QUICK SUMMARY

• S&P 500 Bond Index was up 0.28% today, with investment grade up 0.30% and high yield up 0.13% (YTD total return: -1.54%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst unchanged at 86.0 bp (YTD change: -12.0 bp)
• ICE BofA US High Yield Index spread to worst up 1.0 bp, now at 336.0 bp (YTD change: -54.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index up 0.0% today (YTD total return: +2.3%)
• New issues: US$ 4.4bn in dollars and € 1.5bn in euros

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA unchanged at 47 bp
• AA unchanged at 55 bp
• A unchanged at 70 bp
• BBB down by -1 bp at 112 bp
• BB up by 1 bp at 234 bp
• B up by 2 bp at 365 bp
• CCC down by -3 bp at 614 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y down 1.3 bp, now at 49bp (YTD change: -1.0bp)
• Markit CDX.NA.HY 5Y down 4.2 bp, now at 278bp (YTD change: -14.8bp)
• Markit iTRAXX Europe down 0.7 bp, now at 48bp (YTD change: -0.2bp)
• Markit iTRAXX Japan down 0.3 bp, now at 46bp (YTD change: -5.2bp)
• Markit iTRAXX Asia Ex-Japan unchanged, now at 84bp (YTD change: +25.9bp)

TOP BONDS MOVERS IN THE PAST WEEK - USD HY

• Issuer: Guacolda Energia SA (LAS CONDES, Chile) | Coupon: 4.56% | Maturity: 30/4/2025 | Rating: B+ | ISIN: USP3711HAF66 | Z-spread up by 102.3 bp to 1,328.2 bp, with the yield to worst at 13.4% and the bond now trading down to 72.9 cents on the dollar (1Y price range: 72.8-92.1).
• Issuer: Sappi Papier Holding GmbH (Gratkorn, Austria) | Coupon: 7.50% | Maturity: 15/6/2032 | Rating: B+ | ISIN: XS0149581935 | Z-spread up by 30.4 bp to 541.4 bp, with the yield to worst at 6.3% and the bond now trading down to 106.5 cents on the dollar (1Y price range: 97.8-109.6).
• Issuer: Sensata Technologies BV (Almelo, Netherlands) | Coupon: 4.88% | Maturity: 15/10/2023 | Rating: BB- | ISIN: USN78840AH33 | Z-spread down by 21.9 bp to 128.2 bp, with the yield to worst at 1.3% and the bond now trading up to 107.6 cents on the dollar (1Y price range: 105.9-108.1).
• Issuer: WeWork Companies Inc (New York City, New York (US)) | Coupon: 7.88% | Maturity: 1/5/2025 | Rating: CC | ISIN: USU96217AA99 | Z-spread down by 22.6 bp to 671.1 bp, with the yield to worst at 6.8% and the bond now trading up to 102.5 cents on the dollar (1Y price range: 67.5-102.5).
• Issuer: Uzpromstroybank AKB (Tashkent, Uzbekistan) | Coupon: 5.75% | Maturity: 2/12/2024 | Rating: BB- | ISIN: XS2083131859 | Z-spread down by 24.5 bp to 348.9 bp, with the yield to worst at 3.8% and the bond now trading up to 105.9 cents on the dollar (1Y price range: 102.4-106.4).
• Issuer: NOVA Chemicals Corp (Calgary, Canada) | Coupon: 5.00% | Maturity: 1/5/2025 | Rating: BB- | ISIN: USC67111AG65 | Z-spread down by 30.4 bp to 226.6 bp (CDS basis: -24.3bp), with the yield to worst at 2.6% and the bond now trading up to 107.6 cents on the dollar (1Y price range: 101.4-107.6).
• Issuer: Turkiye Vakiflar Bankasi TAO (Istanbul, Turkey) | Coupon: 6.50% | Maturity: 8/1/2026 | Rating: B | ISIN: XS2266963003 | Z-spread down by 31.3 bp to 526.8 bp, with the yield to worst at 5.7% and the bond now trading up to 102.5 cents on the dollar (1Y price range: 95.2-105.8).
• Issuer: OCP SA (Casablanca, Morocco) | Coupon: 5.63% | Maturity: 25/4/2024 | Rating: BB+ | ISIN: XS1061043011 | Z-spread down by 33.8 bp to 167.2 bp, with the yield to worst at 1.8% and the bond now trading up to 110.0 cents on the dollar (1Y price range: 108.0-110.8).
• Issuer: Syngenta Finance NV (Enkhuizen, Netherlands) | Coupon: 5.18% | Maturity: 24/4/2028 | Rating: BB | ISIN: USN84413CG11 | Z-spread down by 36.4 bp to 199.4 bp, with the yield to worst at 2.8% and the bond now trading up to 112.9 cents on the dollar (1Y price range: 101.5-113.4).
• Issuer: Pennsylvania Electric Co (Akron, Ohio (US)) | Coupon: 4.15% | Maturity: 15/4/2025 | Rating: BB+ | ISIN: USU70842AB21 | Z-spread down by 44.6 bp to 119.8 bp (CDS basis: -60.2bp), with the yield to worst at 1.6% and the bond now trading up to 108.5 cents on the dollar (1Y price range: 106.4-109.8).

TOP BONDS MOVERS IN THE PAST WEEK - EUR HY

• Issuer: Adler Group SA (Senningerberg, Luxembourg) | Coupon: 3.25% | Maturity: 5/8/2025 | Rating: BB+ | ISIN: XS2010029663 | Z-spread down by 10.1 bp to 237.8 bp, with the yield to worst at 1.9% and the bond now trading up to 104.6 cents on the dollar (1Y price range: 103.1-105.4).
• Issuer: Petroleos Mexicanos (Miguel Hidalgo, Mexico) | Coupon: 2.75% | Maturity: 21/4/2027 | Rating: BB- | ISIN: XS1172951508 | Z-spread down by 10.7 bp to 416.3 bp (CDS basis: -41.6bp), with the yield to worst at 3.8% and the bond now trading up to 94.0 cents on the dollar (1Y price range: 89.3-94.8).
• Issuer: Ashland Services BV (Zwijndrecht, Netherlands) | Coupon: 2.00% | Maturity: 30/1/2028 | Rating: BB+ | ISIN: XS2103218538 | Z-spread down by 11.4 bp to 206.9 bp, with the yield to worst at 1.8% and the bond now trading up to 100.6 cents on the dollar (1Y price range: 98.4-101.8).
• Issuer: Deutsche Lufthansa AG (Cologne, Germany) | Coupon: 3.00% | Maturity: 29/5/2026 | Rating: BB- | ISIN: XS2265369657 | Z-spread down by 14.1 bp to 299.7 bp (CDS basis: -60.8bp), with the yield to worst at 2.5% and the bond now trading up to 101.3 cents on the dollar (1Y price range: 95.7-101.7).
• Issuer: ZF Europe Finance BV (Amsterdam, Netherlands) | Coupon: 2.00% | Maturity: 23/2/2026 | Rating: BB+ | ISIN: XS2010039381 | Z-spread down by 14.1 bp to 200.3 bp, with the yield to worst at 1.5% and the bond now trading up to 101.3 cents on the dollar (1Y price range: 97.9-101.5).
• Issuer: Jaguar Land Rover Automotive PLC (Coventry, United Kingdom) | Coupon: 6.88% | Maturity: 15/11/2026 | Rating: B | ISIN: XS2010037682 | Z-spread down by 14.4 bp to 384.2 bp (CDS basis: -38.6bp), with the yield to worst at 3.4% and the bond now trading up to 115.8 cents on the dollar (1Y price range: 102.3-115.8).
• Issuer: Standard Industries Inc (Parsippany, New Jersey (US)) | Coupon: 2.25% | Maturity: 21/11/2026 | Rating: BB | ISIN: XS2080766475 | Z-spread down by 15.9 bp to 242.8 bp, with the yield to worst at 2.1% and the bond now trading up to 100.3 cents on the dollar (1Y price range: 97.4-102.9).
• Issuer: Ford Motor Credit Company LLC (Dearborn, Michigan (US)) | Coupon: 2.39% | Maturity: 17/2/2026 | Rating: BB | ISIN: XS2013574384 | Z-spread down by 20.0 bp to 178.4 bp (CDS basis: -18.2bp), with the yield to worst at 1.3% and the bond now trading up to 104.2 cents on the dollar (1Y price range: 100.3-104.2).
• Issuer: Renault SA (Boulogne-Billancourt, France) | Coupon: 2.38% | Maturity: 25/5/2026 | Rating: BB | ISIN: FR0014000NZ4 | Z-spread down by 20.6 bp to 238.9 bp (CDS basis: -47.8bp), with the yield to worst at 2.0% and the bond now trading up to 101.2 cents on the dollar (1Y price range: 99.5-102.4).
• Issuer: Saipem Finance International BV (Amsterdam, Netherlands) | Coupon: 3.38% | Maturity: 15/7/2026 | Rating: BB | ISIN: XS2202907510 | Z-spread down by 21.2 bp to 280.4 bp (CDS basis: 52.7bp), with the yield to worst at 2.4% and the bond now trading up to 103.9 cents on the dollar (1Y price range: 101.4-106.3).

USD BOND ISSUES

• Assurant Inc (Property and Casualty Insurance | New York City, New York, United States | Rating: BBB): US$350m Senior Note (US04621XAN84), fixed rate (2.65% coupon) maturing on 15 January 2032, priced at 99.84 (original spread of 120 bp), callable (11nc10)
• Cheesecake Factory Inc (Restaurants | Calabasas Hills, California, United States | Rating: NR): US$300m Bond (US163072AA98), fixed rate (0.50% coupon) maturing on 15 June 2026, priced at 100.00, non callable, convertible
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$275m Bond (US3133EMK767), floating rate (SOFR + 3.5 bp) maturing on 16 June 2023, priced at 100.00, non callable
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$175m Bond (US3133EMK841), fixed rate (1.89% coupon) maturing on 17 March 2031, priced at 100.00, callable (10nc3m)
• Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$250m Bond (US3130AMV586), fixed rate (0.34% coupon) maturing on 21 June 2024, priced at 100.00, callable (3nc1)
• Federal Home Loan Banks (Agency | Washington, Washington Dc, United States | Rating: NR): US$250m Bond (US3130AMV412), fixed rate (0.45% coupon) maturing on 23 December 2024, priced at 100.00 (original spread of 30 bp), callable (4nc1)
• RLJ Lodging Trust LP (Financial - Other | Dover, Delaware, United States | Rating: BB-): US$500m Note (US74965LAA98), fixed rate (3.75% coupon) maturing on 1 July 2026, priced at 100.00 (original spread of 303 bp), callable (5nc2)

EUR BOND ISSUES

• Derichebourg SA (Service - Other | Paris, Ile-De-France, France | Rating: BB): €300m Senior Note (XS2351382556), fixed rate (2.25% coupon) maturing on 15 July 2028, priced at 100.00 (original spread of 274 bp), callable (7nc3)
• Deutsche Bank AG (Banking | Frankfurt, Hessen, Germany | Rating: BBB): €500m Inhaberschuldverschreibung (DE000DB9U4J6), floating rate maturing on 1 July 2027, priced at 100.00, non callable
• Landesbank Baden Wuerttemberg (Banking | Stuttgart, Baden-Wuerttemberg, Germany | Rating: AA-): €250m Inhaberschuldverschreibung (DE000LB2V6R3), floating rate (EU03MLIB + 85.0 bp) maturing on 16 December 2024, priced at 102.83, non callable
• Paysafe Finance PLC (Financial - Other | United Kingdom | Rating: NR): €435m Note (XS2010028269), fixed rate (3.00% coupon) maturing on 15 June 2029, priced at 100.00 (original spread of 336 bp), callable (8nc3)

NEW LOANS

• Hilton Grand Vacations Inc (BB), signed a US$ 675m Bridge Loan, to be used for acquisition financing. It matures on 06/30/22 and initial pricing is set at LIBOR +450.000bps
• Pregis LLC, signed a US$ 300m Term Loan B, to be used for general corporate purposes. It matures on 08/01/26 and initial pricing is set at LIBOR +400.000bps

NEW ISSUES IN SECURITIZED CREDIT

• Colt 2021-1 Mortgage Loan Trust issued a fixed-rate RMBS in 5 tranches, for a total of US$ 192 m. Highest-rated tranche offering a yield to maturity of 0.91%, and the lowest-rated tranche a yield to maturity of 3.14%. Bookrunners: Credit Suisse, Morgan Stanley International Ltd
• Pearl Street Mortgage Co 2021-2 issued a fixed-rate RMBS in 2 tranches, for a total of US$ 306 m. Bookrunners: Wells Fargo Securities LLC
• Goodleap Sustainable Home Solutions Trust 2021-3 issued a fixed-rate ABS backed by certificates in 3 tranches, for a total of US$ 340 m. Highest-rated tranche offering a yield to maturity of 2.10%, and the lowest-rated tranche a yield to maturity of 3.84%. Bookrunners: Credit Suisse, Goldman Sachs & Co