QUICK SUMMARY

• S&P 500 Bond Index was down -0.7% today, with investment grade down -0.7% and high yield down -0.5% (YTD total return: -3.7%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst down -1.0 bp, now at 88.0 bp (YTD change: -10.0 bp)
• ICE BofA US High Yield Index spread to worst down -1.0 bp, now at 350.0 bp (YTD change: -40.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index down -0.1% today (YTD total return: +1.6%)
• New issues: US$ 9.6bn in dollars and € 15.9bn in euros

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA unchanged at 49 bp
• AA down by -1 bp at 55 bp
• A unchanged at 72 bp
• BBB down by -1 bp at 115 bp
• BB down by -2 bp at 241 bp
• B down by -1 bp at 373 bp
• CCC up by 1 bp at 649 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y up 1.5 bp, now at 54bp (YTD change: +3.8bp)
• Markit CDX.NA.HY 5Y up 8.0 bp, now at 301bp (YTD change: +8.1bp)
• Markit iTRAXX Europe up 0.9 bp, now at 52bp (YTD change: +4.2bp)
• Markit iTRAXX Japan up 0.6 bp, now at 48bp (YTD change: -3.8bp)
• Markit iTRAXX Asia Ex-Japan up 2.8 bp, now at 83bp (YTD change: +24.7bp)

NEW USD BOND ISSUES

• ASB Finance Ltd (London Branch) (Financial - Other | London, Australia | Rating: NR): US$200m Unsecured Note (XS2344384339), fixed rate (1.90% coupon) maturing on 19 May 2028, priced at 100.00, non callable
• Citigroup Global Markets Funding Luxembourg SCA (Financial - Other | Bertrange, United States | Rating: A+): US$100m Unsecured Note (XS2338430759), fixed rate (5.03% coupon) maturing on 20 May 2036, priced at 100.00, non callable
• Deutsche Bank AG (Banking | Frankfurt, Hessen, Germany | Rating: BBB): US$500m Note (XS0459852298), fixed rate (1.50% coupon) maturing on 4 June 2027, priced at 100.00, non callable
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$140m Bond (US3133EMZR69), fixed rate (1.24% coupon) maturing on 19 May 2027, priced at 100.00 (original spread of 11 bp), callable (6nc1)
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$150m Bond (US3133EMA289), fixed rate (0.13% coupon) maturing on 18 May 2023, priced at 100.00, non callable
• Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$100m Bond (US3130AMK688), fixed rate (1.10% coupon) maturing on 27 May 2026, priced at 100.00, callable (5nc3m)
• Federal Home Loan Banks (Agency | Washington, Washington Dc, United States | Rating: NR): US$750m Bond (US3130AMJL70), fixed rate (0.50% coupon) maturing on 28 May 2024, priced at 100.00 (original spread of 48 bp), callable (3nc1m)
• Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$100m Bond (US3130AMK357), fixed rate (1.06% coupon) maturing on 26 May 2026, priced at 100.00 (original spread of 102 bp), callable (5nc6m)
• Federal Home Loan Banks (Agency | Washington, Washington Dc, United States | Rating: NR): US$100m Bond (US3130AMK431), fixed rate (0.65% coupon) maturing on 21 November 2024, priced at 100.00 (original spread of 62 bp), callable (4nc1m)
• Federal Home Loan Banks (Agency | Washington, Washington Dc, United States | Rating: NR): US$175m Bond (US3130AMJN37), fixed rate (1.03% coupon) maturing on 26 May 2026, priced at 100.00 (original spread of 99 bp), callable (5nc6m)
• Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$110m Bond (US3130AMK274), fixed rate (1.10% coupon) maturing on 26 May 2026, priced at 100.00 (original spread of 106 bp), callable (5nc3m)
• Fresenius Medical Care Us Finance III Inc (Securities | Waltham, Germany | Rating: NR): US$850m Senior Note (US35805BAC28), fixed rate (1.88% coupon) maturing on 1 December 2026, priced at 99.54 (original spread of 110 bp), callable (6nc5)
• Fresenius Medical Care Us Finance III Inc (Securities | Waltham, Massachusetts, Germany | Rating: NR): US$650m Senior Note (US35805BAE83), fixed rate (3.00% coupon) maturing on 1 December 2031, priced at 99.20 (original spread of 140 bp), callable (11nc10)
• Goldman Sachs International (Financial - Other | London, United States | Rating: A+): US$100m Unsecured Note (XS2230893484) zero coupon maturing on 26 May 2041, non callable
• Great Lakes Dredge & Dock Corp (Service - Other | Houston, Texas, United States | Rating: B): US$325m Senior Note (US390607AF62), fixed rate (5.25% coupon) maturing on 1 June 2029, priced at 100.00 (original spread of 390 bp), callable (8nc3)
• Haitong International Securities Group Ltd (Securities | China (Mainland) | Rating: BBB): US$300m Senior Note (XS2338405991), fixed rate (2.13% coupon) maturing on 20 May 2026, priced at 99.93 (original spread of 124 bp), non callable
• Laboratory Corporation of America Holdings (Health Care Supply | Burlington, North Carolina, United States | Rating: BBB): US$500m Senior Note (US50540RAX08), fixed rate (1.55% coupon) maturing on 1 June 2026, priced at 99.93 (original spread of 70 bp), callable (5nc5)
• Laboratory Corporation of America Holdings (Health Care Supply | Burlington, United States | Rating: BBB): US$500m Senior Note (US50540RAY80), fixed rate (2.70% coupon) maturing on 1 June 2031, priced at 99.65 (original spread of 105 bp), callable (10nc10)
• Majordrive Holdings IV LLC (Financial - Other | Rating: NR): US$525m Senior Note (US56085RAA86), fixed rate (6.38% coupon) maturing on 1 June 2029, priced at 100.00, callable (8nc3)
• Nomura International Funding Pte Ltd (Financial - Other | Singapore | Rating: NR): US$235m Unsecured Note (XS2217035703), floating rate maturing on 20 June 2026, priced at 100.00, non callable
• Rayonier LP (Financial - Other | United States | Rating: BBB-): US$450m Senior Note (US75508XAA46), fixed rate (2.75% coupon) maturing on 17 May 2031, priced at 99.20 (original spread of 121 bp), callable (10nc10)
• Skyworks Solutions Inc (Electronics | Irvine, California, United States | Rating: BBB-): US$500m Senior Note (US83088MAJ18), fixed rate (0.90% coupon) maturing on 1 June 2023, priced at 99.97 (original spread of 75 bp), callable (2nc1)
• Skyworks Solutions Inc (Electronics | Irvine, California, United States | Rating: BBB-): US$500m Senior Note (US83088MAK80), fixed rate (1.80% coupon) maturing on 1 June 2026, priced at 99.95 (original spread of 95 bp), callable (5nc5)
• Skyworks Solutions Inc (Electronics | Irvine, California, United States | Rating: BBB-): US$500m Senior Note (US83088MAL63), fixed rate (3.00% coupon) maturing on 1 June 2031, priced at 99.61 (original spread of 135 bp), callable (10nc10)
• Societe Nationale SNCF SA (Agency | Saint-Denis, France | Rating: A+): US$100m Bond (FR0014003B48), fixed rate (1.85% coupon) maturing on 19 May 2031, priced at 100.00, non callable
• Standard Chartered Bank (Banking | London, United Kingdom | Rating: A): US$110m Senior Note (XS2344290940) zero coupon maturing on 25 May 2051, priced at 100.00, callable (30nc2)
• Wells Fargo & Co (Banking | San Francisco, United States | Rating: BBB+): US$1,000m Senior Note (US95000U2T91), floating rate maturing on 19 May 2025, priced at 100.00, callable (4nc3)

NEW EUR BOND ISSUES

• Aedas Homes OPCO SL (Financial - Other | Madrid, Madrid, Anguilla | Rating: NR): €325m Note (XS2343873597), fixed rate (4.00% coupon) maturing on 15 August 2026, priced at 100.00 (original spread of 451 bp), callable (5nc1)
• Aggregate Holdings SA (Financial - Other | Luxembourg, Netherlands | Rating: NR): €250m Inhaberschuldverschreibung (DE000A3KPTS1), fixed rate (5.50% coupon) maturing on 17 May 2024, non callable
• Bayerische Landesbank (Banking | Muenchen, Bayern, Germany | Rating: A-): €100m Inhaberschuldverschreibung (DE000BLB9PC6), fixed rate (0.62% coupon) maturing on 14 May 2031, priced at 100.00, non callable
• Borgwarner Inc (Vehicle Parts | Auburn Hills, Michigan, United States | Rating: BBB): €1,000m Senior Note (XS2343846940), fixed rate (1.00% coupon) maturing on 19 May 2031, priced at 98.94 (original spread of 125 bp), callable (10nc10)
• Chrome Bidco SAS (Financial - Other | Paris, Ile-De-France, Switzerland | Rating: B): €420m Note (XS2343000241), fixed rate (3.50% coupon) maturing on 31 May 2028, priced at 100.00 (original spread of 386 bp), callable (7nc3)
• Chrome Holdco SAS (Financial - Other | Paris, Ile-De-France, Switzerland | Rating: CCC+): €325m Senior Note (XS2343001991), fixed rate (5.00% coupon) maturing on 31 May 2029, priced at 100.00 (original spread of 527 bp), callable (8nc3)
• Cyrusone Europe Finance DAC (Financial - Other | Rating: BBB-): €500m Senior Note (XS2342250227), fixed rate (1.13% coupon) maturing on 26 May 2028, priced at 98.67 (original spread of 171 bp), callable (7nc7)
• Deutsche Bank AG (Banking | Frankfurt, Hessen, Germany | Rating: BBB): €500m Inhaberschuldverschreibung (DE000DB9U4E7), floating rate maturing on 7 June 2028, priced at 100.00, non callable
• Fair Oaks Loan Funding I DAC (Financial - Other | Dublin, Dublin, Ireland | Rating: NR): €217m Bond (XS2332239727), floating rate maturing on 15 April 2034, priced at 100.00, non callable
• GreenRock Energy AG (Service - Other | Berlin, Berlin, Germany | Rating: NR): €100m Inhaberschuldverschreibung (DE000A3E5SE0), fixed rate (6.50% coupon) maturing on 1 July 2031, priced at 100.00, callable (10nc3)
• KfW (Agency | Frankfurt, Hessen, Germany | Rating: AAA): €3,000m Inhaberschuldverschreibung (DE000A3H3KE9), fixed rate (0.38% coupon) maturing on 20 May 2036, priced at 99.86 (original spread of 23 bp), non callable
• Landesbank Hessen Thueringen Girozentrale (Banking | Frankfurt, Hessen, Germany | Rating: A): €100m Inhaberschuldverschreibung (DE000HLB23Z4), fixed rate (0.50% coupon) maturing on 1 July 2036, priced at 100.00, callable (15nc1)
• Landesbank Hessen Thueringen Girozentrale (Banking | Frankfurt, Hessen, Germany | Rating: A): €100m Inhaberschuldverschreibung (DE000HLB23X9), fixed rate (0.15% coupon) maturing on 23 June 2027, priced at 100.00, callable (6nc1)
• Landesbank Hessen Thueringen Girozentrale (Banking | Frankfurt, Hessen, Germany | Rating: A): €100m Inhaberschuldverschreibung (DE000HLB23Y7), fixed rate (1.15% coupon) maturing on 23 June 2036, priced at 100.00, callable (15nc1)
• Macquarie Group Ltd (Financial - Other | Sydney, New South Wales, Australia | Rating: BBB+): €500m Senior Note (XS2343850033), fixed rate (0.95% coupon) maturing on 21 May 2031, priced at 99.54 (original spread of 115 bp), non callable
• MAS Securities BV (Financial - Other | S-Gravenhage, Zuid-Holland | Rating: NR): €300m Senior Note (XS2339025277), fixed rate (4.25% coupon) maturing on 19 May 2026, priced at 98.90 (original spread of 502 bp), callable (5nc5)
• Ontario Teachers Finance Trust (Financial - Other | North York, Ontario, Canada | Rating: NR): €1,250m Senior Note (XS2344384768), fixed rate (0.10% coupon) maturing on 19 May 2028, priced at 99.88 (original spread of 51 bp), non callable
• Ontario Teachers Finance Trust (Financial - Other | North York, Ontario, Canada | Rating: NR): €1,250m Senior Note (XS2344384842), fixed rate (0.90% coupon) maturing on 20 May 2041, priced at 99.51 (original spread of 76 bp), non callable
• Permanent TSB Group Holdings PLC (Banking | Dublin, Dublin, Ireland | Rating: BB-): €250m Subordinated Note (XS2321520525), fixed rate (3.00% coupon) maturing on 19 August 2031, priced at 100.00 (original spread of 353 bp), callable (10nc5)
• Rhineland-Palatinate, State of (Official and Muni | Mainz, Rheinland-Pfalz, Germany | Rating: AAA): €600m Inhaberschuldverschreibung (DE000RLP1304), fixed rate (0.01% coupon) maturing on 29 May 2024, priced at 101.53 (original spread of 19 bp), non callable
• Rhineland-Palatinate, State of (Official and Muni | Mainz, Rheinland-Pfalz, Germany | Rating: AAA): €250m Landesschatzanweisung (DE000RLP1296), floating rate (EU03MLIB + 200.0 bp) maturing on 29 May 2024, priced at 106.36, non callable
• Swedbank AB (Banking | Sundbyberg, Stockholm, Sweden | Rating: A+): €1,000m Note (XS2343563214), fixed rate (0.30% coupon) maturing on 20 May 2027, priced at 99.81 (original spread of 86 bp), callable (6nc5)
• UniCredit Bank AG (Banking | Muenchen, Bayern, Italy | Rating: BBB+): €500m Hypothekenpfandbrief (Covered Bond) (DE000HV2AYJ2), fixed rate (0.01% coupon) maturing on 21 May 2029, priced at 100.26 (original spread of 33 bp), non callable

NEW ISSUES IN LOANS

• Stock Spirits Group Plc, signed a € 200m Revolving Credit Facility maturing on 05/12/24, to be used for general corporate purposes.

NEW ISSUES IN STRUCTURED CREDIT

• TCW 2020-1 issued a floating-rate CLO in 6 tranches, for a total of US$ 460 m. Highest-rated tranche offering a spread over the floating rate of 116bp, and the lowest-rated tranche a spread of 675bp. Bookrunners: Jefferies & Co Inc
• Velocity Commercial Capital Loan Trust 2021-1 issued a fixed-rate CMBS in 7 tranches, for a total of US$ 251 m. Highest-rated tranche offering a yield to maturity of 1.40%, and the lowest-rated tranche a yield to maturity of 5.03%. Bookrunners: Barclays Capital Group, Citigroup Global Markets Inc
• MVWOT 2021-1w issued a fixed-rate ABS backed by timeshare loans in 4 tranches, for a total of US$ 425 m. Highest-rated tranche offering a yield to maturity of 1.14%, and the lowest-rated tranche a yield to maturity of 3.17%. Bookrunners: Credit Suisse Wells Fargo Securities LLC, Bank of America Merrill Lynch