QUICK SUMMARY

• S&P 500 Bond Index was down -0.90% today, with investment grade down -0.92% and high yield down -0.69% (YTD total return: -5.03%)
• The iBoxx USD Liquid Investment Grade Total Return Index was down -1.15% today (Month-to-date: -2.49%; Year-to-date: -6.22%)
• The iBoxx USD Liquid High Yield Total Return Index was down -0.73% today (Month-to-date: -0.75%; Year-to-date: -3.59%)
• ICE BofA US Corporate Index (Investment Grade) spread to worst down -1.0 bp, now at 105.0 bp (YTD change: +10.0 bp)
• ICE BofA US High Yield Index spread to worst down -2.0 bp, now at 366.0 bp (YTD change: +36.0 bp)
• S&P/LSTA U.S. Leveraged Loan 100 Index down -0.03% today (YTD total return: +0.3%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

• AAA unchanged at 60 bp
• AA down by -1 bp at 68 bp
• A down by -1 bp at 87 bp
• BBB down by -1 bp at 132 bp
• BB down by -1 bp at 250 bp
• B down by -3 bp at 374 bp
• CCC down by -3 bp at 711 bp

CDS INDICES (mid-spreads)

• Markit CDX.NA.IG 5Y up 4.1 bp, now at 105bp (YTD change: +16.0bp)
• Markit CDX.NA.HY 5Y up 19.3 bp, now at 360bp (YTD change: +68.4bp)
• Markit iTRAXX Europe up 2.3 bp, now at 65bp (YTD change: +16.9bp)
• Markit iTRAXX Japan down 0.5 bp, now at 53bp (YTD change: +6.5bp)
• Markit iTRAXX Asia Ex-Japan down 0.6 bp, now at 93bp (YTD change: +14.2bp)

TOP BONDS MOVES IN THE PAST WEEK - USD HY

• Issuer: ZF North America Capital Inc (Northville, Michigan (US)) | Coupon: 4.75% | Maturity: 29/4/2025 | Rating: BB+ | ISIN: USU98737AC03 | Z-spread up by 53.9 bp to 258.9 bp, with the yield to worst at 4.3% and the bond now trading down to 100.8 cents on the dollar (1Y price range: 100.8-107.1).
• Issuer: Taylor Morrison Communities Inc (Scottsdale, Arizona (US)) | Coupon: 5.63% | Maturity: 1/3/2024 | Rating: BB- | ISIN: USU87286AD91 | Z-spread up by 44.9 bp to 181.4 bp, with the yield to worst at 3.4% and the bond now trading down to 103.6 cents on the dollar (1Y price range: 104.0-106.5).
• Issuer: WeWork Companies Inc (New York City, New York (US)) | Coupon: 7.88% | Maturity: 1/5/2025 | Rating: CCC- | ISIN: USU96217AA99 | Z-spread up by 27.5 bp to 1,009.8 bp, with the yield to worst at 11.3% and the bond now trading down to 90.0 cents on the dollar (1Y price range: 90.0-96.5).
• Issuer: Lamb Weston Holdings Inc (Eagle, Idaho (US)) | Coupon: 4.88% | Maturity: 15/5/2028 | Rating: BB- | ISIN: USU5256PAC50 | Z-spread up by 25.3 bp to 237.4 bp, with the yield to worst at 4.4% and the bond now trading down to 102.0 cents on the dollar (1Y price range: 102.0-108.3).
• Issuer: OCP SA (Casablanca, Morocco) | Coupon: 5.63% | Maturity: 25/4/2024 | Rating: BB+ | ISIN: XS1061043011 | Z-spread down by 26.5 bp to 100.1 bp (CDS basis: -31.1bp), with the yield to worst at 2.6% and the bond now trading up to 106.0 cents on the dollar (1Y price range: 105.8-107.0).
• Issuer: Yum! Brands Inc (Louisville, Kentucky (US)) | Coupon: 4.75% | Maturity: 15/1/2030 | Rating: BB- | ISIN: USU9T71RAB76 | Z-spread down by 27.9 bp to 225.6 bp (CDS basis: -50.3bp), with the yield to worst at 4.2% and the bond now trading up to 102.5 cents on the dollar (1Y price range: 101.5-108.0).
• Issuer: Videotron Ltd (Pre-Merger) (MONTREAL, Canada) | Coupon: 5.38% | Maturity: 15/6/2024 | Rating: BB+ | ISIN: USC96225AA22 | Z-spread down by 39.0 bp to 132.2 bp, with the yield to worst at 3.0% and the bond now trading up to 104.5 cents on the dollar (1Y price range: 104.3-107.0).
• Issuer: Sensata Technologies BV (Almelo, Netherlands) | Coupon: 4.88% | Maturity: 15/10/2023 | Rating: BB- | ISIN: USN78840AH33 | Z-spread down by 41.0 bp to 155.8 bp, with the yield to worst at 2.9% and the bond now trading up to 102.8 cents on the dollar (1Y price range: 102.3-105.1).
• Issuer: Xerox Holdings Corp (Norwalk, Connecticut (US)) | Coupon: 5.00% | Maturity: 15/8/2025 | Rating: BB | ISIN: USU98401AA75 | Z-spread down by 45.2 bp to 236.9 bp, with the yield to worst at 4.1% and the bond now trading up to 102.0 cents on the dollar (1Y price range: 100.1-105.7).
• Issuer: Wynn Las Vegas LLC (Las Vegas, Nevada (US)) | Coupon: 5.50% | Maturity: 1/3/2025 | Rating: B | ISIN: USU98347AK05 | Z-spread down by 48.2 bp to 336.1 bp, with the yield to worst at 5.0% and the bond now trading up to 100.4 cents on the dollar (1Y price range: 99.5-103.5).
• Issuer: NCL Finance Ltd (United Kingdom) | Coupon: 6.13% | Maturity: 15/3/2028 | Rating: CCC+ | ISIN: USG6437FAA78 | Z-spread down by 67.8 bp to 466.5 bp, with the yield to worst at 6.5% and the bond now trading up to 97.0 cents on the dollar (1Y price range: 94.3-99.5).
• Issuer: NCL Corporation Ltd (Miami, Bermuda) | Coupon: 5.88% | Maturity: 15/3/2026 | Rating: CCC+ | ISIN: USG6436QAL08 | Z-spread down by 93.5 bp to 470.3 bp, with the yield to worst at 6.6% and the bond now trading up to 97.0 cents on the dollar (1Y price range: 94.5-100.0).

TOP BONDS MOVES IN THE PAST WEEK - EUR HY

• Issuer: SoftBank Group Corp (Minato-Ku, Japan) | Coupon: 2.88% | Maturity: 6/1/2027 | Rating: BB+ | ISIN: XS2361254597 | Z-spread down by 38.3 bp to 448.0 bp, with the yield to worst at 4.9% and the bond now trading up to 90.8 cents on the dollar (1Y price range: 89.0-95.0).
• Issuer: Teva Pharmaceutical Finance Netherlands II BV (Amsterdam, Netherlands) | Coupon: 6.00% | Maturity: 31/1/2025 | Rating: BB- | ISIN: XS2198213956 | Z-spread down by 48.4 bp to 346.2 bp, with the yield to worst at 3.7% and the bond now trading up to 105.6 cents on the dollar (1Y price range: 102.9-107.7).
• Issuer: Adler Group SA (Senningerberg, Luxembourg) | Coupon: 2.75% | Maturity: 13/11/2026 | Rating: BB- | ISIN: XS2248826294 | Z-spread down by 53.7 bp to 722.9 bp, with the yield to worst at 7.7% and the bond now trading up to 80.5 cents on the dollar (1Y price range: 79.0-86.4).
• Issuer: Kondor Finance PLC (London, United Kingdom) | Coupon: 7.13% | Maturity: 19/7/2024 | Rating: B | ISIN: XS2027394233 | Z-spread down by 56.0 bp to 1,731.1 bp, with the yield to worst at 17.0% and the bond now trading up to 80.5 cents on the dollar (1Y price range: 76.3-90.2).
• Issuer: Adler Real Estate AG (Berlin, Germany) | Coupon: 2.13% | Maturity: 6/2/2024 | Rating: BB- | ISIN: XS1731858715 | Z-spread down by 60.9 bp to 761.8 bp, with the yield to worst at 7.6% and the bond now trading up to 90.0 cents on the dollar (1Y price range: 88.8-94.9).
• Issuer: Metinvest BV (Amsterdam, Netherlands) | Coupon: 5.63% | Maturity: 17/6/2025 | Rating: B+ | ISIN: XS2056722734 | Z-spread down by 66.3 bp to 900.3 bp, with the yield to worst at 9.1% and the bond now trading up to 89.8 cents on the dollar (1Y price range: 86.0-99.4).
• Issuer: Adler Group SA (Senningerberg, Luxembourg) | Coupon: 1.50% | Maturity: 26/7/2024 | Rating: BB- | ISIN: XS1652965085 | Z-spread down by 69.0 bp to 846.2 bp, with the yield to worst at 8.5% and the bond now trading up to 84.6 cents on the dollar (1Y price range: 83.2-91.1).
• Issuer: Saipem Finance International BV (Amsterdam, Netherlands) | Coupon: 2.63% | Maturity: 7/1/2025 | Rating: B+ | ISIN: XS1711584430 | Z-spread down by 246.1 bp to 1,031.0 bp (CDS basis: 236.9bp), with the yield to worst at 10.6% and the bond now trading up to 80.7 cents on the dollar (1Y price range: 73.9-101.2).

SELECTED RECENT USD BOND ISSUES

• Blue Owl Finance LLC (Financial - Other | United States | Rating: BBB): US$400m Senior Note (US09581JAG13), fixed rate (4.38% coupon) maturing on 15 February 2032, priced at 98.77 (original spread of 250 bp), callable (10nc10)
• Federal Farm Credit Banks Funding Corp (Agency | Jersey City, United States | Rating: AA+): US$165m Bond (US3133ENPB01), fixed rate (2.18% coupon) maturing on 16 February 2027, priced at 100.00, callable (5nc2)
• Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$176m Bond (US3130AQY490), fixed rate (2.00% coupon) maturing on 27 February 2025, priced at 100.00 (original spread of 155 bp), callable (3nc3m)
• JPMorgan Chase & Co (Banking | New York City, New York, United States | Rating: A-): US$285m Unsecured Note (XS1450779233) zero coupon maturing on 16 February 2037, priced at 100.00, non callable
• NCL Corporation Ltd (Leisure | Miami, United States | Rating: B): US$435m Bond (US62886HBJ95), fixed rate (2.50% coupon) maturing on 15 February 2027, priced at 100.00, non callable, convertible
• NCL Corporation Ltd (Leisure | Miami, United States | Rating: B+): US$1,000m Note (US62886HBE09), fixed rate (5.88% coupon) maturing on 15 February 2027, priced at 100.00 (original spread of 392 bp), callable (5nc2)
• NCL Corporation Ltd (Leisure | Miami, United States | Rating: B-): US$600m Senior Note (US62886HBG56), fixed rate (7.75% coupon) maturing on 15 February 2029, priced at 100.00 (original spread of 572 bp), callable (7nc7)

SELECTED RECENT EUR BOND ISSUES

• Arval Service Lease SA (Financial - Other | Paris, France | Rating: A-): €750m Bond (FR0014008FH1), fixed rate (0.88% coupon) maturing on 17 February 2025, priced at 99.87 (original spread of 117 bp), callable (3nc3)
• Caja Rural de Navarra S Coop de Credito (Banking | Pamplona, Spain | Rating: NR): €500m Cedula Hipotecaria (Covered Bond) (ES0415306093), fixed rate (0.75% coupon) maturing on 16 February 2029, priced at 99.73, non callable
• Castor SpA (Financial - Other | Milan, Luxembourg | Rating: B): €1,050m Senior Note (XS2445841104), floating rate (EU03MLIB + 5.3 bp) maturing on 15 February 2029, priced at 99.50, with a make whole call
• Castor SpA (Financial - Other | Milan, Luxembourg | Rating: B): €350m Senior Note (XS2445837177), fixed rate (6.00% coupon) maturing on 15 February 2029, priced at 100.00 (original spread of 586 bp), callable (7nc3)
• Danske Bank A/S (Banking | Koebenhavn K, Denmark | Rating: A-): €750m Note (XS2443438051), fixed rate (1.38% coupon) maturing on 17 February 2027, priced at 99.92 (original spread of 146 bp), non callable
• Deutsche Bank AG (Banking | Frankfurt, Hessen, Germany | Rating: BBB+): €500m Inhaberschuldverschreibung (DE000DB9U6G7), fixed rate (0.40% coupon) maturing on 3 March 2025, priced at 100.00 (original spread of -4 bp), non callable
• Experian Europe DAC (Financial - Other | Ireland | Rating: BBB+): €500m Senior Note (XS2444263102), fixed rate (1.56% coupon) maturing on 16 May 2031, priced at 99.94 (original spread of 135 bp), callable (9nc9)
• Infineon Technologies AG (Electronics | Neubiberg, Germany | Rating: BBB): €500m Senior Note (XS2443921056), fixed rate (0.63% coupon) maturing on 17 February 2025, priced at 99.70 (original spread of 99 bp), callable (3nc3)
• ING Bank NV (Banking | Amsterdam Zuidoost, Netherlands | Rating: A+): €1,500m Covered Bond (Other) (XS2445188423), fixed rate (0.50% coupon) maturing on 17 February 2027, priced at 99.62 (original spread of 60 bp), non callable
• Swedbank AB (Banking | Sundbyberg, Sweden | Rating: A+): €750m Note (XS2443485565), fixed rate (1.30% coupon) maturing on 17 February 2027, priced at 99.78 (original spread of 132 bp), non callable

NEW LOANS

• Hexion Inc (B), signed a US$ 1,400m Term Loan B, to be used for leveraged buyout

NEW ISSUES IN SECURITIZED CREDIT

• Monroe Capital Mml Clo XIII LLC issued a floating-rate CLO in 9 tranches, for a total of US$ 457 m. Bookrunners: Deutsche Bank Securities Inc
• Freddie Mac Spc Series K-F130 issued a floating-rate Agency CMBS in 1 tranche offering a spread over the floating rate of 29bp, for a total of US$ 781 m. Bookrunners: Goldman Sachs & Co, Morgan Stanley International Ltd
• Global Container Assets 2016 Ltd 2022-1 issued a fixed-rate ABS backed by certificates in 2 tranches, for a total of US$ 230 m. Highest-rated tranche offering a yield to maturity of 3.21%, and the lowest-rated tranche a yield to maturity of 3.75%. Bookrunners: Mizuho Securities USA Inc
• Fresb 2022-Sb95 Mortgage Trust issued a floating-rate Agency CMBS in 3 tranches, for a total of US$ 371 m. Bookrunners: Credit Suisse, Wells Fargo Securities LLC
• GCAT 2022-HX1 issued a fixed-rate RMBS in 6 tranches, for a total of US$ 279 m. Highest-rated tranche offering a yield to maturity of 0.06%, and the lowest-rated tranche a yield to maturity of 3.73%. Bookrunners: Barclays Capital Group
• Spgn 2022-Tflm Mortgage Trust issued a floating-rate CMBS in 4 tranches, for a total of US$ 570 m. Highest-rated tranche offering a spread over the floating rate of 155bp, and the lowest-rated tranche a spread of 350bp. Bookrunners: Barclays Capital Group, Wells Fargo Securities LLC, BMO Capital Markets
• Marlette Funding Trust 2022-1 issued a fixed-rate ABS backed by consumer loan in 4 tranches, for a total of US$ 300 m. Highest-rated tranche offering a yield to maturity of 1.37%, and the lowest-rated tranche a yield to maturity of 3.58%. Bookrunners: Robert W Baird & Co Inc, Goldman Sachs & Co, JP Morgan & Co Inc