Credit Default Swaps

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High Yield CDS Market Summary:
september 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 9/1/24 – 9/30/24

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPRD SPRD-1 MONTH DEALERS
1 RMK 5Y ARAMARK CORP -17.0% -17 81 97 4
2 DAL 5Y DELTA AIR LINES INC -13.7% -18 115 133 5
3 VISTRAENE 5Y VISTRA ENERGY CORP -9.2% -11 104 115 3
4 SDFGR 5Y MORTON INTL INC IND -8.6% -14 150 165 3
5 AES 5Y AES TRUST I -7.1% -7 99 106 5
6 STGATE 5Y STONEGATE PUB CO FINANCING PLC -4.1% -8 182 190 2
7 NVFVES 5Y NOVAFIVES SAS -3.2% -4 119 123 3
8 HPLGR 5Y HAPAG-LLOYD A G -2.3% -4 180 184 4
9 AKS 5Y AK STL CORP -2.1% -3 142 145 2
10 FTI 5Y TECHNIPFMC PLC -1.8% -3 176 179 4

Top 10 Underperformers

Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 9/1/24 – 9/30/24

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPREAD SPREAD-1 MONTH DEALERS
1 LB 5Y LIMITED BRANDS 61.2% 82 215 133 2
2 MUR 5Y MURPHY OIL CORP 54.6% 59 167 108 4
3 MBIA_AA 5Y MBIA INC 50.6% 100 298 198 3
4 ZFFNGR 5Y ZF NA CAPITAL 48.4% 116 356 240 3
5 EOFP 5Y FAURECIA 41.0% 99 342 243 5
6 CHRYSLER 5Y FIAT CHRYSLER AUTOMOBILES NV 39.8% 45 159 114 7
7 TATAMTR 5Y JAGUAR LD ROVER PLC 38.8% 60 217 156 4
8 FRFP 5Y VALEO SA 32.3% 62 254 192 6
9 VOVCAB 5Y VOLVO 28.0% 49 224 175 6
10 ADRBID 5Y UNITED GROUP BV 26.0% 68 330 262 4

Normalized HY Spread by Region

Displays the HY CDS spread by region between 9/1/24 – 9/30/24

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 8/31/24 vs. the month ending 9/30/24

REGION PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
Global 132 145 13 Wider 187
U.S. 123 142 19 Wider 99
U.K. 88 90 1 Wider 19
Canada 75 132 57 Wider 2
China 74 80 6 Wider 1
APAC 99 98 -1 Tighter 1

Normalized HY Spread by Industry

Displays the HY CDS spread by industry between 9/1/24 – 9/30/24

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 8/31/24 vs. the month ending 9/30/24

INDUSTRIES PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
All Industries 132 145 13 Wider 187.00
Capital Equipment 185 193 8 Wider 5.00
Consumer Goods: Non-Durable 116 129 13 Wider 5.00
Retail 165 182 17 Wider 15.00
Chemicals, Plastics & Rubber 93 100 6 Wider 9.00
Healthcare & Pharmaceuticals 87 95 9 Wider 7.00

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