Credit Default Swaps
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High Yield CDS Market Summary:
October 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 10/1/24 – 10/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | NWL 5Y | NEWELL RUBBERMAID INC MEDIUM | -26.2% | -88 | 248 | 336 | 4 |
| 2 | CHK 5Y | CHESAPEAKE ENERGY CORP | -23.3% | -23 | 77 | 100 | 3 |
| 3 | LW 5Y | LAMB WESTON | -21.8% | -28 | 101 | 129 | 4 |
| 4 | IPGIM 5Y | SALINI IMPREGILO | -20.5% | -56 | 215 | 271 | 3 |
| 5 | ELISS 5Y | ELIS SA | -18.6% | -22 | 96 | 117 | 3 |
| 6 | UAL 5Y | UNITED CONTINENTAL HOLDINGS INC | -17.3% | -49 | 234 | 284 | 6 |
| 7 | CMACG 5Y | CMA CGM S A | -14.5% | -39 | 233 | 272 | 3 |
| 8 | RCL 5Y | ROYAL CARIBBEAN CRUISES LTD | -13.0% | -14 | 95 | 109 | 4 |
| 9 | HPLGR 5Y | HAPAG-LLOYD A G | -12.9% | -23 | 157 | 180 | 3 |
| 10 | EQM 5Y | EQT MIDSTREAM PARTNERS L P | -12.8% | -13 | 92 | 105 | 3 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 10/1/24 – 10/31/24
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | CSTM 5Y | CONSTELLIUM NV | 29.2% | 68 | 300 | 232 | 3 |
| 2 | BOPRLN 5Y | BOPARAN FINANCE PLC | 28.3% | 115 | 521 | 406 | 3 |
| 3 | AVNT 5Y | AVIENT CORP | 23.6% | 23 | 119 | 96 | 4 |
| 4 | OLN 5Y | OLIN CORP | 22.9% | 28 | 149 | 121 | 3 |
| 5 | OI 5Y | OI EUROPEAN GROUP BV | 21.2% | 53 | 305 | 252 | 3 |
| 6 | MBIA_AA 5Y | MBIA INC | 15.0% | 45 | 343 | 298 | 2 |
| 7 | GRFSM 5Y | GRIFOLS WORLDWIDE OPERATIONS USA INC | 14.7% | 57 | 443 | 386 | 3 |
| 8 | NMAC 5Y | NISSAN MTR ACCEP CORP | 14.2% | 18 | 146 | 128 | 4 |
| 9 | THC 5Y | TENET HEALTHCARE CORP | 14.2% | 14 | 109 | 95 | 5 |
| 10 | BZH 5Y | BEAZER HOMES USA INC | 13.3% | 31 | 261 | 231 | 4 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 10/1/24 – 10/31/24
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 9/30/24 vs. the month ending 10/31/24
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 145 | 146 | 1 | Wider | 179 |
| U.S. | 142 | 146 | 4 | Wider | 93 |
| U.K. | 90 | 85 | -4 | Tighter | 17 |
| Canada | 132 | 136 | 4 | Wider | 2 |
| China | 80 | 80 | 0 | Wider | 1 |
| APAC | 98 | 99 | 1 | Wider | 1 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 10/1/24 – 10/31/24
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 9/30/24 vs. the month ending 10/31/24
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 145 | 146 | 1 | Wider | 179 |
| Aerospace & Defense | 72 | 67 | -5 | Tighter | 1 |
| Capital Equipment | 193 | 198 | 5 | Wider | 5 |
| Services: Business | 132 | 133 | 1 | Wider | 2 |
| Healthcare & Pharmaceuticals | 95 | 109 | 14 | Wider | 7 |
| Telecommunications | 194 | 192 | -2 | Tighter | 10 |
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