Credit Default Swaps
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High Yield CDS Market Summary:
December 2021
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 11/30/21 – 12/31/21
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | FCX 5Y | FREEPORT-MCMORAN COPPER & GOLD | -24.6% | -34 | 105 | 139 |
| 2 | AMKR 5Y | AMKOR TECHNOLOGY INC | -24.3% | -47 | 146 | 193 |
| 3 | MTG 5Y | MGIC INVT CORP | -23.2% | -40 | 133 | 173 |
| 4 | NRG 5Y | NRG ENERGY INC | -20.8% | -50 | 189 | 239 |
| 5 | LPX 5Y | LP PINEWOOD SPV LLC | -20.4% | -29 | 112 | 141 |
| 6 | IRM 5Y | IRON MOUNTAIN INCORPORATED | -19.0% | -38 | 164 | 203 |
| 7 | HPLGR 5Y | HAPAG-LLOYD A G | -17.9% | -31 | 143 | 174 |
| 8 | DAL 5Y | DELTA AIR LINES INC | -17.9% | -48 | 220 | 268 |
| 9 | OXY 5Y | OCCIDENTAL PETE CORP | -17.6% | -37 | 172 | 209 |
| 10 | KBH 5Y | KB HOME | -15.7% | -27 | 147 | 175 |
Top 10 Underperformers
Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 11/30/21 – 12/31/21
| RANK | BOND NAME | ISSUER | % CHG | BPS CHG | SPRD | SPRD-1 MNTH |
| 1 | TSLA 5Y | TESLA INC | 8.8% | 10 | 121 | 112 |
| 2 | JWN 5Y | NORDSTROM INC | 7.7% | 25 | 350 | 325 |
| 3 | SIRI 5Y | SCS HOLDINGS INC | 7.5% | 12 | 177 | 165 |
| 4 | DDS 5Y | DILLARD DEPT STORES INC | 6.8% | 6 | 99 | 93 |
| 5 | TSG 5Y | SABRE CORP | 4.1% | 21 | 533 | 512 |
| 6 | DYN 5Y | DYNEGY INC | 3.3% | 6 | 175 | 169 |
| 7 | RMK 5Y | ARAMARK CORP | 2.1% | 5 | 256 | 251 |
| 8 | AVP 5Y | AVON PRODS INC | 1.3% | 3 | 251 | 248 |
| 9 | RLGY 5Y | REALOGY GROUP LLC | 0.9% | 3 | 340 | 337 |
| 10 | OVV 5Y | OVINTIV | 0.6% | 1 | 150 | 149 |
Normalized HY Spread by Region
Displays the HY CDS spread by region between 11/30/21 – 12/31/21
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 11/30/21 vs. the month ending 12/31/21
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 150 | 141 | -9 | Tighter | 319 |
| U.S. | 142 | 140 | -2 | Tighter | 161 |
| U.K. | 129 | 115 | -14 | Tighter | 21 |
| Canada | 138 | 126 | -12 | Tighter | 4 |
| China | 100 | 91 | -9 | Tighter | 3 |
| APAC | 103 | 96 | -7 | Tighter | 9 |
Normalized HY Spread by Industry
Displays the HY CDS spread by industry between 11/30/21 – 12/31/21
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 11/30/21 vs. the month ending 12/31/21
| INDUSTRY | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 150 | 141 | -9 | Tighter | 319 |
| Automotive | 191 | 171 | -20 | Tighter | 10 |
| Energy: Oil & Gas | 166 | 160 | -5 | Tighter | 15 |
| Hotel, Gaming & Leisure | 240 | 219 | -21 | Tighter | 12 |
| Metals & Mining | 171 | 158 | -12 | Tighter | 14 |
| Telecommunications | 149 | 140 | -9 | Tighter | 29 |
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