QUICK SUMMARY

• The iBoxx USD Liquid Investment Grade Total Return Index was down -0.15% today (Month-to-date: 1.15%; Year-to-date: -0.46%)
• The iBoxx USD Liquid High Yield Total Return Index was up 0.27% today (Month-to-date: -0.20%; Year-to-date: 2.83%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst up 1.0 bp, now at 90.0 bp (YTD change: -8.0 bp)
• ICE BofA US High Yield Index spread to worst down -6.0 bp, now at 352.0 bp (YTD change: -38.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index down -0.02% today (YTD total return: +2.0%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA up by 1 bp at 52 bp
• AA up by 1 bp at 60 bp
• A up by 1 bp at 75 bp
• BBB up by 1 bp at 115 bp
• BB down by -5 bp at 243 bp
• B down by -6 bp at 395 bp
• CCC down by -7 bp at 631 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y down 1.3 bp, now at 51bp (YTD change: +0.7bp)
• Markit CDX.NA.HY 5Y down 5.8 bp, now at 292bp (YTD change: -1.4bp)
• Markit iTRAXX Europe up 0.0 bp, now at 49bp (YTD change: +1.3bp)
• Markit iTRAXX Japan up 0.9 bp, now at 46bp (YTD change: -5.3bp)
• Markit iTRAXX Asia Ex-Japan up 2.0 bp, now at 87bp (YTD change: +29.2bp)

TOP BONDS MOVES IN THE PAST WEEK - USD HY

• Issuer: American Airlines Group Inc (Fort Worth, Texas (US)) | Coupon: 3.75% | Maturity: 1/3/2025 | Rating: CCC | ISIN: USU0242AAD47 | Z-spread up by 130.5 bp to 742.6 bp (CDS basis: -55.7bp), with the yield to worst at 7.7% and the bond now trading down to 87.4 cents on the dollar (1Y price range: 71.0-93.1).
• Issuer: Royal Caribbean Cruises Ltd (Miami, Liberia) | Coupon: 4.25% | Maturity: 1/7/2026 | Rating: B | ISIN: USV7780TAF04 | Z-spread up by 97.5 bp to 457.4 bp (CDS basis: -43.2bp), with the yield to worst at 5.0% and the bond now trading down to 95.6 cents on the dollar (1Y price range: 95.2-100.9).
• Issuer: NCL Corporation Ltd (Miami, Bermuda) | Coupon: 5.88% | Maturity: 15/3/2026 | Rating: CCC+ | ISIN: USG6436QAL08 | Z-spread up by 96.0 bp to 510.7 bp, with the yield to worst at 5.7% and the bond now trading down to 100.3 cents on the dollar (1Y price range: 98.5-105.3).
• Issuer: TBC bank'i SS (Tbilisi, Georgia) | Coupon: 5.75% | Maturity: 19/6/2024 | Rating: BB- | ISIN: XS1843434363 | Z-spread up by 91.7 bp to 262.4 bp, with the yield to worst at 2.7% and the bond now trading down to 107.5 cents on the dollar (1Y price range: 104.0-110.0).
• Issuer: Banistmo SA (PANAMA CITY, Panama) | Coupon: 3.65% | Maturity: 19/9/2022 | Rating: BB+ | ISIN: USP15383AC95 | Z-spread up by 73.3 bp to 237.3 bp, with the yield to worst at 2.4% and the bond now trading down to 101.3 cents on the dollar (1Y price range: 101.3-103.5).
• Issuer: Carnival Corp (Miami, Panama) | Coupon: 5.75% | Maturity: 1/3/2027 | Rating: B | ISIN: USP2121VAL82 | Z-spread up by 73.2 bp to 470.1 bp (CDS basis: -86.5bp), with the yield to worst at 5.3% and the bond now trading down to 101.2 cents on the dollar (1Y price range: 99.1-106.5).
• Issuer: Southeast Supply Header LLC (Houston, Texas (US)) | Coupon: 4.25% | Maturity: 15/6/2024 | Rating: BB- | ISIN: USU83854AB29 | Z-spread up by 69.8 bp to 397.6 bp, with the yield to worst at 4.0% and the bond now trading down to 99.5 cents on the dollar (1Y price range: 99.0-101.1).
• Issuer: NCL Finance Ltd (#N/A, United Kingdom) | Coupon: 6.13% | Maturity: 15/3/2028 | Rating: CCC+ | ISIN: USG6437FAA78 | Z-spread up by 64.7 bp to 492.7 bp, with the yield to worst at 5.7% and the bond now trading down to 101.5 cents on the dollar (1Y price range: 101.5-105.9).
• Issuer: Vedanta Resources Finance II PLC (London, United Kingdom) | Coupon: 8.95% | Maturity: 11/3/2025 | Rating: B- | ISIN: USG9T27HAD62 | Z-spread up by 58.2 bp to 960.8 bp, with the yield to worst at 9.8% and the bond now trading down to 96.4 cents on the dollar (1Y price range: 94.3-99.8).
• Issuer: EnLink Midstream LLC (Dallas, Texas (US)) | Coupon: 5.63% | Maturity: 15/1/2028 | Rating: BB | ISIN: USU26790AB82 | Z-spread up by 55.0 bp to 381.4 bp, with the yield to worst at 4.5% and the bond now trading down to 104.8 cents on the dollar (1Y price range: 96.8-107.4).
• Issuer: EQM Midstream Partners LP (Canonsburg, Pennsylvania (US)) | Coupon: 6.00% | Maturity: 1/7/2025 | Rating: BB- | ISIN: USU26886AA62 | Z-spread up by 50.6 bp to 310.0 bp, with the yield to worst at 3.4% and the bond now trading down to 108.0 cents on the dollar (1Y price range: 103.0-109.5).
• Issuer: Oi SA em Recuperacao Judicial (Rio de Janeiro, Brazil) | Coupon: 10.00% | Maturity: 27/7/2025 | Rating: CCC+ | ISIN: USP7354PAA23 | Z-spread up by 41.2 bp to 917.8 bp, with the yield to worst at 9.2% and the bond now trading down to 101.5 cents on the dollar (1Y price range: 99.5-107.0).
• Issuer: Guacolda Energia SA (LAS CONDES, Chile) | Coupon: 4.56% | Maturity: 30/4/2025 | Rating: B+ | ISIN: USP3711HAF66 | Z-spread down by 122.4 bp to 2,145.9 bp, with the yield to worst at 21.5% and the bond now trading up to 56.7 cents on the dollar (1Y price range: 53.5-92.1).

TOP BONDS MOVES IN THE PAST WEEK - EUR HY

• Issuer: Adler Group SA (Senningerberg, Luxembourg) | Coupon: 2.25% | Maturity: 27/4/2027 | Rating: BB+ | ISIN: XS2336188029 | Z-spread up by 33.1 bp to 317.4 bp, with the yield to worst at 2.7% and the bond now trading down to 96.7 cents on the dollar (1Y price range: 94.4-100.2).
• Issuer: International Consolidated Airlines Group SA (London, Spain) | Coupon: 1.50% | Maturity: 4/7/2027 | Rating: B+ | ISIN: XS2020581752 | Z-spread up by 31.5 bp to 391.7 bp, with the yield to worst at 3.5% and the bond now trading down to 88.8 cents on the dollar (1Y price range: 84.0-92.1).
• Issuer: Deutsche Lufthansa AG (Cologne, Germany) | Coupon: 3.50% | Maturity: 14/7/2029 | Rating: BB- | ISIN: XS2363235107 | Z-spread up by 21.8 bp to 398.5 bp (CDS basis: -66.4bp), with the yield to worst at 3.7% and the bond now trading down to 97.9 cents on the dollar (1Y price range: 97.7-99.1).
• Issuer: SoftBank Group Corp (Minato-Ku, Japan) | Coupon: 3.38% | Maturity: 6/7/2029 | Rating: BB+ | ISIN: XS2361255057 | Z-spread up by 19.6 bp to 390.0 bp, with the yield to worst at 3.6% and the bond now trading down to 97.9 cents on the dollar (1Y price range: 97.9-99.9).
• Issuer: Petroleos Mexicanos (Miguel Hidalgo, Mexico) | Coupon: 4.88% | Maturity: 21/2/2028 | Rating: BB- | ISIN: XS1568888777 | Z-spread up by 17.7 bp to 516.1 bp (CDS basis: -88.9bp), with the yield to worst at 4.8% and the bond now trading down to 99.9 cents on the dollar (1Y price range: 97.7-103.3).
• Issuer: Teva Pharmaceutical Finance Netherlands II BV (Amsterdam, Netherlands) | Coupon: 1.88% | Maturity: 31/3/2027 | Rating: BB- | ISIN: XS1211044075 | Z-spread up by 16.8 bp to 381.5 bp, with the yield to worst at 3.3% and the bond now trading down to 91.7 cents on the dollar (1Y price range: 90.5-95.4).
• Issuer: Rolls-Royce PLC (Birmingham, United Kingdom) | Coupon: 1.63% | Maturity: 9/5/2028 | Rating: BB- | ISIN: XS1819574929 | Z-spread up by 15.1 bp to 311.7 bp (CDS basis: -24.8bp), with the yield to worst at 2.7% and the bond now trading down to 92.4 cents on the dollar (1Y price range: 90.4-94.1).
• Issuer: Renault SA (Boulogne-Billancourt, France) | Coupon: 2.00% | Maturity: 28/9/2026 | Rating: BB | ISIN: FR0013368206 | Z-spread up by 11.7 bp to 243.5 bp (CDS basis: -39.7bp), with the yield to worst at 2.0% and the bond now trading down to 99.5 cents on the dollar (1Y price range: 97.6-101.2).
• Issuer: Elis SA (Saint-Cloud, France) | Coupon: 1.63% | Maturity: 3/4/2028 | Rating: BB | ISIN: FR0013449998 | Z-spread up by 10.4 bp to 205.5 bp, with the yield to worst at 1.7% and the bond now trading down to 98.8 cents on the dollar (1Y price range: 95.8-99.3).
• Issuer: Fortune Star (BVI) Ltd (British Virgin Islands) | Coupon: 3.95% | Maturity: 2/10/2026 | Rating: BB- | ISIN: XS2357132849 | Z-spread up by 9.4 bp to 452.8 bp, with the yield to worst at 4.1% and the bond now trading down to 99.1 cents on the dollar (1Y price range: 98.3-102.1).

USD BOND ISSUES

• Bank of New York Mellon Corp (Financial - Other | New York City, United States | Rating: A): US$500m Senior Note (US06406RAV96), fixed rate (1.05% coupon) maturing on 15 October 2026, priced at 99.92 (original spread of 38 bp), callable (5nc5)
• Bank of New York Mellon Corp (Financial - Other | New York City, United States | Rating: A): US$500m Senior Note (US06406RAW79), fixed rate (1.80% coupon) maturing on 28 July 2031, priced at 100.00 (original spread of 61 bp), callable (10nc10)
• Blackstone Secured Lending Fund (Financial - Other | New York City, New York, United States | Rating: BBB-): US$650m Senior Note (US09261XAC65), fixed rate (2.13% coupon) maturing on 15 February 2027, priced at 98.80 (original spread of 168 bp), callable (6nc5)
• Clarios International Inc (Electronics | Milwaukee, United States | Rating: NR): US$500m Preferred Stock (US18060W2070), fixed rate (5.75% coupon) maturing on 1 August 2024, priced at 100.00, non callable, convertible
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$330m Bond (US3133EMW408), fixed rate (1.55% coupon) maturing on 26 July 2030, priced at 100.00 (original spread of 148 bp), callable (9nc1)
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$240m Bond (US3133EMV749), fixed rate (1.40% coupon) maturing on 26 April 2029, priced at 100.00 (original spread of 140 bp), callable (8nc3m)
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$115m Bond (US3133EMV822), fixed rate (1.23% coupon) maturing on 26 April 2028, priced at 100.00 (original spread of 123 bp), callable (7nc3m)
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$175m Bond (US3133EMW325), fixed rate (1.70% coupon) maturing on 28 April 2031, priced at 100.00 (original spread of 170 bp), callable (10nc3m)
• Federal Home Loan Banks (Agency | Washington, Washington Dc, United States | Rating: NR): US$300m Bond (US3130ANED82), fixed rate (1.00% coupon) maturing on 27 July 2026, priced at 100.00 (original spread of 92 bp), callable (5nc1m)
• MidAmerican Energy Co (Utility - Other | Des Moines, United States | Rating: A+): US$500m First Mortgage Bond (US595620AW50), fixed rate (2.70% coupon) maturing on 1 August 2052, priced at 99.29 (original spread of 85 bp), callable (31nc31)
• Shift4 Payments Inc (Information/Data Technology | Allentown, United States | Rating: B): US$500m Bond (US82452JAC36), fixed rate (0.50% coupon) maturing on 1 August 2027, priced at 100.00, non callable, convertible
• VMware Inc (Information/Data Technology | Palo Alto, California, United States | Rating: BBB-): US$1,000m Senior Note (US928563AG03), fixed rate (0.60% coupon) maturing on 15 August 2023, priced at 99.90 (original spread of 45 bp), with a make whole call
• VMware Inc (Information/Data Technology | Palo Alto, California, United States | Rating: BBB-): US$1,500m Senior Note (US928563AL97), fixed rate (2.20% coupon) maturing on 15 August 2031, priced at 99.80 (original spread of 100 bp), callable (10nc10)
• VMware Inc (Information/Data Technology | Palo Alto, California, United States | Rating: BBB-): US$1,250m Senior Note (US928563AH85), fixed rate (1.00% coupon) maturing on 15 August 2024, priced at 99.95 (original spread of 65 bp), callable (3nc1)
• VMware Inc (Information/Data Technology | Palo Alto, California, United States | Rating: BBB-): US$1,500m Senior Note (US928563AJ42), fixed rate (1.40% coupon) maturing on 15 August 2026, priced at 99.83 (original spread of 75 bp), callable (5nc5)
• VMware Inc (Information/Data Technology | Palo Alto, California, United States | Rating: BBB-): US$750m Senior Note (US928563AK15), fixed rate (1.80% coupon) maturing on 15 August 2028, priced at 99.48 (original spread of 90 bp), callable (7nc7)
• BNP Paribas Issuance BV (Financial - Other | Amsterdam, Noord-Holland, France | Rating: A+): US$3,097m Unsecured Note (XS2297334786) zero coupon maturing on 26 July 2023, priced at 60.00, non callable
• CPPIB Capital Inc (Financial - Other | Toronto, Ontario, Canada | Rating: NR): US$750m Senior Note (US12593CAQ42), floating rate (SOFR + 125.0 bp) maturing on 11 March 2026, priced at 104.66, non callable

EUR BOND ISSUES

• BNP Paribas Home Loan SFH SA (Financial - Other | Paris, Ile-De-France, France | Rating: AAA): €3,000m Obligation de Financement de l'Habitat (Covered Bond) (FR0014004OP5) zero coupon maturing on 21 July 2029, priced at 100.80, non callable
• BNP Paribas Issuance BV (Financial - Other | Amsterdam, Noord-Holland, France | Rating: A+): €125m Unsecured Note (XS2297334430), floating rate maturing on 27 July 2023, priced at 100.00, non callable
• Covivio Hotels SCA (Home Builders | Paris, Ile-De-France, France | Rating: BBB+): €500m Bond (FR0014004QI5), fixed rate (1.00% coupon) maturing on 27 July 2029, priced at 99.52 (original spread of 152 bp), callable (8nc8)
• Metropolitano de Tenerife SA (Railroads | San Cristobal De La Laguna, Santa Cruz De Tenerife, Spain | Rating: A): €130m Bond (ES0205597000), fixed rate (1.23% coupon) maturing on 30 July 2036, non callable
• Transdev Group SA (Transportation - Other | Issy-Les-Moulineaux, Ile-De-France, France | Rating: NR): €120m Bond (FR0014004QL9), fixed rate (1.15% coupon) maturing on 28 July 2031, priced at 100.00, with a make whole call
• United Group BV (Cable/Media | Hoofddorp, Noord-Holland, Guernsey | Rating: B): €300m Note (XS2010027618), fixed rate (4.63% coupon) maturing on 15 August 2028, priced at 100.00 (original spread of 526 bp), callable (7nc3)
• Vilogia d'HLM SA (Financial - Other | Villeneuve-D Ascq, Hauts-De-France, France | Rating: NR): €400m Bond (FR0014004QH7), floating rate (EU03MLIB + 75.0 bp) maturing on 27 July 2023, priced at 100.61, non callable

NEW LOANS

• Webhelp SAS, signed a US$ 350m Term Loan B, to be used for general corporate purposes. It matures on 07/29/28.

NEW ISSUES IN SECURITIZED CREDIT

• Blackrock European CLO XI Designated Activity Co issued a floating-rate CLO in 7 tranches, for a total of € 439 m. Highest-rated tranche offering a spread over the floating rate of 98bp, and the lowest-rated tranche a spread of 860bp. Bookrunners: BofA Securities Inc
• North Westerly V Leveraged Loan Strategies CLO DAC issued a floating-rate CLO in 8 tranches, for a total of € 440 m. Highest-rated tranche offering a spread over the floating rate of 45bp, and the lowest-rated tranche a spread of 790bp. Bookrunners: Morgan Stanley & Co