Credit
High Yield Cash Index Broadly Unchanged, While Investment Grade Bonds Fall On Wider Spreads And Higher Rates
One way to position portfolios for higher rates is to invest on a flattening of the credit curve, with higher default rates impacting the front end more than the longer end of the curve
Published ET
CDX High Yield Credit Curve Spreads | Sources: ϕpost, Refinitiv data
QUICK SUMMARY
- S&P 500 Bond Index was down -0.21% today, with investment grade down -0.24% and high yield down -0.02% (YTD total return: -0.75%)
- The iBoxx USD Liquid Investment Grade Total Return Index was down -0.35% today (Month-to-date: 0.30%; Year-to-date: -1.48%)
- The iBoxx USD Liquid High Yield Total Return Index was up 0.015% today (Month-to-date: -0.24%; Year-to-date: 3.46%)
- ICE BofA US Corporate Index (Investment Grade) spread to worst up 1.0 bp, now at 86.0 bp (YTD change: -12.0 bp)
- ICE BofA US High Yield Index spread to worst down -2.0 bp, now at 326.0 bp (YTD change: -64.0 bp)
- S&P/LSTA U.S. Leveraged Loan 100 Index down -0.01% today (YTD total return: +3.2%)
US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING
- AAA up by 1 bp at 47 bp
- AA unchanged at 56 bp
- A unchanged at 71 bp
- BBB unchanged at 110 bp
- BB down by -3 bp at 212 bp
- B down by -4 bp at 354 bp
- CCC down by -3 bp at 648 bp
CDS INDICES (mid-spreads)
- Markit CDX.NA.IG 5Y down 0.6 bp, now at 91bp (YTD change: +0.0bp)
- Markit CDX.NA.HY 5Y down 1.9 bp, now at 300bp (YTD change: +6.3bp)
- Markit iTRAXX Europe up 0.9 bp, now at 50bp (YTD change: +1.9bp)
- Markit iTRAXX Japan unchanged at 48bp (YTD change: -3.4bp)
- Markit iTRAXX Asia Ex-Japan up 1.0 bp, now at 80bp (YTD change: +22.1bp)
SELECTED RECENT USD BOND ISSUES
- Capital One Financial Corp (Financial - Other | Mc Lean, United States | Rating: BBB): US$1,250m Senior Note (US14040HCH66), floating rate maturing on 2 November 2027, priced at 100.00, callable (6nc5)
- Capital One Financial Corp (Financial - Other | Mc Lean, Virginia, United States | Rating: BBB): US$500m Senior Note (US14040HCJ23), floating rate maturing on 2 November 2032, priced at 100.00, callable (11nc10)
- Federal Home Loan Banks (Agency | Washington, Washington Dc, United States | Rating: NR): US$300m Bond (US3130APRF42), fixed rate (1.00% coupon) maturing on 15 November 2024, priced at 100.00, callable (3nc3m)
- Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$1,100m Bond (US3130APRA54), fixed rate (1.10% coupon) maturing on 15 November 2024, priced at 100.00, callable (3nc1m)
- Fifth Third Bancorp (Banking | Cincinnati, Ohio, United States | Rating: BBB+): US$500m Senior Note (US316773DD98), fixed rate (1.71% coupon) maturing on 1 November 2027, priced at 100.00, non callable
- Kimberly-Clark Corp (Health Care Supply | Irving, Texas, United States | Rating: A): US$600m Senior Note (US494368CD38), fixed rate (2.00% coupon) maturing on 2 November 2031, priced at 99.59 (original spread of 48 bp), callable (10nc10)
- Mime Petroleum AS (Oil and Gas | Lysaker, Luxembourg | Rating: NR): US$225m Bond (NO0011142036), fixed rate (10.25% coupon) maturing on 10 November 2026, priced at 97.50, callable (5nc2)
- Peru, Republic of (Government) (Sovereign | Lima, Peru | Rating: BBB): US$1,000m Bond (US715638DW93), fixed rate (3.60% coupon) maturing on 15 January 2072, priced at 96.17 (original spread of 180 bp), non callable
- Rio Tinto Finance (USA) Ltd (Financial - Other | Melbourne, Victoria, Australia | Rating: NR): US$1,250m Senior Note (US767201AT32), fixed rate (2.75% coupon) maturing on 2 November 2051, priced at 98.91 (original spread of 85 bp), with a make whole call
SELECTED RECENT EUR BOND ISSUES
- Aliaxis Finance SA (Financial - Other | Ixelles, Belgium | Rating: NR): €750m Senior Note (BE6331562817), fixed rate (0.88% coupon) maturing on 8 November 2028, priced at 99.21 (original spread of 132 bp), callable (7nc7)
- Caixa Central de Credito Agricola Mutuo CRL (Banking | Lisbon, Portugal | Rating: NR): €300m Note (PTCCCAOM0000), floating rate maturing on 5 November 2026, priced at 99.90 (original spread of 304 bp), callable (5nc4)
- Deutsche Bank AG (Banking | Frankfurt, Germany | Rating: BBB+): €500m Inhaberschuldverschreibung (DE000DB9U5K1), floating rate maturing on 22 November 2028, priced at 100.00, non callable
- Seche Environnement SA (Building Products | Change, Pays De La Loire, France | Rating: BB): €300m Senior Note (XS2399981435), fixed rate (2.25% coupon) maturing on 15 November 2028, priced at 100.00 (original spread of 262 bp), callable (7nc3)
NEW LOANS
- Simon Property Group Inc (A-), signed a US$ 3,500m Revolving Credit Facility, to be used for general corporate purposes. It matures on 01/31/26 and initial pricing is set at Other +72.5bps
- SP Richards Co Inc, signed a US$ 275m Revolving Credit Facility, to be used for general corporate purposes
- Yapi ve Kredi Bankasi AS, signed a € 397m Term Loan, to be used for finance linked-trade. It matures on 10/29/22 and initial pricing is set at EURIBOR +175bps
- Yapi ve Kredi Bankasi AS, signed a US$ 361m Term Loan, to be used for finance linked-trade. It matures on 10/29/22 and initial pricing is set at LIBOR +275bps
NEW ISSUES IN SECURITIZED CREDIT
- Freddie Mac Spc Series K-F123 issued a floating-rate Agency CMBS in 1 tranche offering a spread over the floating rate of 20bp, for a total of US$ 740 m. Bookrunners: Goldman Sachs & Co, Barclays Capital Group
- Enterprise Fleet Financing 2021-3 LLC issued a fixed-rate ABS backed by auto receivables in 3 tranches, for a total of US$ 1,000 m. Highest-rated tranche offering a yield to maturity of 0.22%, and the lowest-rated tranche a yield to maturity of 1.22%. Bookrunners: JP Morgan & Co Inc, RBC Capital Markets, Bank of America Merrill Lynch, HSBC Securities (USA) Inc
- Carnow Auto Receivables Trust 2021-2 issued a fixed-rate ABS backed by auto receivables in 5 tranches, for a total of US$ 169 m. Highest-rated tranche offering a yield to maturity of 0.73%, and the lowest-rated tranche a yield to maturity of 4.45%. Bookrunners: Deutsche Bank Securities Inc