QUICK SUMMARY

• S&P 500 Bond Index was up 0.18% today, with investment grade up 0.19% and high yield up 0.14% (YTD total return: +0.64%)
• The iBoxx USD Liquid Investment Grade Total Return Index was up 0.278% today (Month-to-date: 0.79%; Year-to-date: 0.29%)
• The iBoxx USD Liquid High Yield Total Return Index was up 0.148% today (Month-to-date: 0.24%; Year-to-date: 4.15%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst down -1.0 bp, now at 86.0 bp (YTD change: -12.0 bp)
• ICE BofA US High Yield Index spread to worst down -9.0 bp, now at 322.0 bp (YTD change: -68.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index up 0.02% today (YTD total return: +3.0%)
• New issues: US$ 3.4bn in dollars and € 9.1bn in euros

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA down by -1 bp at 48 bp
• AA down by -1 bp at 57 bp
• A down by -1 bp at 72 bp
• BBB down by -1 bp at 111 bp
• BB down by -8 bp at 211 bp
• B down by -9 bp at 356 bp
• CCC down by -9 bp at 647 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y down 1.6 bp, now at 91bp (YTD change: +0.2bp)
• Markit CDX.NA.HY 5Y down 7.5 bp, now at 277bp (YTD change: -16.6bp)
• Markit iTRAXX Europe down 1.3 bp, now at 49bp (YTD change: +1.5bp)
• Markit iTRAXX Japan down 0.3 bp, now at 49bp (YTD change: -2.0bp)
• Markit iTRAXX Asia Ex-Japan unchanged at 88bp (YTD change: +30.0bp)

USD BOND ISSUES

• Fortress Transportation and Infrastructure Investors LLC (Leasing | New York City, United States | Rating: B): US$500m Senior Note (USU3458LAK71), fixed rate (5.50% coupon) maturing on 1 May 2028, priced at 100.50 (original spread of 434 bp), callable (7nc3)
• Match Group Holdings II LLC (Information/Data Technology | Dallas, United States | Rating: NR): US$500m Senior Note (US57667JAA07), fixed rate (3.63% coupon) maturing on 1 October 2031, priced at 100.00 (original spread of 237 bp), callable (10nc5)
• NFP Corp (Life Insurance | New York City, United States | Rating: B): US$225m Note (USU65103AJ92), fixed rate (4.88% coupon) maturing on 15 August 2028, priced at 101.50, callable (7nc2)
• Tap Rock Resources LLC (Oil and Gas | Golden, United States | Rating: B): US$500m Senior Note (US87602LAA08), fixed rate (7.00% coupon) maturing on 1 October 2026, priced at 100.00 (original spread of 617 bp), callable (5nc2)
• Wabash National Corp (Automotive Manufacturer | Lafayette, United States | Rating: B): US$400m Senior Note (USU9291PAD25), fixed rate (4.50% coupon) maturing on 15 October 2028, priced at 100.00 (original spread of 338 bp), callable (7nc3)
• World Acceptance Corp (Financial - Other | Greenville, United States | Rating: B): US$300m Senior Note (USU9872VAB00), fixed rate (7.00% coupon) maturing on 1 November 2026, priced at 100.00 (original spread of 616 bp), callable (5nc2)
• Taiwan Semiconductor Manufacturing Co Ltd (Electronics | Hsinchu, Hsinchu, Taiwan | Rating: AA-): US$1,000m Senior Note (TW000F168026), fixed rate (3.10% coupon) maturing on 23 September 2051, priced at 100.00, callable (30nc5)

EUR BOND ISSUES

• Agence Francaise de Developpement Epic (Agency | Paris, France | Rating: AA): €2,000m Bond (FR0014005NA6), fixed rate (0.13% coupon) maturing on 29 September 2031, priced at 99.47 (original spread of 13 bp), non callable
• Caisse Francaise de Financement Local SA (Financial - Other | Issy-Les-Moulineaux, France | Rating: NR): €750m Covered Bond (Other) (FR0014005N34), fixed rate (0.01% coupon) maturing on 1 October 2029, priced at 100.76 (original spread of 39 bp), non callable
• Caisse Francaise de Financement Local SA (Financial - Other | Issy-Les-Moulineaux, France | Rating: NR): €500m Covered Bond (Other) (FR0014005MV4), fixed rate (0.50% coupon) maturing on 1 October 2046, priced at 99.51 (original spread of 46 bp), non callable
• Dometic Group AB (publ) (Electronics | Solna, Stockholm, Sweden | Rating: BB-): €300m Senior Note (XS2391403354), fixed rate (2.00% coupon) maturing on 29 September 2028, priced at 100.00 (original spread of 254 bp), callable (7nc7)
• Hamburg Commercial Bank AG (Banking | Hamburg, Germany | Rating: BBB): €200m Inhaberschuldverschreibung (DE000HCB0A94), floating rate (EU03MLIB + 110.0 bp) maturing on 6 October 2023, priced at 101.26, non callable
• Hamburg Free and Hanseatic, City of (Official and Muni | Hamburg, Germany | Rating: AAA): €700m Jumbo Landesschatzanweisung (DE000A2LQPK4), fixed rate (0.01% coupon) maturing on 29 September 2031, priced at 100.05 (original spread of 32 bp), non callable
• ING Groep NV (Banking | Amsterdam, Netherlands | Rating: A-): €1,500m Senior Note (XS2390506546), floating rate maturing on 29 September 2028, priced at 99.29 (original spread of 111 bp), callable (7nc6)
• Kommunalkredit Austria AG (Banking | Wien | Rating: BBB-): €250m Hypothekenpfandbrief (Covered Bond) (AT0000A2T487), fixed rate (0.01% coupon) maturing on 29 September 2028, priced at 99.96 (original spread of 55 bp), non callable
• Linde PLC (Industrials - Other | Guildford, Surrey, United Kingdom | Rating: A): €700m Senior Note (XS2391860843) zero coupon maturing on 30 September 2026, priced at 100.56 (original spread of 55 bp), callable (5nc5)
• Linde PLC (Industrials - Other | Guildford, Surrey, United Kingdom | Rating: A): €700m Senior Note (XS2391865305), fixed rate (1.00% coupon) maturing on 30 September 2051, priced at 99.49 (original spread of 86 bp), callable (30nc30)
• Linde PLC (Industrials - Other | Guildford, Surrey, United Kingdom | Rating: A): €500m Senior Note (XS2391861064), fixed rate (0.38% coupon) maturing on 30 September 2033, priced at 99.65 (original spread of 73 bp), callable (12nc12)
• Nederlandse Waterschapsbank NV (Agency | S-Gravenhage, Netherlands | Rating: AAA): €1,000m Senior Note (XS2391832719), fixed rate (0.38% coupon) maturing on 29 September 2046, priced at 97.16 (original spread of 44 bp), non callable

NEW ISSUES IN SECURITIZED CREDIT

• Freddie Mac Spc Series K-1521 issued a fixed-rate Agency CMBS in 2 tranches, for a total of US$ 795 m. Highest-rated tranche offering a yield to maturity of 1.72%, and the lowest-rated tranche a yield to maturity of 1.95%. Bookrunners: Deutsche Bank Securities Inc, Wells Fargo Securities LLC
• Avant Credit Card Master Trust 2021-1 issued a fixed-rate ABS backed by receivables in 4 tranches, for a total of US$ 150 m. Highest-rated tranche offering a yield to maturity of 1.37%, and the lowest-rated tranche a yield to maturity of 4.29%. Bookrunners: JP Morgan & Co Inc, Guggenheim Securities LLC
• Accelerated 2021-1H LLC issued a fixed-rate ABS backed by timeshare loans in 4 tranches, for a total of US$ 194 m. Highest-rated tranche offering a yield to maturity of 1.35%, and the lowest-rated tranche a yield to maturity of 3.58%. Bookrunners: Deutsche Bank Securities Inc, Bank of America Merrill Lynch
• Navient Private Education Refi Loan Trust 2021-F issued a fixed-rate ABS backed by student loans in 2 tranches, for a total of US$ 991 m. Highest-rated tranche offering a yield to maturity of 1.11%, and the lowest-rated tranche a yield to maturity of 2.12%. Bookrunners: Credit Suisse, JP Morgan & Co Inc, Barclays Capital Group, RBC Capital Markets, Bank of America Merrill Lynch
• Ford Credit Auto Lease Trust 2021-B issued a floating-rate ABS backed by auto receivables in 6 tranches, for a total of US$ 1,403 m. Bookrunners: RBC Capital Markets, Citigroup Global Markets Inc, Bank of America Merrill Lynch, Credit Agricole Corporate & Investment Bank, TD Securities (USA) LLC
• Brazos Education Loan Authority Inc Series 2021-1 issued a floating-rate ABS backed by student loans in 2 tranches, for a total of US$ 649 m. Highest-rated tranche offering a spread over the floating rate of 58bp, and the lowest-rated tranche a spread of 120bp. Bookrunners: RBC Capital Markets
• Discover Card Execution Note Trust 2021-A1a2 issued a fixed-rate ABS backed by receivables in 2 tranches, for a total of US$ 1,749 m. Highest-rated tranche offering a yield to maturity of 0.58%, and the lowest-rated tranche a yield to maturity of 1.04%. Bookrunners: Barclays Capital Group, RBC Capital Markets, Citigroup Global Markets Inc, Wells Fargo Securities LLC, Bank of America Merrill Lynch