Credit

Mixed Day For US$ Credit: Wider CDS Spreads, While Cash Spreads Were Mostly Unchanged

The CDS-bond basis on US$ cash keeps rising and is now at levels that have historically led to reversals: considering that liquidity is only going to get scarcer, credit derivatives look cheap relative to bonds

Published ET

Jaguar Land Rover US$ 4.5% 2027 (USG5002FAM89) Interpolated CDS Basis | Source: Refinitiv

Jaguar Land Rover US$ 4.5% 2027 (USG5002FAM89) Interpolated CDS Basis | Source: Refinitiv

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QUICK SUMMARY

  • S&P 500 Bond Index was up 0.10% today, with investment grade up 0.11% and high yield down -0.02% (YTD total return: -2.45%)
  • ICE BofA US Corporate Index (Investment Grade) spread to worst up 1.0 bp, now at 97.0 bp (YTD change: +2.0 bp)
  • ICE BofA US High Yield Index spread to worst down -1.0 bp, now at 332.0 bp (YTD change: +2.0 bp)
  • S&P/LSTA U.S. Leveraged Loan 100 Index up 0.02% today (YTD total return: +0.6%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

  • AAA unchanged at 55 bp
  • AA up by 1 bp at 63 bp
  • A unchanged at 80 bp
  • BBB up by 1 bp at 123 bp
  • BB unchanged at 219 bp
  • B down by -3 bp at 343 bp
  • CCC unchanged at 666 bp

ICE BofAML US Corporate Credit Spreads By Rating | Sources: phipost.com, FactSet data

CDS INDICES (mid-spreads)

  • Markit CDX.NA.IG 5Y up 1.6 bp, now at 97bp (YTD change: +8.3bp)
  • Markit CDX.NA.HY 5Y up 6.7 bp, now at 323bp (YTD change: +31.5bp)
  • Markit iTRAXX Europe down 0.1 bp, now at 54bp (YTD change: +5.8bp)
  • Markit iTRAXX Japan down 0.6 bp, now at 49bp (YTD change: +2.4bp)
  • Markit iTRAXX Asia Ex-Japan up 1.3 bp, now at 86bp (YTD change: +7.3bp)

USD CDS SINGLE NAMES - LARGEST MOVES IN THE PAST WEEK

  • Turkey, Republic of (Government) (Country: TR; rated: BB): down 33.5 bp to 526.1bp (1Y range: 283-620bp)
  • Egypt, Arab Republic of (Government) (Country: EG; rated: Ba2): down 23.7 bp to 543.0bp (1Y range: 319-578bp)
  • Pitney Bowes Inc (Country: US; rated: LGD2 - 16%): up 17.3 bp to 546.8bp (1Y range: 363-547bp)
  • Avis Budget Group Inc (Country: US; rated: CCC): up 18.3 bp to 250.3bp (1Y range: 183-420bp)
  • Beazer Homes USA Inc (Country: US; rated: B2): up 19.4 bp to 320.5bp (1Y range: 231-388bp)
  • Russia, Federation of (Government) (Country: RU; rated: P-3): up 21.4 bp to 198.9bp (1Y range: 77-199bp)
  • DISH DBS Corp (Country: US; rated: B2): up 21.9 bp to 474.8bp (1Y range: 317-562bp)
  • Kohls Corp (Country: US; rated: Baa2): up 25.4 bp to 204.2bp (1Y range: 101-204bp)
  • RR Donnelley & Sons Co (Country: US; rated: B2): up 26.0 bp to 177.6bp (1Y range: 119-610bp)
  • American Airlines Group Inc (Country: US; rated: B2): up 34.8 bp to 757.7bp (1Y range: 596-1,340bp)
  • Tegna Inc (Country: US; rated: Ba3): up 35.3 bp to 396.7bp (1Y range: 148-397bp)
  • Gap Inc (Country: US; rated: WR): up 43.0 bp to 275.3bp (1Y range: 132-275bp)
  • Macy's Inc (Country: US; rated: Ba2): up 48.8 bp to 312.4bp (1Y range: 181-552bp)
  • K Hovnanian Enterprises Inc (Country: US; rated: Caa3): up 49.2 bp to 681.1bp (1Y range: 606-1,202bp)
  • Rite Aid Corp (Country: US; rated: B3): up 95.5 bp to 1,114.3bp (1Y range: 497-1,114bp)

EURO CDS SINGLE NAMES - LARGEST MOVES IN THE PAST WEEK

  • Stonegate Pub Company Financing PLC (Country: GB; rated: WR): down 25.2 bp to 430.1bp (1Y range: 430-694bp)
  • Telecom Italia SpA (Country: IT; rated: Ba2): down 17.5 bp to 245.1bp (1Y range: 149-270bp)
  • TUI AG (Country: DE; rated: B3-PD): down 15.0 bp to 667.4bp (1Y range: 607-946bp)
  • J Sainsbury PLC (Country: GB; rated: WR): down 11.5 bp to 120.1bp (1Y range: 61-157bp)
  • Deutsche Lufthansa AG (Country: DE; rated: Ba2): down 10.5 bp to 236.4bp (1Y range: 209-348bp)
  • Premier Foods Finance PLC (Country: GB; rated: B1): up 9.4 bp to 206.1bp (1Y range: 154-273bp)
  • thyssenkrupp AG (Country: DE; rated: B1): up 9.5 bp to 225.8bp (1Y range: 205-300bp)
  • Banca Monte dei Paschi di Siena SpA (Country: IT; rated: NP): up 9.8 bp to 260.4bp (1Y range: 145-272bp)
  • Ardagh Packaging Finance PLC (Country: IE; rated: B1): up 12.1 bp to 285.8bp (1Y range: 210-308bp)
  • Ineos Group Holdings SA (Country: LU; rated: WR): up 13.3 bp to 146.7bp (1Y range: 125-302bp)
  • Iceland Bondco PLC (Country: GB; rated: LGD3 - 46%): up 15.3 bp to 616.2bp (1Y range: 358-661bp)
  • Ladbrokes Coral Group Ltd (Country: GB; rated: WR): up 26.1 bp to 211.2bp (1Y range: 107-227bp)
  • Novafives SAS (Country: FR; rated: Caa1): up 26.2 bp to 688.3bp (1Y range: 618-976bp)
  • Boparan Finance PLC (Country: GB; rated: B3): up 28.5 bp to 1,403.4bp (1Y range: 582-1,564bp)
  • Casino Guichard Perrachon SA (Country: FR; rated: WR): up 28.7 bp to 679.3bp (1Y range: 464-779bp)

SELECTED RECENT USD BOND ISSUES

  • Federal Farm Credit Banks Funding Corp (Agency | Jersey City, United States | Rating: AA+): US$270m Bond (US3133ENLZ15), fixed rate (1.78% coupon) maturing on 26 January 2027, priced at 100.00 (original spread of 122 bp), callable (5nc1)
  • Federal Farm Credit Banks Funding Corp (Agency | Jersey City, United States | Rating: AA+): US$105m Bond (US3133ENMH08), fixed rate (1.60% coupon) maturing on 27 January 2026, priced at 100.00 (original spread of 104 bp), callable (4nc1)
  • Goldman Sachs Group Inc (Banking | New York City, New York, United States | Rating: BBB+): US$600m Unsecured Note (XS1970494487) zero coupon maturing on 10 February 2062, non callable
  • JPMorgan Chase & Co (Banking | New York City, New York, United States | Rating: A-): US$285m Unsecured Note (XS1450779233) zero coupon maturing on 14 February 2057, priced at 100.00, non callable
  • Bank of New Zealand (Banking | Auckland, Australia | Rating: A+): US$350m Senior Note (US06407F2F85), fixed rate (2.87% coupon) maturing on 27 January 2032, priced at 100.00 (original spread of 105 bp), non callable
  • Bank of New Zealand (Banking | Auckland, Australia | Rating: A+): US$750m Senior Note (US06407EAE59), fixed rate (2.29% coupon) maturing on 27 January 2027, priced at 100.00 (original spread of 68 bp), non callable
  • Bank of New Zealand (Banking | Auckland, Australia | Rating: A+): US$400m Senior Note (US06407F2D38), floating rate (SOFR + 81.0 bp) maturing on 27 January 2027, priced at 100.00 (original spread of 81 bp), non callable
  • Greentown China Holdings Ltd (Service - Other | Hangzhou, Zhejiang, China (Mainland) | Rating: BB-): US$400m Bond (XS2434935875), fixed rate (2.30% coupon) maturing on 27 January 2025, priced at 100.00, non callable
  • Hanwha Investment&Securities Co Ltd (Securities | Seoul, South Korea | Rating: NR): US$5,000m Index Linked Security (KR6ZW0000NE4) zero coupon maturing on 10 February 2025, priced at 100.00, non callable
  • ICBCIL Finance Co Ltd (Financial - Other | China (Mainland) | Rating: A): US$700m Senior Note (XS2431448849), fixed rate (2.13% coupon) maturing on 27 January 2025, priced at 99.71 (original spread of 90 bp), non callable
  • Shinhan Card Co Ltd (Financial - Other | Seoul, Seoul, South Korea | Rating: A): US$400m Senior Note (XS2427995001), fixed rate (2.50% coupon) maturing on 27 January 2027, priced at 99.65 (original spread of 95 bp), non callable
  • silknet'i ss (Telecommunications | Tbilisi | Rating: B): US$300m Senior Note (XS2436858349), fixed rate (8.38% coupon) maturing on 31 January 2027, priced at 100.00 (original spread of 677 bp), callable (5nc2)

SELECTED RECENT EUR BOND ISSUES

  • CNP Assurances SA (Life Insurance | Paris, France | Rating: A+): €500m Bond (FR0014007YA9), fixed rate (1.25% coupon) maturing on 27 January 2029, priced at 99.49 (original spread of 156 bp), callable (7nc7)
  • Intermediate Capital Group PLC (Financial - Other | London, United Kingdom | Rating: BBB-): €500m Senior Note (XS2413672234), fixed rate (2.50% coupon) maturing on 28 January 2030, priced at 99.41 (original spread of 283 bp), callable (8nc8)
  • National Bank of Canada (Banking | Montreal, Canada | Rating: A-): €1,000m Covered Bond (Other) (XS2436160936), fixed rate (0.13% coupon) maturing on 27 January 2027, priced at 99.82 (original spread of 52 bp), non callable
  • Nova KBM dd (Banking | Maribor, United States | Rating: BBB-): €300m Note (XS2430442868), floating rate maturing on 27 January 2025, priced at 99.92 (original spread of 250 bp), callable (3nc2)
  • OP Yrityspankki Oyj (Banking | Helsinki, Finland | Rating: AA-): €500m Note (XS2436853035), fixed rate (0.63% coupon) maturing on 27 July 2027, priced at 99.51 (original spread of 106 bp), non callable
  • NEW LOANS
  • Vivid Seats LLC, signed a US$ 275m Term Loan B, to be used for general corporate purposes. It matures on 01/27/29 and initial pricing is set at Term SOFR +325bp
  • Accelerated Health Systems LLC (B), signed a US$ 875m Term Loan B, to be used for acquisition financing.

NEW ISSUES IN SECURITIZED CREDIT

  • RCO Mortgage LLC 2022-1 issued a fixed-rate RMBS in 2 tranches, for a total of US$ 229 m. Highest-rated tranche offering a yield to maturity of 3.01%, and the lowest-rated tranche a yield to maturity of 5.31%. Bookrunners: Credit Suisse, Goldman Sachs & Co
  • American Credit Acceptance Auto Receivables Trust 2022-1 issued a fixed-rate ABS backed by auto receivables in 6 tranches, for a total of US$ 543 m. Highest-rated tranche offering a yield to maturity of 0.99%, and the lowest-rated tranche a yield to maturity of 4.87%. Bookrunners: JP Morgan & Co Inc, Deutsche Bank Securities Inc, Wells Fargo Securities LLC
  • Carmax Auto Owner Trust 2022-1 issued a fixed-rate ABS backed by auto receivables in 7 tranches, for a total of US$ 1,600 m. Highest-rated tranche offering a yield to maturity of 0.31%, and the lowest-rated tranche a yield to maturity of 2.47%. Bookrunners: JP Morgan & Co Inc, Bank of America Merrill Lynch, MUFG Securities Americas Inc, TD Securities (USA) LLC
  • HPEFS Equipment Trust 2022-1 issued a fixed-rate ABS backed by equipment leases in 6 tranches, for a total of US$ 1,000 m. Highest-rated tranche offering a yield to maturity of 0.43%, and the lowest-rated tranche a yield to maturity of 2.40%. Bookrunners: Wells Fargo Securities LLC, Mizuho Securities USA Inc, BNP Paribas Securities Corp, MUFG Securities Americas Inc
  • Verizon Master Trust 2022-1 issued a fixed-rate ABS backed by certificates in 3 tranches, for a total of US$ 900 m. Highest-rated tranche offering a yield to maturity of 1.04%, and the lowest-rated tranche a yield to maturity of 1.39%. Bookrunners: Barclays Capital Group, Wells Fargo Securities LLC, Bank of America Merrill Lynch, Mizuho Securities USA Inc
  • Verizon Master Trust 2022-2 issued a fixed-rate ABS backed by certificates in 3 tranches, for a total of US$ 800 m. Highest-rated tranche offering a yield to maturity of 1.53%, and the lowest-rated tranche a yield to maturity of 2.01%. Bookrunners: Barclays Capital Group, Wells Fargo Securities LLC, Bank of America Merrill Lynch, Mizuho Securities USA Inc
  • CLI Funding Viii LLC 2022-1 issued a fixed-rate ABS backed by auto receivables in 2 tranches, for a total of US$ 600 m. Highest-rated tranche offering a yield to maturity of 2.72%, and the lowest-rated tranche a yield to maturity of 3.12%. Bookrunners: PNC Capital Markets, Wells Fargo Securities LLC, Bank of America Merrill Lynch
  • Ford Prime Auto Loan 2022-A issued a fixed-rate ABS backed by auto receivables in 6 tranches, for a total of US$ 1,053 m. Highest-rated tranche offering a yield to maturity of 0.24%, and the lowest-rated tranche a yield to maturity of 2.14%. Bookrunners: JP Morgan & Co Inc, Citigroup Global Markets Inc, Credit Agricole Corporate & Investment Bank, SMBC Nikko Securities America Inc, MUFG Securities Americas Inc
  • Sequoia Mortgage Trust 2022-1 issued a fixed-rate RMBS in 4 tranches, for a total of US$ 645 m. Highest-rated tranche offering a yield to maturity of 2.62%, and the lowest-rated tranche a yield to maturity of 2.62%. Bookrunners: Morgan Stanley International Ltd