QUICK SUMMARY

• S&P 500 Bond Index was down -0.41% today, with investment grade down -0.45% and high yield down -0.03% (YTD total return: -1.42%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst unchanged at 83.0 bp (YTD change: -15.0 bp)
• ICE BofA US High Yield Index spread to worst down -4.0 bp, now at 329.0 bp (YTD change: -61.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index down -0.01% today (YTD total return: +2.2%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA unchanged at 45 bp
• AA unchanged at 53 bp
• A unchanged at 67 bp
• BBB unchanged at 108 bp
• BB down by -5 bp at 225 bp
• B down by -4 bp at 355 bp
• CCC unchanged at 604 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y down 1.4 bp, now at 50bp (YTD change: -0.5bp)
• Markit CDX.NA.HY 5Y down 6.6 bp, now at 280bp (YTD change: -13.2bp)
• Markit iTRAXX Europe down 0.4 bp, now at 48bp (YTD change: +0.1bp)
• Markit iTRAXX Japan up 1.0 bp, now at 46bp (YTD change: -5.5bp)
• Markit iTRAXX Asia Ex-Japan up 1.3 bp, now at 85bp (YTD change: +27.3bp)

TOP BONDS MOVERS - USD HY

• Issuer: Kondor Finance PLC (London, United Kingdom) | Coupon: 7.63% | Maturity: 8/11/2026 | Rating: B | ISIN: XS2077601610 | Z-spread up by 28.5 bp to 612.1 bp, with the yield to worst at 6.7% and the bond now trading down to 103.0 cents on the dollar (1Y price range: 98.9-104.8).
• Issuer: Pennsylvania Electric Co (Akron, Ohio (US)) | Coupon: 3.25% | Maturity: 15/3/2028 | Rating: BB+ | ISIN: USU70842AC04 | Z-spread up by 24.7 bp to 139.2 bp (CDS basis: -46.1bp), with the yield to worst at 2.5% and the bond now trading down to 104.1 cents on the dollar (1Y price range: 102.0-106.5).
• Issuer: Georgian railway JSC (Tbilisi, Georgia) | Coupon: 4.00% | Maturity: 17/6/2028 | Rating: B+ | ISIN: XS2340149439 | Z-spread up by 24.4 bp to 292.3 bp, with the yield to worst at 3.8% and the bond now trading down to 99.7 cents on the dollar (1Y price range: 99.7-101.4).
• Issuer: NOVA Chemicals Corp (Calgary, Canada) | Coupon: 5.00% | Maturity: 1/5/2025 | Rating: BB- | ISIN: USC67111AG65 | Z-spread up by 24.0 bp to 245.8 bp (CDS basis: -43.9bp), with the yield to worst at 3.0% and the bond now trading down to 106.3 cents on the dollar (1Y price range: 101.4-107.7).
• Issuer: Jersey Central Power & Light Co (Akron, Ohio (US)) | Coupon: 4.70% | Maturity: 1/4/2024 | Rating: BB+ | ISIN: USU04536AC95 | Z-spread up by 22.6 bp to 93.9 bp (CDS basis: -39.4bp), with the yield to worst at 1.3% and the bond now trading down to 108.2 cents on the dollar (1Y price range: 107.9-109.8).
• Issuer: Syngenta Finance NV (Enkhuizen, Netherlands) | Coupon: 4.89% | Maturity: 24/4/2025 | Rating: BB | ISIN: USN84413CL06 | Z-spread down by 22.6 bp to 132.9 bp, with the yield to worst at 1.9% and the bond now trading up to 110.1 cents on the dollar (1Y price range: 100.0-110.3).
• Issuer: FBN Finance Company BV (Amsterdam, Netherlands) | Coupon: 8.63% | Maturity: 27/10/2025 | Rating: B- | ISIN: XS2243733685 | Z-spread down by 24.5 bp to 626.8 bp, with the yield to worst at 6.7% and the bond now trading up to 106.3 cents on the dollar (1Y price range: 104.5-110.5).
• Issuer: bijeo jgupi ss (Tbilisi, Georgia) | Coupon: 6.00% | Maturity: 26/7/2023 | Rating: BB- | ISIN: XS1405775880 | Z-spread down by 31.9 bp to 261.3 bp, with the yield to worst at 2.8% and the bond now trading up to 106.2 cents on the dollar (1Y price range: 104.5-106.2).
• Issuer: Starwood Property Trust Inc (Greenwich, Connecticut (US)) | Coupon: 5.50% | Maturity: 1/11/2023 | Rating: B+ | ISIN: USU85656AE39 | Z-spread down by 32.8 bp to 270.4 bp, with the yield to worst at 2.9% and the bond now trading up to 105.0 cents on the dollar (1Y price range: 103.4-105.5).
• Issuer: TBC bank'i SS (Tbilisi, Georgia) | Coupon: 5.75% | Maturity: 19/6/2024 | Rating: BB- | ISIN: XS1843434363 | Z-spread down by 33.6 bp to 251.1 bp, with the yield to worst at 2.7% and the bond now trading up to 107.8 cents on the dollar (1Y price range: 104.0-108.3).

TOP BONDS MOVERS - EUR HY

• Issuer: Banca Monte dei Paschi di Siena SpA (Siena, Italy) | Coupon: 2.63% | Maturity: 28/4/2025 | Rating: CCC+ | ISIN: XS2110110686 | Z-spread up by 25.5 bp to 307.1 bp, with the yield to worst at 2.6% and the bond now trading down to 99.6 cents on the dollar (1Y price range: 99.3-105.8).
• Issuer: Adler Group SA (Senningerberg, Luxembourg) | Coupon: 3.25% | Maturity: 5/8/2025 | Rating: BB+ | ISIN: XS2010029663 | Z-spread up by 14.6 bp to 247.9 bp, with the yield to worst at 2.0% and the bond now trading down to 104.0 cents on the dollar (1Y price range: 103.1-105.4).
• Issuer: Adler Group SA (Senningerberg, Luxembourg) | Coupon: 2.25% | Maturity: 27/4/2027 | Rating: BB+ | ISIN: XS2336188029 | Z-spread up by 13.9 bp to 252.0 bp, with the yield to worst at 2.2% and the bond now trading down to 99.5 cents on the dollar (1Y price range: 98.1-100.2).
• Issuer: Nexi SpA (Milan, Italy) | Coupon: 1.63% | Maturity: 30/4/2026 | Rating: BB- | ISIN: XS2332589972 | Z-spread up by 13.5 bp to 215.9 bp, with the yield to worst at 1.8% and the bond now trading down to 98.7 cents on the dollar (1Y price range: 98.3-100.3).
• Issuer: Ford Motor Credit Company LLC (Dearborn, Michigan (US)) | Coupon: 2.39% | Maturity: 17/2/2026 | Rating: BB | ISIN: XS2013574384 | Z-spread up by 13.3 bp to 183.0 bp (CDS basis: -18.2bp), with the yield to worst at 1.4% and the bond now trading down to 103.7 cents on the dollar (1Y price range: 100.3-104.5).
• Issuer: Teva Pharmaceutical Finance Netherlands II BV (Amsterdam, Netherlands) | Coupon: 1.63% | Maturity: 15/10/2028 | Rating: BB- | ISIN: XS1439749364 | Z-spread up by 13.1 bp to 349.1 bp, with the yield to worst at 3.3% and the bond now trading down to 88.6 cents on the dollar (1Y price range: 87.1-92.6).
• Issuer: ZF Europe Finance BV (Amsterdam, Netherlands) | Coupon: 2.00% | Maturity: 23/2/2026 | Rating: BB+ | ISIN: XS2010039381 | Z-spread up by 12.6 bp to 205.0 bp, with the yield to worst at 1.6% and the bond now trading down to 100.9 cents on the dollar (1Y price range: 97.9-101.9).
• Issuer: ZF Finance GmbH (Friedrichshafen, Germany) | Coupon: 2.75% | Maturity: 25/5/2027 | Rating: BB+ | ISIN: XS2262961076 | Z-spread up by 12.1 bp to 222.4 bp, with the yield to worst at 1.9% and the bond now trading down to 103.8 cents on the dollar (1Y price range: 99.7-105.0).
• Issuer: Autostrade per l'Italia SpA (Rome, Italy) | Coupon: 1.88% | Maturity: 26/9/2029 | Rating: BB- | ISIN: XS1688199949 | Z-spread up by 12.0 bp to 149.1 bp (CDS basis: -8.7bp), with the yield to worst at 1.4% and the bond now trading down to 103.0 cents on the dollar (1Y price range: 98.5-104.2).
• Issuer: Deutsche Lufthansa AG (Cologne, Germany) | Coupon: 3.75% | Maturity: 11/2/2028 | Rating: BB- | ISIN: XS2296203123 | Z-spread down by 11.8 bp to 305.5 bp (CDS basis: -45.2bp), with the yield to worst at 2.8% and the bond now trading up to 104.8 cents on the dollar (1Y price range: 97.6-105.3).

USD BOND ISSUES

• Brighthouse Financial Global Funding (Financial - Other | Wilmington, Delaware, United States | Rating: A+): US$450m Note (US10921U2D98), fixed rate (0.60% coupon) maturing on 28 June 2023, priced at 99.98 (original spread of 35 bp), non callable
• Brighthouse Financial Global Funding (Financial - Other | Wilmington, Delaware, United States | Rating: NR): US$450m Note (US10921V2D70), fixed rate (0.60% coupon) maturing on 28 June 2023, priced at 99.98 (original spread of 35 bp), non callable
• Callon Petroleum Co (Oil and Gas | Houston, Texas, United States | Rating: CCC+): US$650m Senior Note (US13123XBD30), fixed rate (8.00% coupon) maturing on 1 August 2028, priced at 100.00 (original spread of 678 bp), callable (7nc3)
• Connecticut Light and Power Co (Utility - Other | Berlin, Connecticut, United States | Rating: A+): US$425m First Mortgage Bond (US207597EN17), fixed rate (2.05% coupon) maturing on 1 July 2031, priced at 99.73 (original spread of 60 bp), callable (10nc10)
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$110m Bond (US3133EMM581), fixed rate (2.60% coupon) maturing on 28 June 2039, priced at 100.00 (original spread of 251 bp), callable (18nc1)
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$355m Bond (US3133EMM664), fixed rate (0.25% coupon) maturing on 28 June 2023, priced at 100.00 (original spread of 1 bp), non callable
• HCA Inc (Health Care Facilities | Nashville, Tennessee, United States | Rating: BB+): US$850m Note (US404119CC14), fixed rate (2.38% coupon) maturing on 15 July 2031, priced at 99.39 (original spread of 95 bp), callable (10nc10)
• HCA Inc (Health Care Facilities | Nashville, Tennessee, United States | Rating: BB+): US$1,500m Note (US404119CB31), fixed rate (3.50% coupon) maturing on 15 July 2051, priced at 99.50 (original spread of 140 bp), callable (30nc30)
• JPMorgan Chase & Co (Banking | New York City, New York, United States | Rating: A-): US$500m Senior Note (US46647PCL85), floating rate (SOFR + 58.0 bp) maturing on 23 June 2025, priced at 100.00, callable (4nc3)
• JPMorgan Chase & Co (Banking | New York City, New York, United States | Rating: A-): US$2,000m Senior Note (US46647PCK03), floating rate maturing on 23 June 2025, priced at 100.00, callable (4nc3)
• Martin Marietta Materials Inc (Building Products | Raleigh, North Carolina, United States | Rating: BBB+): US$700m Senior Note (US573284AY29), fixed rate (0.65% coupon) maturing on 15 July 2023, priced at 99.99 (original spread of 40 bp), callable (2nc1)
• Martin Marietta Materials Inc (Building Products | Raleigh, North Carolina, United States | Rating: BBB+): US$900m Senior Note (US573284AW62), fixed rate (2.40% coupon) maturing on 15 July 2031, priced at 99.94 (original spread of 92 bp), callable (10nc10)
• Martin Marietta Materials Inc (Building Products | Raleigh, North Carolina, United States | Rating: BBB+): US$900m Senior Note (US573284AX46), fixed rate (3.20% coupon) maturing on 15 July 2051, priced at 99.20 (original spread of 112 bp), callable (30nc30)
• PPL Electric Utilities Corp (Utility - Other | Allentown, Pennsylvania, United States | Rating: A+): US$650m First Mortgage Bond (US69351UAY91), floating rate (SOFR + 33.0 bp) maturing on 24 June 2024, priced at 100.00, callable (3nc1)
• Bank of Nova Scotia (Banking | Toronto, Ontario, Canada | Rating: A): US$650m Senior Note (US0641594B99), fixed rate (2.15% coupon) maturing on 1 August 2031, priced at 99.87 (original spread of 68 bp), with a make whole call
• Bank of Nova Scotia (Banking | Toronto, Ontario, Canada | Rating: A): US$750m Senior Note (US0641594A17), fixed rate (1.35% coupon) maturing on 24 June 2026, priced at 99.92 (original spread of 48 bp), with a make whole call
• Bank of Nova Scotia (Banking | Toronto, Ontario, Canada | Rating: A): US$750m Senior Note (US0641593Y02), floating rate (SOFR + 28.0 bp) maturing on 23 June 2023, priced at 100.00, callable (2nc1)

EUR BOND ISSUES

• Ireland (Government) (Sovereign | Ireland | Rating: A): €110m Senior Note (XS2356570403), fixed rate (1.23% coupon) maturing on 23 June 2121, priced at 100.00, non callable
• Lion III Re DAC (Financial - Other | Dublin | Rating: NR): €200m Insurance Linked Security (XS2356204052), fixed rate (3.50% coupon) maturing on 16 July 2025, priced at 100.00, non callable
• Premium Green PLC (Financial - Other | Dublin, Dublin, Ireland | Rating: NR): €150m Unsecured Note (XS2357747554), floating rate maturing on 25 June 2026, priced at 100.00, non callable

NEW LOANS

• Royal Oak Entrps Inc, signed a US$ 390m Term Loan B, to be used for general corporate purposes and stock repurchases. It matures on 12/16/27 and initial pricing is set at LIBOR +375.000bps
• Mad Engine Inc, signed a US$ 250m Term Loan B, to be used for a leveraged buyout. It matures on 07/01/27 and initial pricing is set at LIBOR +700.000bps
• Global Cash Access Inc (B-), signed a US$ 600m Term Loan B and a US$ 125m Revolving Credit Facility, to be used for general corporate purposes.
• Harbor Freight Tools (BB-), signed a US$ 2,985m Term Loan B, to be used for general corporate purposes. It matures on 10/19/27 and initial pricing is set at LIBOR +300.000bps
• US LBM Holdings LLC (B+), signed a US$ 800m Term Loan B and a US$ 400m Delayed Draw Term Loan, to be used for acquisition financing. Both mature on 12/18/27 with initial pricing is set at LIBOR +375.000bps
• Skyline Champion Corp, signed a US$ 200m Revolving Credit Facility, to be used for general corporate purposes. It matures on 06/30/26 and initial pricing is set at LIBOR +187.500bps
• HealthPartners Inc (A), signed a US$ 250m Revolving Credit Facility, to be used for general corporate purposes. It matures on 06/28/22.

NEW ISSUES IN SECURITIZED CREDIT

• Steel Creek CLO 2019-2a issued a floating-rate CLO in 3 tranches, for a total of US$ 326 m. Highest-rated tranche offering a spread over the floating rate of 117bp, and the lowest-rated tranche a spread of 265bp. Bookrunners: Wells Fargo Securities LLC