QUICK SUMMARY

• S&P 500 Bond Index was up 0.49% today, with investment grade up 0.50% and high yield up 0.41% (YTD total return: +0.20%)
• The iBoxx USD Liquid Investment Grade Total Return Index was up 0.266% today (Month-to-date: -0.09%; Year-to-date: -0.23%)
• The iBoxx USD Liquid High Yield Total Return Index was up 0.200% today (Month-to-date: 0.57%; Year-to-date: 3.82%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst unchanged 0.0 bp, now at 88.0 bp (YTD change: -10.0 bp)
• ICE BofA US High Yield Index spread to worst down -2.0 bp, now at 328.0 bp (YTD change: -62.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index up 0.14% today (YTD total return: +2.5%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA unchanged at 49 bp
• AA unchanged at 59 bp
• A unchanged at 73 bp
• BBB unchanged at 114 bp
• BB unchanged at 219 bp
• B down by -1 bp at 370 bp
• CCC up by 1 bp at 635 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y down 0.3 bp, now at 87bp (YTD change: -3.4bp)
• Markit CDX.NA.HY 5Y down 0.3 bp, now at 275bp (YTD change: -18.1bp)
• Markit iTRAXX Europe unchanged at 45bp (YTD change: -2.7bp)
• Markit iTRAXX Japan down 0.5 bp, now at 44bp (YTD change: -7.4bp)
• Markit iTRAXX Asia Ex-Japan down 4.0 bp, now at 67bp (YTD change: +8.9bp)

TOP BONDS MOVES IN THE PAST WEEK - USD HY

• Issuer: Bonitron DAC (DUBLIN, Ireland) | Coupon: 9.00% | Maturity: 22/10/2025 | Rating: B- | ISIN: XS2243344434 | Z-spread up by 57.4 bp to 735.2 bp, with the yield to worst at 7.6% and the bond now trading down to 103.9 cents on the dollar (1Y price range: 103.9-109.9).
• Issuer: WeWork Companies Inc (New York City, New York (US)) | Coupon: 7.88% | Maturity: 1/5/2025 | Rating: CC | ISIN: USU96217AA99 | Z-spread up by 54.2 bp to 791.1 bp, with the yield to worst at 8.0% and the bond now trading down to 98.5 cents on the dollar (1Y price range: 67.5-104.8).
• Issuer: EnLink Midstream LLC (Dallas, Texas (US)) | Coupon: 5.63% | Maturity: 15/1/2028 | Rating: BB | ISIN: USU26790AB82 | Z-spread up by 42.8 bp to 430.5 bp, with the yield to worst at 5.1% and the bond now trading down to 101.6 cents on the dollar (1Y price range: 96.8-107.4).
• 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 38.0 bp to 1,032.3 bp, with the yield to worst at 10.4% and the bond now trading down to 97.9 cents on the dollar (1Y price range: 97.8-107.0).
• Issuer: NCL Finance Ltd (#N/A, United Kingdom) | Coupon: 6.13% | Maturity: 15/3/2028 | Rating: CCC+ | ISIN: USG6437FAA78 | Z-spread down by 34.4 bp to 493.8 bp, with the yield to worst at 5.7% and the bond now trading up to 101.0 cents on the dollar (1Y price range: 98.3-105.9).
• Issuer: Banistmo SA (PANAMA CITY, Panama) | Coupon: 3.65% | Maturity: 19/9/2022 | Rating: BB+ | ISIN: USP15383AC95 | Z-spread down by 35.3 bp to 186.3 bp, with the yield to worst at 1.9% and the bond now trading up to 101.7 cents on the dollar (1Y price range: 101.2-103.5).
• Issuer: Rockies Express Pipeline LLC (Leawood, Kansas (US)) | Coupon: 4.95% | Maturity: 15/7/2029 | Rating: BB | ISIN: USU75111AJ00 | Z-spread down by 37.7 bp to 321.2 bp, with the yield to worst at 4.2% and the bond now trading up to 104.0 cents on the dollar (1Y price range: 101.3-107.8).
• Issuer: Resorts World Las Vegas LLC (Las Vegas, Nevada (US)) | Coupon: 4.63% | Maturity: 16/4/2029 | Rating: BB | ISIN: USU76198AA52 | Z-spread down by 38.7 bp to 305.6 bp, with the yield to worst at 4.1% and the bond now trading up to 102.9 cents on the dollar (1Y price range: 98.1-105.8).
• Issuer: Wynn Las Vegas LLC (Las Vegas, Nevada (US)) | Coupon: 5.50% | Maturity: 1/3/2025 | Rating: B+ | ISIN: USU98347AK05 | Z-spread down by 41.6 bp to 285.1 bp, with the yield to worst at 3.1% and the bond now trading up to 106.4 cents on the dollar (1Y price range: 102.5-108.3).
• Issuer: American Airlines Group Inc (Fort Worth, Texas (US)) | Coupon: 3.75% | Maturity: 1/3/2025 | Rating: CCC | ISIN: USU0242AAD47 | Z-spread down by 44.8 bp to 653.9 bp (CDS basis: 58.7bp), with the yield to worst at 6.9% and the bond now trading up to 90.0 cents on the dollar (1Y price range: 71.0-93.1).
• Issuer: Dilijan Finance BV (Amsterdam, Netherlands) | Coupon: 6.50% | Maturity: 28/1/2025 | Rating: B+ | ISIN: XS2080321198 | Z-spread down by 47.9 bp to 598.6 bp, with the yield to worst at 6.1% and the bond now trading up to 100.1 cents on the dollar (1Y price range: 93.6-101.0).
• Issuer: Royal Caribbean Cruises Ltd (Miami) | Coupon: 4.25% | Maturity: 1/7/2026 | Rating: B | ISIN: USV7780TAF04 | Z-spread down by 48.8 bp to 395.0 bp (CDS basis: -22.5bp), with the yield to worst at 4.5% and the bond now trading up to 97.8 cents on the dollar (1Y price range: 94.1-100.9).
• Issuer: YPF SA (Buenos Aires, Argentina) | Coupon: 6.95% | Maturity: 21/7/2027 | Rating: CCC | ISIN: USP989MJBL47 | Z-spread down by 75.7 bp to 1,240.4 bp, with the yield to worst at 12.7% and the bond now trading up to 76.0 cents on the dollar (1Y price range: 56.6-76.0).

Option-adjusted spreads on Lufthansa and International Consolidated Airlines Group 2029 Bonds (XS2322423539 & XS2363235107)

TOP BONDS MOVES IN THE PAST WEEK - EUR HY

• Issuer: Teva Pharmaceutical Finance Netherlands II BV (Amsterdam, Netherlands) | Coupon: 1.88% | Maturity: 31/3/2027 | Rating: BB- | ISIN: XS1211044075 | Z-spread up by 9.2 bp to 357.8 bp, with the yield to worst at 3.1% and the bond now trading down to 93.1 cents on the dollar (1Y price range: 90.5-95.4).
• Issuer: Adler Group SA (Senningerberg, Luxembourg) | Coupon: 2.25% | Maturity: 27/4/2027 | Rating: BB+ | ISIN: XS2336188029 | Z-spread down by 8.4 bp to 330.0 bp, with the yield to worst at 2.8% and the bond now trading up to 96.2 cents on the dollar (1Y price range: 94.3-100.2).
• Issuer: Autostrade per l'Italia SpA (Rome, Italy) | Coupon: 1.88% | Maturity: 26/9/2029 | Rating: BB- | ISIN: XS1688199949 | Z-spread down by 9.2 bp to 141.9 bp (CDS basis: -11.9bp), with the yield to worst at 1.1% and the bond now trading up to 104.7 cents on the dollar (1Y price range: 98.5-104.7).
• Issuer: Saipem Finance International BV (Amsterdam, Netherlands) | Coupon: 3.13% | Maturity: 31/3/2028 | Rating: BB | ISIN: XS2325696628 | Z-spread down by 9.3 bp to 317.4 bp (CDS basis: 49.2bp), with the yield to worst at 2.8% and the bond now trading up to 101.2 cents on the dollar (1Y price range: 98.5-102.9).
• Issuer: Fortune Star (BVI) Ltd (British Virgin Islands) | Coupon: 3.95% | Maturity: 2/10/2026 | Rating: BB- | ISIN: XS2357132849 | Z-spread down by 10.5 bp to 492.7 bp, with the yield to worst at 4.5% and the bond now trading up to 97.5 cents on the dollar (1Y price range: 96.5-102.1).
• Issuer: Deutsche Lufthansa AG (Cologne, Germany) | Coupon: 3.50% | Maturity: 14/7/2029 | Rating: BB- | ISIN: XS2363235107 | Z-spread down by 11.3 bp to 354.8 bp (CDS basis: -51.5bp), with the yield to worst at 3.2% and the bond now trading up to 101.0 cents on the dollar (1Y price range: 97.7-102.1).
• Issuer: International Consolidated Airlines Group SA (London) | Coupon: 3.75% | Maturity: 25/3/2029 | Rating: B+ | ISIN: XS2322423539 | Z-spread down by 12.2 bp to 395.7 bp, with the yield to worst at 3.6% and the bond now trading up to 100.0 cents on the dollar (1Y price range: 97.5-102.0).
• Issuer: SoftBank Group Corp (Minato-Ku, Japan) | Coupon: 3.38% | Maturity: 6/7/2029 | Rating: BB+ | ISIN: XS2361255057 | Z-spread down by 14.1 bp to 405.6 bp, with the yield to worst at 3.7% and the bond now trading up to 97.0 cents on the dollar (1Y price range: 95.3-99.9).
• Issuer: Petroleos Mexicanos (Miguel Hidalgo, Mexico) | Coupon: 4.88% | Maturity: 21/2/2028 | Rating: BB- | ISIN: XS1568888777 | Z-spread down by 16.7 bp to 502.1 bp (CDS basis: -97.4bp), with the yield to worst at 4.6% and the bond now trading up to 100.8 cents on the dollar (1Y price range: 97.7-103.3).

USD BOND ISSUES

• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, United States | Rating: AA+): US$225m Bond (US3133EM4J87), fixed rate (2.15% coupon) maturing on 7 March 2036, priced at 100.00 (original spread of 88 bp), callable (15nc3m)
• Bank of Montreal (Toronto Branch) (Banking | Toronto, Canada | Rating: NR): US$250m Unsecured Note (XS2383659377) zero coupon maturing on 23 September 2061, priced at 100.00, non callable
• Guangzhou Metro Investment Finance BVI Ltd (Financial - Other | Rating: NR): US$200m Unsecured Note (XS2382853997), fixed rate (1.00% coupon) maturing on 21 September 2026, priced at 100.00, non callable
• Industrial and Commercial Bank of China Ltd (Hong Kong Branch) (Banking | China (Mainland) | Rating: NR): US$500m Unsecured Note (XS2381043350), fixed rate (1.25% coupon) maturing on 20 September 2026, priced at 100.00, non callable
• Lai Sun MTN Ltd (Financial - Other | Hong Kong | Rating: NR): US$400m Unsecured Note (XS2382904063), fixed rate (5.00% coupon) maturing on 28 July 2026, priced at 100.00, non callable
• Single Platform Investment Repackaging Entity SA (Financial - Other | Luxembourg, Netherlands | Rating: NR): US$193m Unsecured Note (XS2378758267) zero coupon maturing on 20 June 2051, priced at 51.82, non callable
• Toyota Finance Australia Ltd (Financial - Other | New South Wales, Japan | Rating: A+): US$112m Unsecured Note (XS2378501576), fixed rate (1.00% coupon) maturing on 28 August 2026, priced at 100.00, non callable

NEW LOANS

• CMOC Ltd, signed a US$ 504m Term Loan maturing on 05/27/22, to be used for refinancing and returning bank debt