Credit

USD Corporate Cash Indices Fell This Week, With IG Down 1.23% And HY Down 0.35%

Weekly US corporate bond issuance totals (IFR data): IG raised US$25.1bn in 37 tranches (YTD volume at $1.36 trn vs $1.7trn in 2020) and HY $13.9bn in 16 tranches (YTD volume at $442.4bn vs $388.7bn in 2020)

Published ET

ICE BofA US Corporate Spreads Weekly Performance | Sources: ϕpost, FactSet data

ICE BofA US Corporate Spreads Weekly Performance | Sources: ϕpost, FactSet data

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QUICK SUMMARY

  • S&P 500 Bond Index was down -0.23% today, with investment grade down -0.23% and high yield down -0.25% (YTD total return: -0.65%)
  • The iBoxx USD Liquid Investment Grade Total Return Index was down -0.264% today (Month-to-date: -0.13%; Year-to-date: -1.56%)
  • The iBoxx USD Liquid High Yield Total Return Index was down -0.139% today (Month-to-date: 0.28%; Year-to-date: 3.68%)
  • ICE BofA US Corporate Index (Investment Grade) spread to worst up 1.0 bp, now at 88.0 bp (YTD change: -10.0 bp)
  • ICE BofA US High Yield Index spread to worst up 4.0 bp, now at 329.0 bp (YTD change: -61.0 bp)
  • S&P/LSTA U.S. Leveraged Loan 100 Index up 0.01% today (YTD total return: +3.4%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

  • AAA up by 1 bp at 51 bp
  • AA up by 1 bp at 57 bp
  • A up by 1 bp at 73 bp
  • BBB up by 1 bp at 112 bp
  • BB up by 1 bp at 210 bp
  • B up by 4 bp at 357 bp
  • CCC up by 6 bp at 649 bp

ICE BofA Corproate Credit Spread by Rating | Sources: phipost.com, Refinitiv data

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

CDS INDICES (mid-spreads)

  • Markit CDX.NA.IG 5Y down 0.5 bp, now at 90bp (YTD change: -0.1bp)
  • Markit CDX.NA.HY 5Y down 1.4 bp, now at 295bp (YTD change: +1.5bp)
  • Markit iTRAXX Europe up 0.1 bp, now at 49bp (YTD change: +0.9bp)
  • Markit iTRAXX Japan unchanged 0.0 bp, now at 47bp (YTD change: -4.3bp)
  • Markit iTRAXX Asia Ex-Japan down 0.8 bp, now at 89bp (YTD change: +30.6bp)
CDX.NA IG & HY Credit Indices Mid Spreads | Sources: ϕpost, Refinitiv dataiTRAXX Credit Indices Mid Spreads | Sources: ϕpost, Refinitiv data

USD CDS SINGLE NAMES - LARGEST MOVES IN THE PAST WEEK

  • RR Donnelley & Sons Co (Country: US; rated: B2): down 60.6 bp to 227.1bp (1Y range: 227-712bp)
  • Turkiye Is Bankasi AS (Country: TR; rated: WD): down 22.5 bp to 544.2bp (1Y range: 482-682bp)
  • NOVA Chemicals Corp (Country: CA; rated: Discontinued): down 17.2 bp to 270.0bp (1Y range: 243-362bp)
  • Beazer Homes USA Inc (Country: US; rated: B2): down 16.5 bp to 335.1bp (1Y range: 231-388bp)
  • Genworth Holdings Inc (Country: US; rated: B2): down 14.8 bp to 340.4bp (1Y range: 340-681bp)
  • Russia, Federation of (Government) (Country: RU; rated: P-3): up 14.3 bp to 94.6bp (1Y range: 74-119bp)
  • Avis Budget Group Inc (Country: US; rated: CCC): up 15.0 bp to 198.8bp (1Y range: 183-505bp)
  • Rite Aid Corp (Country: US; rated: B3): up 16.4 bp to 958.8bp (1Y range: 497-990bp)
  • Central Bank of Tunisia (Country: TN; rated: ): up 19.9 bp to 833.2bp (1Y range: 300-833bp)
  • Royal Caribbean Cruises Ltd (Country: US; rated: LGD4 - 59%): up 27.1 bp to 326.0bp (1Y range: 299-850bp)
  • Akbank TAS (Country: TR; rated: Ba3): up 28.4 bp to 536.3bp (1Y range: 397-573bp)
  • Carnival Corp (Country: US; rated: LGD5 - 72%): up 44.7 bp to 365.8bp (1Y range: 291-639bp)
  • DISH DBS Corp (Country: US; rated: B2): up 62.7 bp to 479.8bp (1Y range: 317-481bp)
  • Transocean Inc (Country: KY; rated: Caa3): up 122.1 bp to 1,805.5bp (1Y range: 941-6,378bp)
  • Talen Energy Supply LLC (Country: US; rated: B3): up 286.5 bp to 2,391.9bp (1Y range: 875-5,047bp)

EURO CDS SINGLE NAMES - LARGEST MOVES IN THE PAST WEEK

  • Marks and Spencer PLC (Country: GB; rated: Ba1): down 11.3 bp to 156.0bp (1Y range: 139-267bp)
  • Air France KLM SA (Country: FR; rated: B-): down 8.9 bp to 380.2bp (1Y range: 380-780bp)
  • Alstom SA (Country: FR; rated: P-2): down 7.1 bp to 70.9bp (1Y range: 38-83bp)
  • Cable & Wireless Ltd (Country: GB; rated: WR): down 7.1 bp to 41.9bp (1Y range: 42-143bp)
  • Syngenta AG (Country: CH; rated: Ba2): down 5.6 bp to 99.6bp (1Y range: 89-288bp)
  • Thyssenkrupp AG (Country: DE; rated: B1): up 5.7 bp to 249.6bp (1Y range: 206-358bp)
  • Ardagh Packaging Finance PLC (Country: IE; rated: B1): up 6.6 bp to 261.3bp (1Y range: 188-280bp)
  • Novafives SAS (Country: FR; rated: Caa1): up 8.3 bp to 764.2bp (1Y range: 660-983bp)
  • Altice Finco SA (Country: LU; rated: Caa1): up 9.2 bp to 394.6bp (1Y range: 333-481bp)
  • Stonegate Pub Company Financing PLC (Country: GB; rated: WR): up 10.4 bp to 504.2bp (1Y range: 471-694bp)
  • Virgin Media Finance PLC (Country: GB; rated: WR): up 15.7 bp to 253.5bp (1Y range: 222-288bp)
  • Deutsche Lufthansa AG (Country: DE; rated: Ba2): up 17.0 bp to 228.5bp (1Y range: 209-348bp)
  • Telecom Italia SpA (Country: IT; rated: Ba2): up 26.5 bp to 202.5bp (1Y range: 149-203bp)
  • Iceland Bondco PLC (Country: GB; rated: LGD3 - 46%): up 35.2 bp to 608.0bp (1Y range: 358-646bp)
  • Boparan Finance PLC (Country: GB; rated: WR): up 199.0 bp to 1,473.0bp (1Y range: 528-1,473bp)

SELECTED RECENT USD BOND ISSUES

  • Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$375m Bond (US3130APWH43), fixed rate (0.75% coupon) maturing on 22 November 2023, priced at 100.00 (original spread of 68 bp), callable (2nc1m)
  • Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$120m Bond (US3130APWA99), fixed rate (0.68% coupon) maturing on 17 November 2023, priced at 100.00 (original spread of 18 bp), callable (2nc1m)
  • Bahrain, Kingdom of (Government) (Sovereign | Manama, Bahrain | Rating: B): US$1,000m Senior Note (XS2408003064), fixed rate (5.63% coupon) maturing on 18 May 2034, priced at 100.00 (original spread of 406 bp), non callable
  • EVE Battery Investment Ltd (Financial - Other | Huizhou, Guangdong | Rating: NR): US$350m Bond (XS2383419061), fixed rate (0.75% coupon) maturing on 22 November 2026, priced at 100.00, non callable, convertible
  • Kagoshima, Prefecture of (Official and Muni | Kagoshima-Shi, Kagoshima-Ken, Japan | Rating: NR): US$10,000m Bond (JP2460002MB6), fixed rate (2.00% coupon) maturing on 26 November 2031, priced at 100.00, non callable
  • Minghu International (BVI) Investment Development Co Ltd (Financial - Other | Jinan, China (Mainland) | Rating: NR): US$250m Bond (XS2373867956), fixed rate (3.40% coupon) maturing on 16 November 2024, priced at 100.00, non callable
  • Nomura International Funding Pte Ltd (Financial - Other | Singapore | Rating: NR): US$2,500m Unsecured Note (XS2218124845), floating rate maturing on 22 November 2031, priced at 100.00, non callable
  • Taishan Financial International Business Co Ltd (Financial - Other | Road Town, British Virgin Islands | Rating: NR): US$300m Bond (XS2395417392), fixed rate (3.50% coupon) maturing on 18 November 2024, priced at 100.00, non callable

SELECTED RECENT EUR BOND ISSUES

  • La Poste SA (Agency | Paris, Ile-De-France, France | Rating: A+): €200m Bond (FR0014006JR6), fixed rate (1.00% coupon) maturing on 17 September 2034, non callable
  • La Poste SA (Agency | Paris, Ile-De-France, France | Rating: A+): €200m Bond (FR0014006JQ8) zero coupon maturing on 18 July 2029, priced at 97.34, non callable

NEW LOANS

  • Chailease Int'l Finance Corp, signed a US$ 250m Term Loan, to be used for working capital. It matures on 11/09/24 and initial pricing is set at LIBOR +140.000bps
  • US Foods Inc, signed a US$ 900m Term Loan B, to be used for general corporate purposes. It matures on 11/17/28.

NEW ISSUES IN SECURITIZED CREDIT

  • Portman Square 2021-NPL1 Designated Activity Co issued a floating-rate RMBS in 2 tranches, for a total of € 450 m. Highest-rated tranche offering a spread over the floating rate of 325bp, and the lowest-rated tranche a spread of 400bp. Bookrunners: Goldman Sachs & Co
  • Amsr 2021-Sfr4 Trust issued a fixed-rate ABS backed by rental income in 5 tranches, for a total of US$ 428 m. Highest-rated tranche offering a yield to maturity of 2.12%, and the lowest-rated tranche a yield to maturity of 2.97%. Bookrunners: Nomura Securities Co Ltd, Morgan Stanley International Ltd
  • Flagstar Mortgage Trust 2021-12 issued a floating-rate RMBS in 5 tranches, for a total of US$ 718 m. Bookrunners: Amherst Securities Corp.
  • Morgan Stanley International Ltd
  • Atclo 2021-18 issued a floating-rate CLO in 7 tranches, for a total of US$ 406 m. Highest-rated tranche offering a spread over the floating rate of 118bp, and the lowest-rated tranche a spread of 716bp. Bookrunners: Jefferies & Co Inc
  • Exeter Automobile Receivables Trust 2021-4 issued a fixed-rate ABS backed by auto receivables in 8 tranches, for a total of US$ 993 m. Highest-rated tranche offering a yield to maturity of 0.19%, and the lowest-rated tranche a yield to maturity of 4.02%. Bookrunners: Deutsche Bank Securities Inc, Citigroup Global Markets Inc
  • Candide Financing 2021-1 BV issued a floating-rate RMBS in 1 tranche offering a spread over the floating rate of 70bp, for a total of € 585 m. Bookrunners: Lloyds TSB Capital 1 LP
  • Freddie Mac Spc Series K-746 issued a fixed-rate Agency CMBS in 2 tranches, for a total of US$ 800 m. Highest-rated tranche offering a yield to maturity of 1.23%, and the lowest-rated tranche a yield to maturity of 1.57%. Bookrunners: Cantor Fitzgerald Inc
  • Wells Fargo Securities LLC
  • Westlake Automobile Receivables Trust 2021-3 issued a fixed-rate ABS backed by auto receivables in 8 tranches, for a total of US$ 1,965 m. Highest-rated tranche offering a yield to maturity of 0.23%, and the lowest-rated tranche a yield to maturity of 4.26%. Bookrunners: Wells Fargo Securities LLC, Mizuho Securities USA Inc, SMBC Nikko Securities America Inc
  • Treva Equipment Finance 2021-1 issued a floating-rate ABS backed by auto receivables in 2 tranches, for a total of € 400 m. Bookrunners: BNP Paribas SA, Bank of America Merrill Lynch
  • Republic Finance Issuance Trust 2021-A issued a fixed-rate ABS backed by consumer loan in 4 tranches, for a total of US$ 350 m. Highest-rated tranche offering a yield to maturity of 2.30%, and the lowest-rated tranche a yield to maturity of 5.23%. Bookrunners: Credit Suisse, Wells Fargo Securities LLC