QUICK SUMMARY

• S&P 500 Bond Index was down -0.08% today, with investment grade down -0.09% and high yield down -0.03% (YTD total return: -0.86%)
• The iBoxx USD Liquid Investment Grade Total Return Index was down -0.196% today (Month-to-date: -1.30%; Year-to-date: -1.78%)
• The iBoxx USD Liquid High Yield Total Return Index was down -0.065% today (Month-to-date: -0.17%; Year-to-date: 3.71%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst up 2.0 bp, now at 84.0 bp (YTD change: -14.0 bp)
• ICE BofA US High Yield Index spread to worst up 7.0 bp, now at 331.0 bp (YTD change: -59.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index up 0.01% today (YTD total return: +3.2%)
• New issues: US$ 12.3bn in dollars and € 1.9bn in euros

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA up by 2 bp at 47 bp
• AA up by 1 bp at 55 bp
• A up by 1 bp at 70 bp
• BBB up by 3 bp at 110 bp
• BB up by 5 bp at 218 bp
• B up by 7 bp at 364 bp
• CCC up by 22 bp at 654 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y up 1.1 bp, now at 92bp (YTD change: +1.7bp)
• Markit CDX.NA.HY 5Y up 4.9 bp, now at 302bp (YTD change: +8.7bp)
• Markit iTRAXX Europe up 0.5 bp, now at 50bp (YTD change: +2.1bp)
• Markit iTRAXX Japan unchanged at 48bp (YTD change: -3.8bp)
• Markit iTRAXX Asia Ex-Japan down 1.8 bp, now at 84bp (YTD change: +26.4bp)

USD CDS SINGLE NAMES - LARGEST MOVES IN THE PAST WEEK

• Transocean Inc (Country: KY; rated: Caa3): down 201.9 bp to 1,579.1bp (1Y range: 941-7,695bp)
• Genworth Holdings Inc (Country: US; rated: B2): down 29.0 bp to 477.4bp (1Y range: 447-681bp)
• Pactiv LLC (Country: US; rated: Caa1): up 17.7 bp to 446.3bp (1Y range: 232-458bp)
• NRG Energy Inc (Country: US; rated: Ba1): up 18.3 bp to 157.2bp (1Y range: 108-219bp)
• Kohls Corp (Country: US; rated: BBB): up 19.2 bp to 147.5bp (1Y range: 101-332bp)
• Toll Brothers Inc (Country: US; rated: Ba1): up 20.5 bp to 119.3bp (1Y range: 82-138bp)
• CCO Holdings LLC (Country: US; rated: WR): up 21.8 bp to 141.3bp (1Y range: 94-157bp)
• Nordstrom Inc (Country: US; rated: Ba1): up 23.1 bp to 267.9bp (1Y range: 211-684bp)
• CSC Holdings LLC (Country: US; rated: LGD3 - 30%): up 24.9 bp to 321.9bp (1Y range: -322bp)
• KB Home (Country: US; rated: Ba2): up 29.1 bp to 183.0bp (1Y range: 129-211bp)
• Beazer Homes USA Inc (Country: US; rated: B2): up 35.6 bp to 360.9bp (1Y range: 231-363bp)
• Macy's Inc (Country: US; rated: Ba2): up 37.4 bp to 246.9bp (1Y range: 190-1,212bp)
• Navient Corp (Country: US; rated: Ba3): up 67.6 bp to 325.7bp

EURO CDS SINGLE NAMES - LARGEST MOVES IN THE PAST WEEK

• Unilabs SubHolding AB (publ) (Country: SE; rated: B2): down 23.1 bp to 193.0bp (1Y range: -193bp)
• Rolls-Royce PLC (Country: GB; rated: BB-): down 23.0 bp to 189.5bp (1Y range: 190-514bp)
• Air France KLM SA (Country: FR; rated: B-): down 9.4 bp to 384.3bp (1Y range: 384-1,211bp)
• Ardagh Packaging Finance PLC (Country: IE; rated: B1): up 9.5 bp to 236.3bp (1Y range: 188-267bp)
• Ineos Group Holdings SA (Country: LU; rated: LGD5 - 88%): up 10.3 bp to 229.5bp (1Y range: 199-447bp)
• Jaguar Land Rover Automotive PLC (Country: GB; rated: WD): up 12.5 bp to 436.2bp (1Y range: 339-852bp)
• Ladbrokes Coral Group Ltd (Country: GB; rated: WR): up 13.1 bp to 123.7bp (1Y range: 107-227bp)
• Virgin Media Finance PLC (Country: GB; rated: WR): up 13.2 bp to 255.6bp (1Y range: 222-297bp)
• Novafives SAS (Country: FR; rated: Caa1): up 16.5 bp to 685.8bp (1Y range: 660-1,205bp)
• Boparan Finance PLC (Country: GB; rated: WR): up 17.0 bp to 1,047.2bp (1Y range: 478-1,075bp)
• Iceland Bondco PLC (Country: GB; rated: LGD3 - 46%): up 17.4 bp to 531.1bp (1Y range: 358-651bp)
• CMA CGM SA (Country: FR; rated: Ba3): up 26.5 bp to 298.7bp (1Y range: 259-734bp)
• Casino Guichard Perrachon SA (Country: FR; rated: WR): up 27.1 bp to 574.1bp (1Y range: 464-1,187bp)
• Lagardere SA (Country: FR; rated: B): up 28.9 bp to 143.4bp (1Y range: 143-350bp)
• Altice Finco SA (Country: LU; rated: Caa1): up 42.4 bp to 419.4bp (1Y range: 333-472bp)

USD BOND ISSUES

• American Finance Trust Inc (Real Estate Investment Trust | New York City, United States | Rating: BB+): US$500m Senior Note (US02608AAA79), fixed rate (4.50% coupon) maturing on 30 September 2028, priced at 100.00 (original spread of 320 bp), non callable
• 180 Medical Inc (Health Care Supply | Oklahoma City, United Kingdom | Rating: NR): US$500m Senior Note (USU68355AA17), fixed rate (3.88% coupon) maturing on 15 October 2029, priced at 100.00 (original spread of 253 bp), callable (8nc3)
• Becle SAB de CV (Retail Stores - Food/Drug | Alvaro Obregon, Mexico | Rating: BBB): US$800m Senior Note (USP0929YAA49), fixed rate (2.50% coupon) maturing on 14 October 2031, priced at 98.98 (original spread of 114 bp), callable (10nc10)
• Blue Owl Finance LLC (Financial - Other | Rating: BBB): US$350m Senior Note (US09581JAC09), fixed rate (4.13% coupon) maturing on 7 October 2051, priced at 97.51 (original spread of 255 bp), callable (30nc30)
• Cobra Acquisitionco LLC (Financial - Other | Rating: B-): US$400m Senior Note (US19106CAA45), fixed rate (6.38% coupon) maturing on 1 November 2029, priced at 100.00 (original spread of 519 bp), callable (8nc3)
• Consolidated Energy Finance SA (Financial - Other | Strassen, Switzerland | Rating: B+): US$525m Senior Note (US20914UAF30), fixed rate (5.63% coupon) maturing on 15 October 2028, priced at 100.00 (original spread of 453 bp), callable (7nc3)
• Deutsche Bank AG (Banking | Frankfurt, Hessen, Germany | Rating: BBB+): US$200m Note (XS2394051002) zero coupon maturing on 20 October 2055, priced at 100.00, callable (34nc5)
• Guatemala, Republic of (Government) (Sovereign | Guatemala City, Guatemala | Rating: BB-): US$500m Bond (USP5015VAM83), fixed rate (3.70% coupon) maturing on 7 October 2033, priced at 97.63, non callable
• Guatemala, Republic of (Government) (Sovereign | Guatemala City, Guatemala | Rating: BB-): US$500m Bond (US401494AU31), fixed rate (4.65% coupon) maturing on 7 October 2041, priced at 97.46, non callable
• LSF11 A5 Holdco LLC (Financial - Other | Rating: B-): US$350m Senior Note (US50221DAA72), fixed rate (6.63% coupon) maturing on 15 October 2029, priced at 100.00 (original spread of 524 bp), callable (8nc1m)
• Mozart Debt Merger Sub Inc (Financial - Other | Rating: B+): US$4,500m Note (US62482BAA08), fixed rate (3.88% coupon) maturing on 1 April 2029, priced at 100.00 (original spread of 251 bp), callable (7nc3)
• Mozart Debt Merger Sub Inc (Financial - Other | Rating: NR): US$2,500m Senior Note (US62482BAB80), fixed rate (5.25% coupon) maturing on 1 October 2029, priced at 100.00 (original spread of 394 bp), callable (8nc3)
• Northwest Fiber LLC (Telecommunications | Everett | Rating: B): US$350m Note (US667449AD42), fixed rate (4.75% coupon) maturing on 30 April 2027, priced at 100.00 (original spread of 365 bp), callable (6nc2)
• Welltec International ApS (Oilfield Machinery and Services | Alleroed, Denmark | Rating: B-): US$325m Note (US95039LAA61), fixed rate (8.25% coupon) maturing on 15 October 2026, priced at 100.00 (original spread of 724 bp), callable (5nc2)

EUR BOND ISSUES

• American Tower Corp (Real Estate Investment Trust | Boston, United States | Rating: BBB-): €500m Senior Note (XS2393701284), fixed rate (0.40% coupon) maturing on 15 February 2027, priced at 99.41 (original spread of 107 bp), callable (5nc5)
• Bank of Nova Scotia (Banking | Toronto, Ontario, Canada | Rating: A): €140m Senior Note (XS2394144609), fixed rate (0.62% coupon) maturing on 15 October 2041, priced at 100.00, non callable
• Consolidated Energy Finance SA (Financial - Other | Strassen, Switzerland | Rating: B+): €250m Senior Note (XS2393692434), fixed rate (5.00% coupon) maturing on 15 October 2028, priced at 100.00 (original spread of 540 bp), callable (7nc3)
• Laender No 61 (Official and Muni | Germany | Rating: NR): €1,000m Jumbo Landesschatzanweisung (DE000A3MP5P6), fixed rate (0.01% coupon) maturing on 8 October 2027, priced at 101.20 (original spread of 33 bp), non callable

NEW LOANS

• Midland Cogeneration Venture (BBB-), signed a US$ 330m Term Loan maturing on 09/28/28, to be used for project finance

NEW ISSUES IN SECURITIZED CREDIT

• Penta CLO 2021-2 Designated Activity Co issued a floating-rate CLO in 8 tranches, for a total of € 409 m. Highest-rated tranche offering a spread over the floating rate of 101bp, and the lowest-rated tranche a spread of 890bp. Bookrunners: Morgan Stanley International Ltd
• GS Mortgage Securities Corp Trust 2021-Ip issued a floating-rate CMBS in 6 tranches, for a total of US$ 453 m. Highest-rated tranche offering a spread over the floating rate of 95bp, and the lowest-rated tranche a spread of 455bp. Bookrunners: Goldman Sachs & Co
• Golden Creek Asset Trust 2021-Nqm5 issued a fixed-rate RMBS in 5 tranches, for a total of US$ 337 m. Highest-rated tranche offering a yield to maturity of 1.26%, and the lowest-rated tranche a yield to maturity of 2.59%. Bookrunners: Credit Suisse
• Farm 2021-1 Mortgage Trust issued a fixed-rate Agency RMBS in 2 tranches, for a total of US$ 300 m. Bookrunners: Credit Suisse
• Lendingpoint 2021-B Asset Securitization Trust issued a fixed-rate ABS backed by consumer loan in 4 tranches, for a total of US$ 400 m. Highest-rated tranche offering a yield to maturity of 1.11%, and the lowest-rated tranche a yield to maturity of 6.12%. Bookrunners: Credit Suisse, Guggenheim Securities LLC
• Aqua Finance Trust 2021-A issued a fixed-rate ABS backed by consumer loan in 3 tranches, for a total of US$ 759 m. Highest-rated tranche offering a yield to maturity of 1.54%, and the lowest-rated tranche a yield to maturity of 3.14%. Bookrunners: Credit Suisse, Goldman Sachs & Co, KeyBanc Capital Markets Inc