Credit Default Swaps
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High Yield CDS Market Summary:
september 2023
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 9/1/23 – 9/30/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | TKAGR 5Y | VERTICAL MIDCO GMBH | -31.4% | -66 | 144 | 210 | 6 |
| 2 | CMACG 5Y | CMA CGM S A | -10.3% | -23 | 201 | 225 | 5 |
| 3 | DELL 5Y | DELL COMPUTER CORP | -7.3% | -8 | 97 | 105 | 4 |
| 4 | GNW 5Y | AQGEN LIBERTY MGMT I INC | -5.0% | -10 | 187 | 197 | 3 |
| 5 | HAOHUA 5Y | CNAC CENTURY HK CO LTD | -4.4% | -8 | 174 | 181 | 3 |
| 6 | TENCNT 5Y | TENCENT HLDGS LTD | -3.7% | -5 | 123 | 128 | 3 |
| 7 | SINOPE 5Y | SONANGOL EP | -2.7% | -3 | 93 | 95 | 3 |
| 8 | LDOIM 5Y | LEONARDO SPA | -1.7% | -2 | 110 | 111 | 4 |
| 9 | NOKIA 5Y | NOKIA CORP | -0.8% | -1 | 141 | 142 | 3 |
| 10 | ICBC 5Y | INDUSTRIAL & COML BK CHINA LTD | -0.4% | 0 | 96 | 97 | 3 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 9/1/23 – 9/30/23
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPREAD | SPREAD-1 MONTH | DEALERS |
| 1 | AMKR 5Y | AMKOR TECHNOLOGY INC | 35.2% | 46 | 176 | 130 | 3 |
| 2 | ARNC 5Y | ALCOA INC | 30.1% | 25 | 106 | 82 | 3 |
| 3 | DAVITA 5Y | DAVITA HEALTHCARE PARTNERS INC | 27.7% | 46 | 213 | 167 | 5 |
| 4 | DAL 5Y | DELTA AIR LINES INC | 26.6% | 47 | 224 | 177 | 5 |
| 5 | TARGA 5Y | TARGA RES PARTNERS LP / TARGA | 25.6% | 21 | 104 | 83 | 4 |
| 6 | BLL 5Y | BALL CORP | 24.7% | 29 | 146 | 117 | 3 |
| 7 | MGM 5Y | MGM RESORTS INTERNATIONAL | 24.4% | 55 | 281 | 226 | 3 |
| 8 | MTG 5Y | MGIC INVT CORP | 24.4% | 31 | 160 | 129 | 3 |
| 9 | KBH 5Y | KB HOME | 23.1% | 41 | 219 | 178 | 3 |
| 10 | IGT 5Y | INTERNATIONAL GAME TECHNOLOGY | 22.4% | 34 | 186 | 152 | 3 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 9/1/23 – 9/30/23
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 8/31/23 vs. the month ending 9/30/23
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 142 | 156 | 13 | Wider | 257 |
| U.S. | 136 | 155 | 18 | Wider | 138 |
| Japan | 152 | 168 | 16 | Wider | 4 |
| Europe | 151 | 165 | 14 | Wider | 59 |
| APAC | 115 | 121 | 6 | Wider | 5 |
| Latin America | 207 | 237 | 30 | Wider | 5 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 9/1/23 – 9/30/23
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 8/31/23 vs. the month ending 9/30/23
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 142 | 156 | 13 | Wider | 257 |
| Capital Equipment | 287 | 288 | 2 | Wider | 7 |
| Energy: Oil & Gas | 111 | 118 | 7 | Wider | 19 |
| Consumer Goods: Durable | 133 | 143 | 10 | Wider | 2 |
| Insurance | 75 | 83 | 8 | Wider | 5 |
| Finance | 129 | 130 | 1 | Wider | 25 |
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