Credit Default Swaps

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High Yield CDS Market Summary:
March 2023

Our newsletter presents key trends derived from observable Credit Default Swaps pricing data over a monthly period.

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Top 10 Outperformers

Showcases the top 10 HY CDS “outperformers” based on the largest mid spread decreases between 3/1/23 – 3/31/23

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPRD SPRD-1 MONTH
1 UPS 5Y UNITED PARCEL SVC AMER INC -17.6% -7 33 41
2 BSX 5Y BOSTON SCIENTIFIC CORP -17.3% -7 36 43
3 KR 5Y CA FM LEASE TR -16.9% -12 61 73
4 LEN 5Y LENNAR CORP -16.8% -20 100 120
5 OXY 5Y OCCIDENTAL PETE CORP -15.9% -23 120 143
6 KBH 5Y KB HOME -15.3% -43 240 283
7 MDC 5Y M.D.C. HOLDINGS, INC -15.2% -29 161 190
8 PHM 5Y CENTEX CORP -14.7% -17 99 116
9 LW 5Y LAMB WESTON -14.1% -19 116 135
10 LPX 5Y LP PINEWOOD SPV LLC -11.9% -17 124 140

Top 10 Underperformers

Showcases the top 10 HY CDS “underperformers” based on the largest mid spread increases between 3/1/23 – 3/31/23

RANK BOND NAME ISSUER % CHANGE BPS CHANGE SPREAD SPREAD-1 MONTH
1 MBIA_AA 5Y MBIA INC 58.6% 140 378 238
2 NDASS 5Y NORDEA BANK AG MEDIUM TERM 43.0% 19 65 45
3 AGFC 5Y AGFC CAP TR I 39.9% 156 547 391
4 AIG 5Y AMERICAN INTERNATIONAL GROUP 36.5% 29 109 80
5 DANBNK 5Y DANSKE BK A/S MEDIUM TERM NTS 35.0% 19 72 54
6 HAOHUA 5Y CNAC CENTURY HK CO LTD 33.7% 50 198 148
7 OI 5Y OI EUROPEAN GROUP BV 33.6% 86 343 257
8 SEB 5Y SKANDINAVISKA ENSKILDA BANKEN 32.9% 17 70 52
9 URI 5Y UR FING ESCROW CORP 30.2% 42 180 138
10 RAYAC 5Y REXEL 28.2% 48 218 170

Normalized HY Spread by Region

Displays the HY CDS spread by region between 3/1/23 – 3/31/23

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 2/28/23 vs. the month ending 3/31/23

REGION PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
Global 159 176 17 Wider 249
U.S. 150 164 14 Wider 135
Japan 196 221 25 Wider 4
U.K. 111 109 -2 Tighter 16
Canada 115 168 53 Wider 5
APAC 113 133 20 Wider 5

Normalized HY Spread by Industry

Displays the HY CDS spread by industry between 3/1/23 – 3/31/23

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 2/28/23 vs. the month ending 3/31/23

INDUSTRIES PREVIOUS SPREAD CURRENT SPREAD BPS CHANGE MONTHLY PERFORMANCE CDS COUNT
All Industries 159 176 17 Wider 249
Aerospace & Defense 194 262 67 Wider 3
Healthcare & Pharmaceuticals 119 136 17 Wider 8
Hotel, Gaming & Leisure 235 248 13 Wider 11
Metals & Mining 140 149 9 Wider 9
Finance 121 153 31 Wider 24

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