Credit Default Swaps
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High Yield CDS Market Summary:
November 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 11/1/22 – 11/30/22
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | CITOH 5Y | LE SPORTSAC INC | -40.4% | -16 | 24 | 40 | 3 |
| 2 | CETSA 5Y | CELLNEX TELECOM SA | -38.5% | -131 | 208 | 339 | 6 |
| 3 | AMKR 5Y | AMKOR TECHNOLOGY INC | -35.7% | -80 | 143 | 223 | 3 |
| 4 | ICBC 5Y | INDUSTRIAL & COML BK CHINA LTD | -33.4% | -50 | 100 | 150 | 2 |
| 5 | SDFGR 5Y | MORTON INTL INC IND | -32.9% | -140 | 285 | 425 | 3 |
| 6 | RICOH 5Y | RICOH USA, INC | -31.5% | -17 | 37 | 54 | 2 |
| 7 | STANLNBK 5Y | STANDARD CHARTERED BK | -30.9% | -27 | 60 | 87 | 3 |
| 8 | GASSM 5Y | GNFT | -29.8% | -38 | 89 | 127 | 2 |
| 9 | LLOYDS 5Y | BANK OF SCOTLAND PLC | -29.0% | -25 | 61 | 85 | 3 |
| 10 | GVCLN 5Y | GVC CORP | -27.8% | -123 | 321 | 445 | 3 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 11/1/22 – 11/30/22
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | OVV 5Y | OVINTIV | 18.3% | 23 | 148 | 125 | 4 |
| 2 | DAVITA 5Y | DAVITA HEALTHCARE PARTNERS INC | 15.3% | 52 | 394 | 341 | 3 |
| 3 | OXY 5Y | OCCIDENTAL PETE CORP | 15.2% | 18 | 140 | 121 | 4 |
| 4 | NRG 5Y | NRG ENERGY INC | 14.1% | 39 | 317 | 278 | 5 |
| 5 | APA 5Y | APACHE CORP | 11.6% | 19 | 184 | 165 | 4 |
| 6 | DOMINION 5Y | CONSOLIDATED NAT GAS CO | 9.1% | 6 | 70 | 64 | 6 |
| 7 | AVP 5Y | AVON PRODS INC | 8.3% | 30 | 390 | 360 | 4 |
| 8 | IHRT 5Y | IHEARTCOMMUNICATIONS INC | 5.4% | 29 | 560 | 531 | 2 |
| 9 | NSC 5Y | CONSOLIDATED RAIL CORP | 4.3% | 1 | 35 | 34 | 5 |
| 10 | TARGA 5Y | TARGA RES PARTNERS LP / TARGA | 3.6% | 5 | 136 | 131 | 4 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 11/1/22 – 11/30/22
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 11/1/22 vs. the month ending 11/30/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 206 | 171 | -35 | Tighter | 253 |
| U.S. | 182 | 165 | -17 | Tighter | 139 |
| Europe | 231 | 208 | -23 | Tighter | 53 |
| U.K. | 158 | 127 | -31 | Tighter | 16 |
| Canada | 111 | 112 | 1 | Wider | 6 |
| Latin America | 313 | 285 | -28 | Tighter | 8 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 11/1/22 – 11/30/22
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 11/1/22 vs. the month ending 11/30/22
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 206 | 171 | -35 | Tighter | 253.00 |
| Beverage, Food & Tobacco | 149 | 122 | -27 | Tighter | 9.00 |
| Consumer Goods: Durable | 166 | 138 | -29 | Tighter | 2.00 |
| Hotel, Gaming & Leisure | 444 | 321 | -123 | Tighter | 11.00 |
| Real Estate | 268 | 222 | -46 | Tighter | 6.00 |
| High Tech Industries | 152 | 114 | -38 | Tighter | 12.00 |
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