Credit

US Corporate Bonds Drop On Higher Rates, BBs Overperform, IG And CCCs Lag

In single-name derivatives, European companies like Lufthansa and TUI saw their CDS spreads widen over the past week, with the delta variant of Covid delaying the travel recovery further

Published ET

ICE BofAML US Corporate Spreads By Rating | Sources: ϕpost, Refinitiv data

ICE BofAML US Corporate Spreads By Rating | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • S&P 500 Bond Index was down -0.29% today, with investment grade down -0.32% and high yield down -0.03% (YTD total return: -0.81%)
  • The iBoxx USD Liquid Investment Grade Total Return Index was down -0.371% today (Month-to-date: 0.03%; Year-to-date: -1.56%)
  • The iBoxx USD Liquid High Yield Total Return Index was down -0.048% today (Month-to-date: 0.27%; Year-to-date: 3.32%)
  • ICE BofA US Corporate Index (Investment Grade) spread to worst down -1.0 bp, now at 85.0 bp (YTD change: -13.0 bp)
  • ICE BofA US High Yield Index spread to worst down -1.0 bp, now at 318.0 bp (YTD change: -72.0 bp)
  • S&P/LSTA U.S. Leveraged Loan 100 Index up 0.06% today (YTD total return: +2.2%)
  • New issues: US$ 11.8bn in dollars and € 16.1bn in euros

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

  • AAA unchanged at 47 bp
  • AA unchanged at 56 bp
  • A down by -1 bp at 70 bp
  • BBB down by -1 bp at 110 bp
  • BB down by -3 bp at 214 bp
  • B down by -2 bp at 353 bp
  • CCC up by 6 bp at 589 bp
IG & HY ICE BofAML US Corporate Spread To Worst | Sources: ϕpost, Refinitiv dataICE BofAML US Corporate Spread To Worst By Rating | Sources: ϕpost, Refinitiv data

CDS INDICES (mid-spreads)

  • Markit CDX.NA.IG 5Y up 0.8 bp, now at 49bp (YTD change: -1.4bp)
  • Markit CDX.NA.HY 5Y up 3.8 bp, now at 280bp (YTD change: -12.8bp)
  • Markit iTRAXX Europe unchanged at 47bp (YTD change: -1.4bp)
  • Markit iTRAXX Japan down 0.3 bp, now at 45bp (YTD change: -6.0bp)
  • Markit iTRAXX Asia Ex-Japan down 0.3 bp, now at 89bp (YTD change: +30.5bp)
CDX.NA.IG & CDX.NA.HY Indices Mid Spreads | Sources: ϕpost, Refinitiv dataiTRAXX Indices Mid Spreads | Sources: ϕpost, Refinitiv data

LARGEST USD CORPORATE CDS MOVES IN THE PAST WEEK

  • Hasbro Inc (Country: US; rated: A2): down 26.0 bp to 79.2bp (1Y range: 75-137bp)
  • Bombardier Inc (Country: CA; rated: Caa2): down 24.0 bp to 436.0bp (1Y range: 433-1,912bp)
  • Banco do Brasil SA (Country: BR; rated: WR): down 14.2 bp to 202.8bp (1Y range: 192-304bp)
  • Pitney Bowes Inc (Country: US; rated: LGD2 - 16%): down 13.8 bp to 402.2bp (1Y range: 363-1,458bp)
  • Royal Caribbean Cruises Ltd (Country: US; rated: LGD4 - 59%): up 14.5 bp to 336.7bp (1Y range: 318-1,555bp)
  • Apache Corp (Country: US; rated: WD): up 16.6 bp to 186.3bp (1Y range: 168-453bp)
  • RR Donnelley & Sons Co (Country: US; rated: B2): up 17.0 bp to 503.5bp (1Y range: 447-1,113bp)
  • Beazer Homes USA Inc (Country: US; rated: B3): up 19.1 bp to 337.8bp (1Y range: 231-418bp)
  • Carnival Corp (Country: US; rated: LGD5 - 71%): up 20.9 bp to 360.2bp (1Y range: 291-1,214bp)
  • Macy's Inc (Country: US; rated: Ba3): up 22.7 bp to 299.9bp (1Y range: 273-1,253bp)
  • Rite Aid Corp (Country: US; rated: Caa1): up 43.3 bp to 921.7bp (1Y range: 497-925bp)
  • Nabors Industries Inc (Country: US; rated: B+): up 76.4 bp to 810.3bp (1Y range: 662-4,514bp)
  • Transocean Inc (Country: KY; rated: Caa3): up 77.2 bp to 1,176.9bp (1Y range: 941-7,695bp)
  • Talen Energy Supply LLC (Country: US; rated: B2): up 865.7 bp to 3,027.5bp (1Y range: 875-2,994bp)

LARGEST EURO CORPORATE CDS MOVES IN THE PAST WEEK

  • Stonegate Pub Company Financing PLC (Country: GB; rated: WR): down 11.4 bp to 497.6bp (1Y range: 486-984bp)
  • Virgin Media Finance PLC (Country: GB; rated: WR): up 6.0 bp to 242.0bp (1Y range: 208-325bp)
  • Banca Monte dei Paschi di Siena SpA (Country: IT; rated: NP): up 6.1 bp to 222.9bp (1Y range: 188-272bp)
  • Renault SA (Country: FR; rated: A-): up 6.1 bp to 195.8bp (1Y range: 168-277bp)
  • Marks and Spencer PLC (Country: GB; rated: Ba1): up 7.6 bp to 193.6bp (1Y range: 174-349bp)
  • Iceland Bondco PLC (Country: GB; rated: LGD3 - 46%): up 7.9 bp to 441.0bp (1Y range: 358-765bp)
  • UPC Holding BV (Country: NL; rated: LGD6 - 93%): up 9.7 bp to 231.7bp (1Y range: 211-315bp)
  • Alstom SA (Country: FR; rated: P-2): up 10.5 bp to 54.4bp (1Y range: 37-57bp)
  • Stena AB (Country: SE; rated: B2-PD): up 10.8 bp to 529.3bp (1Y range: 523-750bp)
  • TUI AG (Country: DE; rated: LGD4 - 50%): up 11.3 bp to 721.5bp (1Y range: 590-1,799bp)
  • J Sainsbury PLC (Country: GB; rated: WR): up 12.6 bp to 82.3bp (1Y range: 52-82bp)
  • CMA CGM SA (Country: FR; rated: B1): up 14.7 bp to 342.0bp (1Y range: 326-1,004bp)
  • Deutsche Lufthansa AG (Country: DE; rated: Ba2): up 16.0 bp to 267.5bp (1Y range: 236-421bp)
  • Novafives SAS (Country: FR; rated: Caa1): up 28.6 bp to 771.7bp (1Y range: 716-1,205bp)
  • Jaguar Land Rover Automotive PLC (Country: GB; rated: WD): up 45.1 bp to 381.1bp (1Y range: 339-918bp)

USD BOND ISSUES

  • Federal Farm Credit Banks Funding Corp (Agency | Jersey City, United States | Rating: AA+): US$150m Bond (US3133EMT859), floating rate (SOFR + 3.0 bp) maturing on 20 July 2023, priced at 100.00, callable (2nc2)
  • Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$350m Bond (US3130ANC659), fixed rate (0.51% coupon) maturing on 26 July 2024, priced at 100.00, callable (3nc1)
  • Inter-American Development Bank (Supranational | Washington, United States | Rating: AAA): US$3,000m Senior Note (US4581X0DX34), fixed rate (1.13% coupon) maturing on 20 July 2028, priced at 99.27 (original spread of 8 bp), non callable
  • Laredo Petroleum Inc (Oil and Gas | Tulsa, United States | Rating: B): US$400m Senior Note (US516806AH93), fixed rate (7.75% coupon) maturing on 31 July 2029, priced at 100.00 (original spread of 679 bp), callable (8nc3)
  • Sunac China Holdings Ltd (Service - Other | Tianjin, China | Rating: BB): US$400m Note (XS2366526619), fixed rate (6.80% coupon) maturing on 20 October 2024, priced at 99.39 (original spread of 647 bp), callable (3nc2)
  • Zoominfo Technologies LLC (Information/Data Technology | United States | Rating: NR): US$300m Senior Note (USU9900PAB95), fixed rate (3.88% coupon) maturing on 1 February 2029, priced at 99.25 (original spread of 280 bp), callable (8nc3)
  • British Columbia, Province of (Official and Muni | Victoria, Canada | Rating: AA+): US$2,500m Bond (US110709AH51), fixed rate (0.90% coupon) maturing on 20 July 2026, priced at 99.85 (original spread of 12 bp), non callable
  • CLP Power Hong Kong Financing Ltd (Financial - Other | Hong Kong | Rating: A+): US$500m Unsecured Note (XS2366184120), fixed rate (3.00% coupon) maturing on 21 July 2036, priced at 100.00, non callable
  • CLP Power Hong Kong Financing Ltd (Financial - Other | Hong Kong | Rating: A+): US$300m Senior Note (XS2364591367), fixed rate (2.25% coupon) maturing on 21 July 2031, priced at 99.97 (original spread of 92 bp), non callable
  • First Student Bidco Inc (Financial - Other | Rating: B+): US$800m Note (US337120AA74), fixed rate (4.00% coupon) maturing on 31 July 2029, priced at 100.00 (original spread of 275 bp), callable (8nc3)
  • Lani Finance Ltd (Financial - Other | George Town, Cayman Islands | Rating: NR): US$138m Unsecured Note (XS2366416860) zero coupon maturing on 29 June 2026, non callable
  • MC Brazil Downstream Trading SARL (Financial - Other | Rating: NR): US$1,800m Note (US55292WAA80), fixed rate (7.25% coupon) maturing on 30 June 2031, priced at 100.00, with a make whole call
  • Uzbekistan, Republic of (Government) (Sovereign | Tashkent, Uzbekistan | Rating: BB-): US$635m Senior Note (US91822Q2E63), fixed rate (3.90% coupon) maturing on 19 October 2031, priced at 99.99 (original spread of 254 bp), non callable

EUR BOND ISSUES

  • European Union (Supranational | Brussels, Belgium | Rating: AAA): €10,000m Senior Note (EU000A3KT6B1), fixed rate (0.45% coupon) maturing on 4 July 2041, priced at 99.60 (original spread of 53 bp), non callable
  • European Union (Supranational | Brussels, Belgium | Rating: AAA): €5,250m Senior Note (EU000A3KT6A3) zero coupon maturing on 22 April 2031, priced at 100.42 (original spread of 30 bp), non callable
  • Landesbank Baden Wuerttemberg (Banking | Stuttgart, Germany | Rating: AA-): €500m Note (DE000LB2V7C3), fixed rate (0.25% coupon) maturing on 21 July 2028, priced at 99.83 (original spread of 81 bp), non callable
  • Novo Banco SA (Banking | Lisbon, Bermuda | Rating: NR): €300m Note (PTNOBIOM0014), floating rate maturing on 23 July 2024, priced at 100.00 (original spread of 417 bp), callable (3nc2)

NEW LOANS

  • Madison Iaq Llc (CCC+), signed a US$ 715m Term Loan B, to be used for acquisition financing

NEW ISSUES IN SECURITIZED CREDIT

  • Parli 2021-2 issued a floating-rate CLO in 5 tranches, for a total of US$ 448 m. Bookrunners: Deutsche Bank Securities Inc
  • SREIT Trust 2021-Flwr issued a floating-rate CMBS in 8 tranches, for a total of US$ 794 m. Highest-rated tranche offering a spread over the floating rate of 65bp, and the lowest-rated tranche a spread of 200bp. Bookrunners: Morgan Stanley International Ltd, Barclays Capital Group, Wells Fargo Securities LLC