North American Bond Research – March 13, 2020

MARKETS ROARED UP AS PRESIDENT TRUMP DECLARED A STATE OF EMERGENCY UNDER THE STAFFORD ACT AND FREED UP $50 BILLION IN FEDERAL AID FOR STATES AND MUNICIPALITIES. 10 Year Treasury notes were up 10.2 basis points.  S&P +9.29%, Dow +9.36%, NASDAQ  +9.35%.

Key Gainers and Losers	Volume Leaders
+   Deutsche Bank AG 6% PERP +2.6%   Numericable-SFR SA 7.375% 5/1/2026 144A +3.4%   HCA Inc. 3.5% 9/1/2030 +2.5%   Ypso Finance Bis SA 6% 2/15/2028 144A +2.8% –   Crown Castle Intl Corp. 5.25% 1/15/2023 -0.2%   CCO Hldg LLC 5.5% 5/1/2026 144A -0.9%   Vodafone Group PLC 7% 4/4/2079 -0.8%   Dish DBS Corp. 6.75% 6/1/2021 (1) -2.2%	Crown Castle Intl Corp.   5.25% 1/15/2023 Deutsche Bank AG   6% PERP Numericable-SFR SA   7.375% 5/1/2026 144A HCA Inc.   3.5% 9/1/2030 Ypso Finance Bis SA   6% 2/15/2028 144A

Industry Returns Tracker

Industry Past Day Past Week Past Month Past Quarter YTD Past Year Agriculture, Forestry, Fishing -3.63% -7.94% -8.68% -6.34% -7.22% 5.87% Mining -5.91% -24.63% -28.32% -26.79% -29.29% -21.03% Construction -0.93% -3.56% -3.63% -1.49% -1.82% 9.74% Manufacturing -2.24% -6.00% -6.36% -3.87% -4.73% 4.56% Transportion, Communication, Electric/Gas -2.67% -6.81% -7.13% -3.98% -5.04% 5.89% Wholesale -1.90% -6.23% -7.07% -4.69% -5.83% 2.79% Retail -2.74% -6.41% -7.33% -4.58% -5.89% 6.19% Finance, Insurance, Real-Estate -1.94% -5.10% -5.56% -3.39% -4.12% 5.96% Services -2.54% -5.95% -6.56% -4.49% -5.30% 4.59% Public Administration -3.06% -8.23% -7.55% -4.71% -5.96% 3.36% Energy -6.09% -24.52% -27.57% -25.25% -28.20% -20.04%   Total returns (non-annualized) by rating, market weighted.

New Issues

Forward Calendar

(None Current 03/13/2020)

1. Championx: $537MM TL 2. Xperi Corp. : $1.1B seven-year secured covenant lite TLB 3. Capstone Logistics Acquisition Inc.: $340MM TLB (B3/B-) 4. Cornerstone Ondemand Inc.: $1.135MM senior secured credit facilities: $150MM revolver; $985MM TLB 5. Eldorado Resorts Inc./Caesars Entertainment Corp.: $6.4B credit facilities:$1B revolver at Eldorados; $3B seven-year cove-lite TLB due 2027 at Eldorado; $2.4B seven-year cove-lite TLB due 2027 at Caesars Resorts Collection 6. Innovate Xcessories & Services LLC: $695MM credit facilities: $75MM revolver; $620MM TL(B2/B) 7. Instructure: $825MM senior secured credit facilities: $50MM revolver; $775MM TL 8. Open Lending LLC: $225MM TLB 9. RSA: $1.425B credit facilities: $75MM revolver; $1B TL; $350MM TL

NEW ISSUANCE WATCH: on 02/21/2020 participants welcome a $600MM new corporate-bond offering by
Mattamy Group.  The most recent data showed money flowed in of ETF/mutual funds for the week ended 01/10/2020, with a net inflow of $9.8 billion.

Top Widening Loans	Top Narrowing Loans
Revlon Consumer Products Corp. (USD) RC L+300 04/17/2020 Playa Resorts Holding BV (USD) TLB L+275 04/27/2024 Casper Bidco (EUR) TLB E+475 07/30/2026 CDS US Intermediate Holdings Inc. (USD) TL2 L+825 06/24/2023 Onex Schumacher Finance LP (USD) TL L+400 07/31/2022	United Site Services Inc (USD) TL2 L+775 08/25/2025 Audio Visual Services Corp. (USD) TLB L+325 03/01/2025 Duravant LLC (USD) TL L+725 07/19/2025 Consolidated Precision Products (USD) TL2 L+775 04/30/2026 Merlin Entertainments PLC (USD) TLB L+325 11/05/2026 Comexposium SAS (EUR) TLB E+400 01/31/2026

SYNDICATED LOANS HIGHLIGHTS:

Deals recently freed for secondary trading, notable secondary activity:

• Symantec Corp., Broadcom LTD, Toll Brothers Inc., Cole-Parmer Instrument Co.

OVERALL CREDIT MARKET:

Long-term bond yields are expected to hit a cyclical peak in 2019 given tight fiscal policy and lagging global economies. Europe remains checked by stubbornly low inflationary forces.  Positive effects remained in force:

• TED spread held below  33 bp (basis points), as of 03/11/2020
• Net negative capital flows into high-yield ETFs & mutual funds

WORLD HEALTH ORGANIZATION DECLARES THAT THE CORONAVIRUS IS A PANDEMIC. STOCKS FELL ALL DAY.  10 Year Treasury notes were up 7.2 basis points.  S&P –4.89%, Dow -5.86%, NASDAQ  -4.7%.

CORONA VIRUS UPDATE: CHINA TO DATE HAS HAD 113000+ CASES AND 4000+ DEATHS. THE VIRUS SEEMS TO BE SLOWING DOWN IN CHINA AS NEW CASES AND DEATHS SEEM TO BE ACCELERATING INTERNATIONALLY.     (Advantage Data Inc.). Extensive corporate-bond index data showed a net daily grade increment for high-grade versus high-yield constituents. High-yield bonds edged out high-grade debt as of 3 PM, London time.  Among European high-yield bonds showing a concurrence of top price gains at appreciable volumes traded,  Bombardier Inc. (USD) 7.5% 12/1/2024 Reg S made some analysts ‘Conviction buy’ lists. (See the chart for Bombardier Inc. bonds below). Pierre Robert

Key Gainers and Losers	Volume Leaders
+   Goldman Sachs Group Inc. 2.6% 2/7/2030 +0.9%   CVS Health Corp. 4.3% 3/25/2028 +0.5%   General Electric Co. FLT% PERP (1) +1.8%   GE Capital Intl. Funding Co. 4.418% 11/15/2035 +1.2% –   Novartis Capital Corp. 2.2% 8/14/2030 -1.6%   CVS Health Corp. 3.7% 3/9/2023 -0.4%   Citigroup Inc. 2.976% 11/5/2030 -0.3%   Crown Castle Intl Corp. 5.25% 1/15/2023 -0.2%	Goldman Sachs Group Inc.   2.6% 2/7/2030 CVS Health Corp.   4.3% 3/25/2028 General Electric Co.   FLT% PERP (1) GE Capital Intl. Funding Co.   4.418% 11/15/2035

Industry Returns Tracker

Industry Past Day Past Week Past Month Past Quarter YTD Past Year Agriculture, Forestry, Fishing -0.64% -2.00% -1.13% 2.17% 1.40% 6.07% Mining -2.12% -10.24% -9.24% -6.97% -7.59% 3.56% Construction -1.30% -3.93% -2.22% 0.39% 0.21% 8.28% Manufacturing -1.50% -3.15% -1.07% 1.33% 0.98% 10.67% Transportion, Communication, Electric/Gas -2.40% -5.41% -2.92% -0.05% -0.33% 11.56% Wholesale -1.45% -3.36% -1.87% 0.70% 0.19% 10.89% Retail -1.74% -3.48% -1.16% 1.19% 0.88% 11.37% Finance, Insurance, Real-Estate -0.97% -2.45% -0.71% 1.19% 0.88% 8.48% Services -1.61% -3.04% -0.70% 1.65% 1.30% 10.96% Public Administration -0.06% 0.16% 2.14% 3.23% 3.05% 6.44% Energy -2.15% -10.90% -9.92% -7.65% -8.33% 2.29%   Total returns (non-annualized) by rating, market weighted.

New Issues	New Issues [Continued]
1. Ohio Power Co. (USD) 2.6% 4/1/2030 (03/13/2020): 350MM Senior Unsecured Notes, Price at Issuance 99.894, Yielding 2.61%.

NEW ISSUANCE WATCH: on 03/06/2020 participants welcome a $700MM new corporate-bond offering by Key Bank. The most recent data showed money flowed in of ETF/mutual funds for the week ended 01/10/2020, with a net inflow of $9.8 billion.

Top Widening Loans	Top Narrowing Loans
Revlon Consumer Products Corp. (USD) RC L+300 04/17/2020 Playa Resorts Holding BV (USD) TLB L+275 04/27/2024 Casper Bidco (EUR) TLB E+475 07/30/2026 CDS US Intermediate Holdings Inc. (USD) TL2 L+825 06/24/2023 Onex Schumacher Finance LP (USD) TL L+400 07/31/2022 Doha Bank (USD) TL L+100 12/20/2020 Commercial Bank of Qatar (USD) TL 03/23/2020	United Site Services Inc (USD) TL2 L+775 08/25/2025 Audio Visual Services Corp. (USD) TLB L+325 03/01/2025 Duravant LLC (USD) TL L+725 07/19/2025 Consolidated Precision Products (USD) TL2 L+775 04/30/2026 Merlin Entertainments PLC (USD) TLB L+325 11/05/2026 Comexposium SAS (EUR) TLB E+400 01/31/2026 LA Fitness PLC (USD) TLB L+325 04/18/2025

SYNDICATED LOANS HIGHLIGHTS:

Deals recently freed for secondary trading, notable secondary activity:

• Symantec Corp., Broadcom LTD, Toll Brothers Inc., Cole-Parmer Instrument Co.

OVERALL CREDIT MARKET:

Long-term bond yields are expected to hit a cyclical peak in 2019 given tight fiscal policy and lagging global economies. Europe remains checked by stubbornly low inflationary forces.  Positive effects remained in force:

• TED spread held below 33 bp (basis points), as of 03/11/2020
• Net positive capital flows into high-yield ETFs & mutual funds

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