Credit

Slight Overperformance Of High Yield Bonds Over Investment Grade Today

The primary market went very quiet after a crazy start to the week, but Deutsche Bank printed a cross-border offering of US$ 500m + €500m

Published ET

CMBX NA BBB Index Mid Price | Sources: ϕpost, Refinitiv data

CMBX NA BBB Index Mid Price | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • S&P 500 Bond Index was down -0.04% today, with investment grade down -0.04% and high yield down -0.02% (YTD total return: -0.73%)
  • ICE BofA US Corporate Index (Investment Grade) spread to worst unchanged, now at 88.0 bp (YTD change: -10.0 bp)
  • ICE BofA US High Yield Index spread to worst down -4.0 bp, now at 348.0 bp (YTD change: -42.0 bp)
  • S&P/LSTA U.S. Leveraged Loan 100 Index up 0.05% today (YTD total return: +2.0%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

  • AAA down by -1 bp at 51 bp
  • AA unchanged at 59 bp
  • A unchanged at 74 bp
  • BBB unchanged at 115 bp
  • BB down by -2 bp at 232 bp
  • B down by -6 bp at 390 bp
  • CCC down by -3 bp at 662 bp

ICE BofAML US Corporate Spreads | Sources: phipost.com, Refinitiv data:

ICE BofAML US Corporate Spreads To Worst By Rating | Sources: ϕpost, Refinitiv dataICE BofAML US Corporate IG & HY Spreads To Worst | Sources: ϕpost, Refinitiv data

CDS INDICES (mid-spreads)

  • Markit CDX.NA.IG 5Y down 0.9 bp, now at 49bp (YTD change: -1.0bp)
  • Markit CDX.NA.HY 5Y down 4.5 bp, now at 286bp (YTD change: -7.6bp)
  • Markit iTRAXX Europe down 0.6 bp, now at 46bp (YTD change: -1.8bp)
  • Markit iTRAXX Japan down 0.1 bp, now at 46bp (YTD change: -5.1bp)
  • Markit iTRAXX Asia Ex-Japan down 1.7 bp, now at 86bp (YTD change: +28.0bp)
CDX NA IG & HY Credit Spreads | Sources: ϕpost, Refinitiv dataiTRAXX Indices Mid Spreads | Sources: ϕpost, Refinitiv data

LARGEST USD CORPORATE CDS MOVES IN THE PAST WEEK

  • Talen Energy Supply LLC (Country: US; rated: BB-): down 430.4 bp to 2,601.1bp (1Y range: 875-2,689bp)
  • Carnival Corp (Country: US; rated: LGD5 - 72%): down 26.7 bp to 434.5bp (1Y range: 291-1,214bp)
  • Navient Corp (Country: US; rated: Ba3): down 11.5 bp to 280.5bp (1Y range: -279bp)
  • Bombardier Inc (Country: CA; rated: Caa1): down 10.4 bp to 426.2bp (1Y range: 391-1,912bp)
  • NRG Energy Inc (Country: US; rated: Ba1): down 9.7 bp to 164.0bp (1Y range: 108-219bp)
  • Sabre Holdings Corp (Country: US; rated: Ba3): up 9.3 bp to 369.3bp (1Y range: 337-611bp)
  • Murphy Oil Corp (Country: US; rated: Ba3): up 10.6 bp to 350.8bp (1Y range: 280-763bp)
  • Vale SA (Country: BR; rated: WR): up 11.9 bp to 153.9bp (1Y range: 126-258bp)
  • RR Donnelley & Sons Co (Country: US; rated: B2): up 15.4 bp to 527.6bp (1Y range: 447-982bp)
  • Genworth Holdings Inc (Country: US; rated: Caa1): up 20.2 bp to 535.1bp (1Y range: 447-805bp)
  • Apache Corp (Country: US; rated: WD): up 26.3 bp to 238.4bp (1Y range: 168-453bp)
  • Lumen Technologies Inc (Country: US; rated: Ba3): up 31.7 bp to 316.8bp (1Y range: 195-533bp)
  • Staples Inc (Country: US; rated: B2): up 91.4 bp to 1,073.5bp (1Y range: 652-1,707bp)
  • Transocean Inc (Country: KY; rated: Caa3): up 317.0 bp to 2,185.1bp (1Y range: 941-7,695bp)

LARGEST EURO CORPORATE CDS MOVES IN THE PAST WEEK

  • CMA CGM SA (Country: FR; rated: B1): down 18.5 bp to 323.0bp (1Y range: 321-734bp)
  • Renault SA (Country: FR; rated: A-): down 17.9 bp to 177.5bp (1Y range: 168-277bp)
  • Deutsche Lufthansa AG (Country: DE; rated: Ba2): down 15.5 bp to 246.9bp (1Y range: 236-421bp)
  • Thyssenkrupp AG (Country: DE; rated: B1): down 10.9 bp to 254.2bp (1Y range: 206-479bp)
  • Virgin Media Finance PLC (Country: GB; rated: WR): down 9.8 bp to 233.7bp (1Y range: 220-325bp)
  • UPC Holding BV (Country: NL; rated: LGD6 - 93%): down 9.7 bp to 209.2bp (1Y range: 200-315bp)
  • Stellantis NV (Country: NL; rated: BBB): down 9.1 bp to 88.5bp (1Y range: 88-569bp)
  • Louis Dreyfus Co BV (Country: NL; rated: ): down 8.7 bp to 100.1bp (1Y range: -103bp)
  • TUI AG (Country: DE; rated: LGD4 - 50%): down 8.4 bp to 736.9bp (1Y range: 590-1,799bp)
  • Jaguar Land Rover Automotive PLC (Country: GB; rated: WD): down 8.3 bp to 355.8bp (1Y range: 339-891bp)
  • Lagardere SA (Country: FR; rated: B): down 7.5 bp to 207.8bp (1Y range: 209-350bp)
  • Marks and Spencer PLC (Country: GB; rated: Ba1): down 7.5 bp to 188.8bp (1Y range: 174-349bp)
  • Novafives SAS (Country: FR; rated: Caa1): up 9.8 bp to 887.0bp (1Y range: 716-1,205bp)
  • Altice Finco SA (Country: LU; rated: Caa1): up 10.7 bp to 359.9bp (1Y range: 317-477bp)

USD BOND ISSUES

  • A10 Capital LLC (Financial - Other | Boise, Idaho, United States | Rating: NR): US$165m Note (US66982EAA01), fixed rate (5.88% coupon) maturing on 17 August 2026, priced at 100.00, callable (5nc2)
  • Deutsche Bank AG (Banking | Frankfurt, Hessen, Germany | Rating: BBB): US$500m Note (XS0459858220), fixed rate (1.20% coupon) maturing on 2 September 2026, priced at 100.00, non callable

EUR BOND ISSUES

  • Deutsche Bank AG (Banking | Frankfurt, Hessen, Germany | Rating: BBB+): €500m Inhaberschuldverschreibung (DE000DB9U4T5), floating rate maturing on 6 September 2028, priced at 100.00, non callable
  • Raiffeisen Landesbank Steiermark AG (Banking | Graz, Austria | Rating: BBB+): €250m Fundierte Schuldverschreibungen (Covered Bond) (AT000B093588), floating rate (EU03MLIB + 0.0 bp) maturing on 25 August 2025, priced at 100.00, non callable

NEW ISSUES IN SECURITIZED CREDIT

  • MFA 2021-Nqm2 issued a fixed-rate RMBS in 5 tranches, for a total of US$ 277 m. Highest-rated tranche offering a yield to maturity of 1.03%, and the lowest-rated tranche a yield to maturity of 3.27%. Bookrunners: Barclays Capital Group, Credit Suisse Securities (USA) LLC