Credit Default Swaps
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High Yield CDS Market Summary:
November 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 11/1/24 – 11/30/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | BBWI 5Y | BATH & BODY WORKS | -30.3% | -70 | 160 | 229 | 4 |
| 2 | UAL 5Y | UNITED CONTINENTAL HOLDINGS INC | -27.5% | -64 | 170 | 234 | 3 |
| 3 | GPS 5Y | GAP INC | -22.1% | -43 | 153 | 196 | 4 |
| 4 | AGFC 5Y | AGFC CAP TR I | -20.9% | -45 | 171 | 216 | 3 |
| 5 | NCX 5Y | NOVA CHEMS LTD | -20.8% | -41 | 156 | 197 | 3 |
| 6 | BZH 5Y | BEAZER HOMES USA INC | -19.1% | -50 | 211 | 261 | 3 |
| 7 | BYD 5Y | BOYD GAMING CORP | -19.0% | -28 | 118 | 145 | 2 |
| 8 | MUR 5Y | MURPHY OIL CORP | -18.9% | -32 | 137 | 169 | 4 |
| 9 | NRG 5Y | NRG ENERGY INC | -18.4% | -23 | 102 | 124 | 5 |
| 10 | CCOH 5Y | CCO HOLDINGS LLC | -18.2% | -41 | 183 | 224 | 4 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 11/1/24 – 11/30/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | NMAC 5Y | NISSAN MTR ACCEP CORP | 28.5% | 42 | 188 | 146 | 3 |
| 2 | GRFSM 5Y | GRIFOLS WORLDWIDE OPERATIONS USA INC | 17.9% | 79 | 522 | 443 | 3 |
| 3 | TATAMTR 5Y | JAGUAR LD ROVER PLC | 8.7% | 19 | 243 | 224 | 3 |
| 4 | ASSDLN 5Y | ASDA | 7.7% | 36 | 498 | 462 | 3 |
| 5 | THC 5Y | TENET HEALTHCARE CORP | 7.5% | 8 | 117 | 109 | 3 |
| 6 | BOMB 5Y | BOMBARDIER CAP TR | 5.5% | 9 | 182 | 173 | 3 |
| 7 | LW 5Y | LAMB WESTON | 3.7% | 4 | 105 | 101 | 4 |
| 8 | AES 5Y | AES TRUST I | 3.6% | 4 | 112 | 108 | 4 |
| 9 | SDFGR 5Y | MORTON INTL INC IND | 3.2% | 5 | 156 | 151 | 3 |
| 10 | ADRBID 5Y | UNITED GROUP BV | 2.3% | 8 | 345 | 337 | 3 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 11/1/24 – 11/30/24
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 10/31/24 vs. the month ending 11/30/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 147 | 138 | -9 | Tighter | 182 |
| U.S. | 146 | 126 | -20 | Tighter | 93 |
| Europe | 171 | 157 | -14 | Tighter | 50 |
| China | 80 | 87 | 7 | Wider | 1 |
| APAC | 99 | 103 | 4 | Wider | 1 |
| RoW | 98 | 98 | 0 | Unchanged | 1 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 11/1/24 – 11/30/24
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 10/31/24 vs. the month ending 11/30/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 147 | 138 | -9 | Tighter | 0 |
| Chemicals, Plastics & Rubber | 119 | 97 | -22 | Tighter | 0 |
| Automotive | 203 | 203 | 0 | Unchanged | 0 |
| Beverage, Food & Tobacco | 218 | 213 | -5 | Tighter | 0 |
| Media: Advertising, Printing & Publishing | 625 | 489 | -136 | Tighter | 0 |
| Retail | 171 | 145 | -25 | Tighter | 0 |
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