Credit

Further Widening Of Credit Spreads Across The Complex, With HY Derivatives Still Performing Worse Than Cash

It was a decent day for US$ IG bonds issuance, especially considering the current levels of volatility, with sizable offerings from Berkshire Hathaway ($4.5bn in 3 tranches), Rogers Communications ($7bn in 5 tranches) and Toronto Dominion ($4.5bn in 4 tranches)

Published ET

CDX HY Spread vs HY Cash Benchmark Spread | Source: Credit Suisse

CDX HY Spread vs HY Cash Benchmark Spread | Source: Credit Suisse

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QUICK SUMMARY

  • S&P 500 Bond Index was down -0.41% today, with investment grade down -0.35% and high yield down -0.98% (YTD total return: -5.67%)
  • The iBoxx USD Liquid Investment Grade Total Return Index was down -0.975% today (Month-to-date: -1.09%; Year-to-date: -7.00%)
  • The iBoxx USD Liquid High Yield Total Return Index was down -0.696% today (Month-to-date: -1.16%; Year-to-date: -4.65%)
  • ICE BofA US Corporate Index (Investment Grade) spread to worst up 5.0 bp, now at 141.0 bp (YTD change: +46.0 bp)
  • ICE BofA US High Yield Index spread to worst up 10.0 bp, now at 425.0 bp (YTD change: +95.0 bp)
  • S&P/LSTA U.S. Leveraged Loan 100 Index down -0.60% today (YTD total return: -0.9%)

US CORPORATE OPTION-ADJUSTED SPREAD (OAS) BY RATING

  • AAA up by 6 bp at 79 bp
  • AA up by 4 bp at 90 bp
  • A up by 5 bp at 116 bp
  • BBB up by 6 bp at 175 bp
  • BB up by 10 bp at 297 bp
  • B up by 13 bp at 437 bp
  • CCC up by 15 bp at 801 bp

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

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

CDS INDICES (mid-spreads)

  • Markit CDX.NA.IG 5Y up 3.4 bp, now at 78bp (YTD change: +28.5bp)
  • Markit CDX.NA.IG 10Y up 1.9 bp, now at 113bp (YTD change: +23.5bp)
  • Markit CDX.NA.HY 5Y up 19.6 bp, now at 411bp (YTD change: +119.4bp)
  • Markit iTRAXX Europe 5Y up 5.1 bp, now at 88bp (YTD change: +39.8bp)
  • Markit iTRAXX Europe Crossover 5Y up 21.7 bp, now at 420bp (YTD change: +178.0bp)
  • Markit iTRAXX Japan 5Y up 6.0 bp, now at 72bp (YTD change: +25.5bp)
  • Markit iTRAXX Asia Ex-Japan 5Y up 10.0 bp, now at 125bp (YTD change: +46.4bp)
CDX IG & HY Credit Indices Mid Spreads | Sources: ϕpost, Refinitiv dataiTRAXX Credit Indices Mid Spreads | Sources: ϕpost, Refinitiv data

TOP BONDS MOVES IN THE PAST WEEK - USD HY

  • Issuer: American Airlines Group Inc (Fort Worth, Texas (US)) | Coupon: 3.75% | Maturity: 1/3/2025 | Rating: CCC | ISIN: USU0242AAD47 | Z-spread up by 298.7 bp to 823.0 bp (CDS basis: 182.7bp), with the yield to worst at 9.6% and the bond now trading down to 84.8 cents on the dollar (1Y price range: 88.5-95.6).
  • Issuer: NCL Corporation Ltd (Miami, Bermuda) | Coupon: 7.75% | Maturity: 15/2/2029 | Rating: CCC+ | ISIN: USG6436QAP12 | Z-spread up by 63.2 bp to 624.1 bp, with the yield to worst at 7.9% and the bond now trading down to 98.5 cents on the dollar (1Y price range: 99.8-103.0).
  • Issuer: Goodyear Tire & Rubber Co (Akron, Ohio (US)) | Coupon: 5.00% | Maturity: 15/7/2029 | Rating: B | ISIN: USU38255AN24 | Z-spread up by 47.7 bp to 406.3 bp (CDS basis: -24.9bp), with the yield to worst at 5.8% and the bond now trading down to 94.8 cents on the dollar (1Y price range: 94.8-106.6).
  • Issuer: Wynn Las Vegas LLC (Las Vegas, Nevada (US)) | Coupon: 5.50% | Maturity: 1/3/2025 | Rating: B | ISIN: USU98347AK05 | Z-spread up by 42.5 bp to 389.6 bp, with the yield to worst at 5.4% and the bond now trading down to 99.4 cents on the dollar (1Y price range: 99.4-103.5).
  • Issuer: NCL Finance Ltd (#N/A, United Kingdom) | Coupon: 6.13% | Maturity: 15/3/2028 | Rating: CCC+ | ISIN: USG6437FAA78 | Z-spread up by 37.9 bp to 590.0 bp, with the yield to worst at 7.5% and the bond now trading down to 92.5 cents on the dollar (1Y price range: 92.5-99.5).
  • Issuer: Ashland LLC (Covington, Kentucky (US)) | Coupon: 3.38% | Maturity: 1/9/2031 | Rating: BB+ | ISIN: USU0442LAA45 | Z-spread up by 34.1 bp to 289.5 bp (CDS basis: -51.5bp), with the yield to worst at 4.6% and the bond now trading down to 89.5 cents on the dollar (1Y price range: 89.5-99.3).
  • Issuer: Twitter Inc (San Francisco, California (US)) | Coupon: 3.88% | Maturity: 15/12/2027 | Rating: BB | ISIN: USU8882PAA58 | Z-spread up by 33.6 bp to 270.5 bp, with the yield to worst at 4.3% and the bond now trading down to 96.8 cents on the dollar (1Y price range: 96.1-103.9).
  • Issuer: Brinker International Inc (Coppell, Texas (US)) | Coupon: 5.00% | Maturity: 1/10/2024 | Rating: B+ | ISIN: USU6223WAB01 | Z-spread up by 28.1 bp to 275.7 bp, with the yield to worst at 4.5% and the bond now trading down to 101.1 cents on the dollar (1Y price range: 101.1-106.8).
  • Issuer: Firstenergy Transmission LLC (Fairmont, West Virginia (US)) | Coupon: 4.55% | Maturity: 1/4/2049 | Rating: BB+ | ISIN: USU3200VAC47 | Z-spread up by 27.6 bp to 261.4 bp (CDS basis: -129.1bp), with the yield to worst at 4.6% and the bond now trading down to 99.0 cents on the dollar (1Y price range: 99.7-114.5).
  • Issuer: MGM Growth Properties Operating Partnership LP (Las Vegas, Nevada (US)) | Coupon: 4.63% | Maturity: 15/6/2025 | Rating: B+ | ISIN: USU5930BAD83 | Z-spread down by 31.5 bp to 194.6 bp, with the yield to worst at 3.5% and the bond now trading up to 102.5 cents on the dollar (1Y price range: 102.0-106.5).
  • Issuer: Compass Minerals International Inc (Overland Park, Kansas (US)) | Coupon: 4.88% | Maturity: 15/7/2024 | Rating: B+ | ISIN: USU2036YAC04 | Z-spread down by 32.9 bp to 301.6 bp, with the yield to worst at 4.3% and the bond now trading up to 100.1 cents on the dollar (1Y price range: 100.0-102.8).
  • Issuer: HanesBrands Inc (Winston-Salem, North Carolina (US)) | Coupon: 4.63% | Maturity: 15/5/2024 | Rating: BB- | ISIN: USU24437AD43 | Z-spread down by 37.2 bp to 199.4 bp, with the yield to worst at 3.2% and the bond now trading up to 101.6 cents on the dollar (1Y price range: 100.1-104.5).
  • Issuer: Southeast Supply Header LLC (Houston, Texas (US)) | Coupon: 4.25% | Maturity: 15/6/2024 | Rating: BB- | ISIN: USU83854AB29 | Z-spread down by 52.0 bp to 299.7 bp, with the yield to worst at 4.3% and the bond now trading up to 98.8 cents on the dollar (1Y price range: 98.7-102.8).

TOP BONDS MOVES IN THE PAST WEEK - EUR HY

  • Issuer: Telefonaktiebolaget LM Ericsson (Stockholm, Sweden) | Coupon: 1.88% | Maturity: 1/3/2024 | Rating: BB+ | ISIN: XS1571293684 | Z-spread up by 198.5 bp to 256.4 bp (CDS basis: -158.0bp), with the yield to worst at 2.6% and the bond now trading down to 98.6 cents on the dollar (1Y price range: 98.6-103.5).
  • Issuer: Telecom Italia SpA (Rome, Italy) | Coupon: 3.00% | Maturity: 30/9/2025 | Rating: BB | ISIN: XS1497606365 | Z-spread up by 197.4 bp to 490.4 bp (CDS basis: -182.4bp), with the yield to worst at 5.2% and the bond now trading down to 93.1 cents on the dollar (1Y price range: 93.1-103.1).
  • Issuer: Fortune Star (BVI) Ltd (British Virgin Islands) | Coupon: 3.95% | Maturity: 2/10/2026 | Rating: BB- | ISIN: XS2357132849 | Z-spread up by 171.3 bp to 627.6 bp, with the yield to worst at 6.6% and the bond now trading down to 89.9 cents on the dollar (1Y price range: 89.9-95.0).
  • Issuer: Deutsche Lufthansa AG (Cologne, Germany) | Coupon: 2.88% | Maturity: 11/2/2025 | Rating: BB- | ISIN: XS2296201424 | Z-spread up by 152.7 bp to 482.0 bp (CDS basis: -229.2bp), with the yield to worst at 4.8% and the bond now trading down to 94.3 cents on the dollar (1Y price range: 97.2-102.3).
  • Issuer: Saipem Finance International BV (Amsterdam, Netherlands) | Coupon: 3.13% | Maturity: 31/3/2028 | Rating: B+ | ISIN: XS2325696628 | Z-spread up by 122.5 bp to 757.7 bp (CDS basis: 164.5bp), with the yield to worst at 7.9% and the bond now trading down to 77.1 cents on the dollar (1Y price range: 70.6-99.6).
  • Issuer: Renault SA (Boulogne-Billancourt, France) | Coupon: 1.00% | Maturity: 18/4/2024 | Rating: BB | ISIN: FR0013329315 | Z-spread up by 118.4 bp to 328.7 bp (CDS basis: -155.2bp), with the yield to worst at 3.1% and the bond now trading down to 95.3 cents on the dollar (1Y price range: 96.8-100.1).
  • Issuer: Jaguar Land Rover Automotive PLC (Coventry, United Kingdom) | Coupon: 4.50% | Maturity: 15/1/2026 | Rating: B+ | ISIN: XS1881005976 | Z-spread up by 114.1 bp to 589.4 bp (CDS basis: -132.0bp), with the yield to worst at 5.9% and the bond now trading down to 94.6 cents on the dollar (1Y price range: 94.0-104.5).
  • Issuer: Heimstaden AB (Malmo, Sweden) | Coupon: 4.25% | Maturity: 9/3/2026 | Rating: BB+ | ISIN: SE0015657903 | Z-spread down by 1,366.8 bp to 521.4 bp, with the yield to worst at 5.3% and the bond now trading up to 95.7 cents on the dollar (1Y price range: 95.4-100.7).

SELECTED RECENT USD BOND ISSUES

  • Berkshire Hathaway Finance Corp (Financial - Other | Omaha, United States | Rating: NR): US$1,000m Senior Note (US084664DA63), fixed rate (2.88% coupon) maturing on 15 March 2032, priced at 99.95 (original spread of 110 bp), non callable
  • Berkshire Hathaway Finance Corp (Financial - Other | Omaha, United States | Rating: NR): US$750m Senior Note (US084664CZ24), fixed rate (2.30% coupon) maturing on 15 March 2027, priced at 99.98 (original spread of 60 bp), non callable
  • Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$105m Bond (US3130ARAU57), fixed rate (2.00% coupon) maturing on 28 March 2024, priced at 100.00 (original spread of 45 bp), callable (2nc1m)
  • Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$300m Bond (US3130ARB918), fixed rate (2.32% coupon) maturing on 28 March 2025, priced at 100.00 (original spread of 202 bp), callable (3nc1m)
  • Federal Home Loan Banks (Agency | Washington, United States | Rating: NR): US$140m Bond (US3130ARAV31), fixed rate (2.32% coupon) maturing on 28 March 2025, priced at 100.00 (original spread of 202 bp), callable (3nc1m)
  • JP Morgan Structured Products BV (Financial - Other | Amsterdam, United States | Rating: NR): US$150m Unsecured Note (XS1450777880) zero coupon maturing on 8 March 2027, priced at 100.00, non callable
  • San Diego Gas & Electric Co (Utility - Other | San Diego, United States | Rating: A): US$500m First Mortgage Note (US797440CC60), fixed rate (3.70% coupon) maturing on 15 March 2052, priced at 99.44 (original spread of 155 bp), callable (30nc30)
  • San Diego Gas & Electric Co (Utility - Other | San Diego, United States | Rating: A): US$500m First Mortgage Note (US797440CB87), fixed rate (3.00% coupon) maturing on 15 March 2032, priced at 99.72 (original spread of 128 bp), callable (10nc10)
  • Bank of Nova Scotia (Banking | Toronto, Canada | Rating: A): US$700m Senior Note (US06418BAE83), fixed rate (2.95% coupon) maturing on 11 March 2027, priced at 100.00 (original spread of 125 bp), with a make whole call
  • Bank of Nova Scotia (Banking | Toronto, Canada | Rating: A): US$900m Senior Note (US06418BAC28), fixed rate (2.44% coupon) maturing on 11 March 2024, priced at 100.00 (original spread of 90 bp), with a make whole call
  • Bank of Nova Scotia (Banking | Toronto, Ontario, Canada | Rating: A): US$300m Senior Note (US06418BAD01), floating rate (SOFR + 96.0 bp) maturing on 11 March 2024, priced at 100.00, non callable
  • Rogers Communications Inc (Telecommunications | Toronto, Canada | Rating: BBB+): US$2,000m Senior Note (US775109CD18), fixed rate (4.55% coupon) maturing on 15 March 2052, priced at 98.92 (original spread of 245 bp), callable (30nc30)
  • Rogers Communications Inc (Telecommunications | Toronto, Canada | Rating: BBB+): US$2,000m Senior Note (US775109CC35), fixed rate (3.80% coupon) maturing on 15 March 2032, priced at 99.78 (original spread of 205 bp), callable (10nc10)
  • Rogers Communications Inc (Telecommunications | Toronto, Canada | Rating: BBB+): US$750m Senior Note (US775109BZ39), fixed rate (4.50% coupon) maturing on 15 March 2042, priced at 99.00 (original spread of 230 bp), callable (20nc20)
  • Rogers Communications Inc (Telecommunications | Toronto, Canada | Rating: BBB+): US$1,300m Senior Note (US775109CB51), fixed rate (3.20% coupon) maturing on 15 March 2027, priced at 99.99 (original spread of 150 bp), callable (5nc5)
  • Rogers Communications Inc (Telecommunications | Toronto, Canada | Rating: BBB+): US$1,000m Senior Note (US775109CA78), fixed rate (2.95% coupon) maturing on 15 March 2025, priced at 99.93 (original spread of 130 bp), callable (3nc1)
  • Toronto-Dominion Bank (Banking | Toronto, Canada | Rating: A+): US$1,500m Senior Note (US89114TZR66), fixed rate (2.35% coupon) maturing on 8 March 2024, priced at 99.92 (original spread of 85 bp), with a make whole call
  • Toronto-Dominion Bank (Banking | Toronto, Canada | Rating: A+): US$400m Senior Note (US89114TZS40), floating rate (SOFR + 91.0 bp) maturing on 8 March 2024, priced at 100.00, non callable
  • Toronto-Dominion Bank (Banking | Toronto, Canada | Rating: A+): US$1,100m Senior Note (US89114TZT23), fixed rate (2.80% coupon) maturing on 10 March 2027, priced at 99.80 (original spread of 115 bp), with a make whole call
  • Toronto-Dominion Bank (Banking | Toronto, Canada | Rating: A+): US$1,500m Senior Note (US89114TZV78), fixed rate (3.20% coupon) maturing on 10 March 2032, priced at 99.81 (original spread of 145 bp), with a make whole call
  • Westpac Securities NZ Ltd (London Branch) (Financial - Other | London, Australia | Rating: A+): US$500m Senior Note (HK0000824604), fixed rate (2.37% coupon) maturing on 7 March 2025, non callable

NEW LOANS

  • Pentair PLC (BBB-), signed a US$ 1,600m Bridge Loan, to be used for acquisition financing
  • Avis Budget Car Rental LLC (BB-), signed a US$ 500m Term Loan C, to be used for general corporate purposes. It matures on 03/14/29 and initial pricing is set at Term SOFR +300bp
  • Mitsui & Co Ltd (A), signed a US$ 1,050m 364d Revolver, to be used for working capital. It matures on 03/06/23 and initial pricing is set at Term SOFR +50bp
  • Belfor USA Group Inc (BB-), signed a US$ 250m Term Loan B, to be used for 125. It matures on 04/04/26 and initial pricing is set at LIBOR +400bp
  • Imprivata Inc (B), signed a US$ 383m Term Loan B, to be used for acquisition financing
  • Sophia LLC, signed a US$ 325m Term Loan B
  • Avis Budget Car Rental LLC (BB-), signed a US$ 500m Term Loan C, to be used for general corporate purposes. It matures on 03/14/29 and initial pricing is set at Term SOFR +300bp
  • Digital China (China) Ltd, signed a US$ 500m Revolving Credit / Term Loan, to be used for general corporate purposes. It matures on 03/07/25 and initial pricing is set at Term SOFR +169bp