116 111 4
9 NWL 5Y NEWELL RUBBERMAID INC MEDIUM 4.3% 15 360 345 4
10 CLF 5Y CLIFFS NAT RES INC 3.3% 6 179 174 4

Normalized HY Spread by Region

Displays the HY CDS spread by region between 5/1/24 – 5/31/24

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 4/30/24 vs. the month ending 5/31/24

REGION PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
Global 147 137 -10 Tighter 183
U.S. 141 134 -6 Tighter 96
Europe 155 145 -10 Tighter 50
China 83 77 -6 Tighter 1
APAC 118 113 -5 Tighter 1
Latin America 179 170 -8 Tighter 4

Normalized HY Spread by Industry

Displays the HY CDS spread by industry between 5/1/24 – 5/31/24

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 4/30/24 vs. the month ending 5/31/24

INDUSTRIES PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
All Industries 147 137 -10 Tighter 183
Beverage, Food & Tobacco 185 164 -21 Tighter 5
Transportation: Cargo 216 182 -34 Tighter 3
Consumer Goods: Durable 345 360 15 Wider 1
Services: Business 190 148 -42 Tighter 2
Media: Broadcasting & Subscription 325 306 -19 Tighter 5

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