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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