QUICK SUMMARY

• S&P 500 Bond Index was up 0.12% today, with investment grade up 0.13% and high yield up 0.05% (YTD total return: -1.01%)
• The iBoxx USD Liquid Investment Grade Total Return Index was up 0.210% today (Month-to-date: -0.50%; Year-to-date: -1.93%)
• The iBoxx USD Liquid High Yield Total Return Index was up 0.002% today (Month-to-date: -0.01%; Year-to-date: 3.39%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst unchanged at 91.0 bp (YTD change: -7.0 bp)
• ICE BofA US High Yield Index spread to worst up 2.0 bp, now at 337.0 bp (YTD change: -53.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index down -0.06% today (YTD total return: +3.3%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA unchanged at 52 bp
• AA unchanged at 59 bp
• A unchanged at 76 bp
• BBB unchanged at 115 bp
• BB unchanged at 218 bp
• B up by 2 bp at 367 bp
• CCC up by 7 bp at 671 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y up 0.1 bp, now at 91bp (YTD change: +0.5bp)
• Markit CDX.NA.HY 5Y up 0.4 bp, now at 296bp (YTD change: +2.7bp)
• Markit iTRAXX Europe down 0.1 bp, now at 49bp (YTD change: +1.3bp)
• Markit iTRAXX Japan unchanged at 47bp (YTD change: -4.7bp)
• Markit iTRAXX Asia Ex-Japan down 2.3 bp, now at 87bp (YTD change: +28.4bp)

USD CDS SINGLE NAMES - LARGEST MOVES IN THE PAST WEEK

• RR Donnelley & Sons Co (Country: US; rated: B2): down 57.3 bp to 166.0bp (1Y range: 166-712bp)
• Macy's Inc (Country: US; rated: Ba2): down 37.0 bp to 188.4bp (1Y range: 188-839bp)
• Beazer Homes USA Inc (Country: US; rated: B2): down 35.5 bp to 301.3bp (1Y range: 231-388bp)
• K Hovnanian Enterprises Inc (Country: US; rated: Caa3): down 35.3 bp to 831.6bp (1Y range: 606-1,202bp)
• Mattel Inc (Country: US; rated: Ba2): down 23.1 bp to 155.0bp (1Y range: 155-352bp)
• iStar Inc (Country: US; rated: BBB-): up 19.6 bp to 251.8bp (1Y range: 199-324bp)
• Royal Caribbean Cruises Ltd (Country: US; rated: LGD4 - 59%): up 21.5 bp to 347.6bp (1Y range: 299-726bp)
• Bombardier Inc (Country: CA; rated: Caa1): up 23.9 bp to 397.3bp (1Y range: 395-1,912bp)
• Rite Aid Corp (Country: US; rated: B3): up 29.2 bp to 988.0bp (1Y range: 497-990bp)
• Turkey, Republic of (Government) (Country: TR; rated: BB): up 41.0 bp to 448.5bp (1Y range: 283-481bp)
• Carnival Corp (Country: US; rated: LGD5 - 72%): up 46.6 bp to 412.4bp (1Y range: 291-572bp)
• American Airlines Group Inc (Country: US; rated: B2): up 48.6 bp to 675.7bp (1Y range: 596-2,104bp)
• Central Bank of Tunisia (Country: TN; rated: ): up 55.0 bp to 888.2bp (1Y range: 300-888bp)
• Talen Energy Supply LLC (Country: US; rated: B3): up 88.8 bp to 2,480.7bp (1Y range: 875-5,047bp)
• Transocean Inc (Country: KY; rated: Caa3): up 138.0 bp to 1,960.9bp (1Y range: 941-5,853bp)

EURO CDS SINGLE NAMES - LARGEST MOVES IN THE PAST WEEK

• Thyssenkrupp AG (Country: DE; rated: B1): down 42.1 bp to 208.3bp (1Y range: 206-339bp)
• Monitchem Holdco 3 SA (Country: LU; rated: B2): down 38.4 bp to 194.5bp (1Y range: 194-326bp)
• CMA CGM SA (Country: FR; rated: Ba3): down 10.1 bp to 288.1bp (1Y range: 259-562bp)
• Marks and Spencer PLC (Country: GB; rated: Ba1): down 8.4 bp to 147.6bp (1Y range: 139-266bp)
• Corus Group Ltd (Country: GB; rated: WR): down 7.0 bp to 348.5bp (1Y range: 348-394bp)
• Telecom Italia SpA (Country: IT; rated: Ba2): up 7.5 bp to 210.0bp (1Y range: 149-210bp)
• Iceland Bondco PLC (Country: GB; rated: LGD3 - 46%): up 8.3 bp to 616.3bp (1Y range: 358-646bp)
• Premier Foods Finance PLC (Country: GB; rated: B1): up 9.4 bp to 210.6bp (1Y range: 154-273bp)
• Novafives SAS (Country: FR; rated: Caa1): up 9.7 bp to 773.9bp (1Y range: 660-976bp)
• Accor SA (Country: FR; rated: B): up 11.1 bp to 150.3bp (1Y range: 136-194bp)
• Casino Guichard Perrachon SA (Country: FR; rated: WR): up 17.9 bp to 657.8bp (1Y range: 464-763bp)
• British Telecommunications PLC (Country: GB; rated: BB+): up 18.5 bp to 125.2bp (1Y range: 63-126bp)
• TUI AG (Country: DE; rated: B3-PD): up 24.5 bp to 649.4bp (1Y range: 607-946bp)
• Altice Finco SA (Country: LU; rated: Caa1): up 30.4 bp to 425.1bp (1Y range: 333-481bp)
• Boparan Finance PLC (Country: GB; rated: WR): up 37.2 bp to 1,510.2bp (1Y range: 528-1,564bp)

SELECTED RECENT USD BOND ISSUES

• Atlanticus Holdings Corp (Financial - Other | Atlanta, United States | Rating: NR): US$135m Senior Note (US04914Y3009), fixed rate (6.13% coupon) maturing on 30 November 2026, priced at 100.00 (original spread of 4,042 bp), callable (5nc2)
• Barings BDC Inc (Securities | Charlotte, United States | Rating: BBB-): US$350m Senior Note (US06759LAA17), fixed rate (3.30% coupon) maturing on 23 November 2026, priced at 99.20 (original spread of 225 bp), callable (5nc5)
• CubeSmart LP (Leasing | Malvern, United States | Rating: BBB): US$500m Senior Note (US22966RAJ59), fixed rate (2.50% coupon) maturing on 15 February 2032, priced at 99.22 (original spread of 101 bp), callable (10nc10)
• CubeSmart LP (Leasing | Malvern, United States | Rating: BBB): US$550m Senior Note (US22966RAH93), fixed rate (2.25% coupon) maturing on 15 December 2028, priced at 99.52 (original spread of 85 bp), callable (7nc7)
• CURO Group Holdings Corp (Financial - Other | Wichita, United States | Rating: B-): US$250m Senior Note (USU12727AC48), fixed rate (7.50% coupon) maturing on 1 August 2028, priced at 100.50, callable (7nc3)
• Dominion Energy South Carolina Inc (Utility - Other | Cayce, United States | Rating: BBB): US$400m First Mortgage Bond (US25731VAA26), fixed rate (2.30% coupon) maturing on 1 December 2031, priced at 99.94 (original spread of 72 bp), callable (10nc10)
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, United States | Rating: AA+): US$120m Bond (US3133ENFE59), fixed rate (1.03% coupon) maturing on 1 July 2025, priced at 100.00, non callable
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, New Jersey, United States | Rating: AA+): US$225m Bond (US3133ENEV83), floating rate (FFQ + 3.0 bp) maturing on 24 November 2023, priced at 100.00, non callable
• Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$250m Bond (US3130APZF59), fixed rate (2.03% coupon) maturing on 9 December 2031, priced at 100.00, callable (10nc1)
• Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$150m Bond (US3130APZ994), fixed rate (0.60% coupon) maturing on 8 December 2023, priced at 100.00 (original spread of 45 bp), callable (2nc3m)
• HUB International Ltd (Life Insurance | Chicago, United States | Rating: CCC+): US$550m Senior Note (US44332PAG63), fixed rate (5.63% coupon) maturing on 1 December 2029, priced at 100.00 (original spread of 434 bp), callable (8nc3)
• Massachusetts Mutual Life Insurance Co (Life Insurance | Springfield, United States | Rating: AA-): US$675m Senior Note (US575767AR94), fixed rate (3.20% coupon) maturing on 1 December 2061, priced at 99.22 (original spread of 155 bp), with a make whole call
• Valero Energy Corp (Oil and Gas | San Antonio, United States | Rating: BBB): US$950m Senior Note (US91913YBD13), fixed rate (3.65% coupon) maturing on 1 December 2051, priced at 99.67 (original spread of 196 bp), callable (30nc30)
• Valero Energy Corp (Oil and Gas | San Antonio, United States | Rating: BBB): US$500m Senior Note (US91913YBC30), fixed rate (2.80% coupon) maturing on 1 December 2031, priced at 99.75 (original spread of 125 bp), callable (10nc10)
• Bilibili Inc (Publishing | Shanghai, China (Mainland) | Rating: NR): US$1,400m Bond (US090040AE64), fixed rate (0.25% coupon) maturing on 1 December 2026, priced at 100.00, non callable, convertible
• Deutsche Bank Ag (London Branch) (Banking | London, Germany | Rating: BBB+): US$1,000m Senior Note (XS1628428119), floating rate maturing on 19 November 2026, priced at 100.00, non callable
• Interconnection Electric SA ESP (Utility - Other | Medellin, Colombia | Rating: BBB): US$330m Senior Note (US45853NAA00), fixed rate (3.83% coupon) maturing on 26 November 2033, priced at 100.00 (original spread of 224 bp), non callable
• Nabors Industries Inc (Oilfield Machinery and Services | Houston, Bermuda | Rating: B-): US$700m Senior Note (US62957HAJ41), fixed rate (7.38% coupon) maturing on 15 May 2027, priced at 100.00 (original spread of 609 bp), callable (5nc2)
• Port of Newcastle Investments (Financing) Pty Ltd (Financial - Other | Newcastle, New South Wales, Australia | Rating: BBB-): US$300m Note (US734865AA63), fixed rate (5.90% coupon) maturing on 24 November 2031, priced at 99.26 (original spread of 442 bp), callable (10nc10)
• Renesas Electronics Corp (Electronics | Koto-Ku, Japan | Rating: BBB-): US$850m Senior Note (US75972BAB71), fixed rate (2.17% coupon) maturing on 25 November 2026, priced at 100.00 (original spread of 95 bp), with a make whole call
• Sinochem Offshore Capital Co Ltd (Financial - Other | China (Mainland) | Rating: NR): US$300m Senior Note (XS2407996185), fixed rate (1.50% coupon) maturing on 24 November 2024, priced at 99.90 (original spread of 70 bp), callable (3nc3)
• Sinochem Offshore Capital Co Ltd (Financial - Other | China (Mainland) | Rating: NR): US$500m Senior Note (XS2408001365), fixed rate (2.25% coupon) maturing on 24 November 2026, priced at 99.92 (original spread of 105 bp), callable (5nc5)

SELECTED RECENT EUR BOND ISSUES

• Accor SA (Lodging | Issy-Les-Moulineaux, France | Rating: BB+): €700m Bond (FR0014006ND8), fixed rate (2.38% coupon) maturing on 29 November 2028, priced at 99.21 (original spread of 295 bp), callable (7nc7)
• AP Moeller - Maersk A/S (Transportation - Other | Copenhagen, Denmark | Rating: BBB+): €500m Senior Note (XS2410368042), fixed rate (0.75% coupon) maturing on 25 November 2031, priced at 98.81 (original spread of 114 bp), callable (10nc10)
• ASTM SpA (Transportation - Other | Torino, Torino, Italy | Rating: NR): €1,250m Senior Note (XS2412267515), fixed rate (1.50% coupon) maturing on 25 January 2030, priced at 98.67 (original spread of 210 bp), callable (8nc8)
• ASTM SpA (Transportation - Other | Torino, Torino, Italy | Rating: NR): €1,000m Senior Note (XS2412267788), fixed rate (2.38% coupon) maturing on 25 November 2033, priced at 99.70 (original spread of 268 bp), callable (12nc12)
• ASTM SpA (Transportation - Other | Torino, Torino, Italy | Rating: NR): €750m Senior Note (XS2412267358), fixed rate (1.00% coupon) maturing on 25 November 2026, priced at 99.74 (original spread of 163 bp), callable (5nc5)
• Banca Popolare di Sondrio ScpA (Banking | Sondrio, Italy | Rating: NR): €300m Subordinated Note (XS2411537033), fixed rate (3.88% coupon) maturing on 25 February 2032, priced at 100.00, callable (10nc5)
• Ontario Teachers Finance Trust (Financial - Other | Toronto, Canada | Rating: NR): €500m Senior Note (XS2411135150), fixed rate (0.95% coupon) maturing on 24 November 2051, priced at 99.74 (original spread of 93 bp), non callable
• Sandvik AB (Metals/Mining | Stockholm, Sweden | Rating: A-): €500m Senior Note (XS2411720233), fixed rate (0.38% coupon) maturing on 25 November 2028, priced at 99.37 (original spread of 91 bp), callable (7nc7)
• Sinochem Offshore Capital Co Ltd (Financial - Other | China (Mainland) | Rating: A-): €500m Senior Note (XS2408454077), fixed rate (0.75% coupon) maturing on 25 November 2025, priced at 99.64 (original spread of 152 bp), callable (4nc4)

NEW ISSUES IN SECURITIZED CREDIT

• Bbcms Mortgage Trust 2021-C12 issued a fixed-rate CMBS in 12 tranches, for a total of US$ 981 m. Highest-rated tranche offering a yield to maturity of 1.27%, and the lowest-rated tranche a yield to maturity of 3.21%. Bookrunners: Barclays Capital Group, SG Americas Securities LLC, BMO Capital Markets, KeyBanc Capital Markets Inc
• Upstart Securitization Trust 2021-5 issued a fixed-rate ABS backed by consumer loan in 3 tranches, for a total of US$ 520 m. Highest-rated tranche offering a yield to maturity of 1.32%, and the lowest-rated tranche a yield to maturity of 4.15%. Bookrunners: Goldman Sachs & Co
• Foundation Finance Trust 2021-2 issued a fixed-rate ABS backed by consumer loan in 4 tranches, for a total of US$ 301 m. Highest-rated tranche offering a yield to maturity of 2.19%, and the lowest-rated tranche a yield to maturity of 5.73%. Bookrunners: Goldman Sachs & Co, Guggenheim Securities LLC
• Freddie Mac Spc Series K-134 issued a fixed-rate Agency CMBS in 3 tranches, for a total of US$ 1,209 m. Highest-rated tranche offering a coupon of 1.71%, and the lowest-rated tranche a yield to maturity of 1.90%. Bookrunners: JP Morgan & Co Inc, Wells Fargo Securities LLC
• Conns Receivables Funding 2021-A LLC issued a floating-rate ABS backed by consumer loan in 3 tranches, for a total of US$ 378 m. Highest-rated tranche offering a spread over the floating rate of 85bp, and the lowest-rated tranche a spread of 400bp. Bookrunners: JP Morgan & Co Inc, Deutsche Bank Securities Inc, MUFG Securities Americas Inc
• Bridgepoint CLO 3 Designated Activity Company issued a floating-rate CLO in 7 tranches, for a total of € 461 m. Highest-rated tranche offering a spread over the floating rate of 94bp, and the lowest-rated tranche a spread of 909bp. Bookrunners: Jefferies LLC