North American Bond Research – March 27, 2020

Key Gainers and Losers

Volume Leaders

+   Ford Motor Credit Co. 4.389% 1/8/2026 +8.7%   Ford Motor Credit Co. 5.113% 5/3/2029 +15.5%   HCA Inc. 3.5% 9/1/2030 +1.4%   Petrobras Global Finance BV 8.75% 5/23/2026 +2.3%   Gap Inc. 5.95% 4/12/2021 +0.6% –   General Motors Co. 4.875% 10/2/2023 -2.5%   Frontier Communications Corp. 10.5% 9/15/2022 -8.2%   Frontier Communications Corp. 11% 9/15/2025 -6.4%   Freeport-McMoRan Inc. 5% 9/1/2027 -3.4%   Tenet Healthcare Corp. 8.125% 4/1/2022 -0.8%

Ford Motor Credit Co.   4.389% 1/8/2026 Ford Motor Credit Co.   5.113% 5/3/2029 General Motors Co.   4.875% 10/2/2023 Frontier Communications Corp.   10.5% 9/15/2022 Frontier Communications Corp.   11% 9/15/2025

Industry Returns Tracker

Industry Past Day Past Week Past Month Past Quarter YTD Past Year Agriculture, Forestry, Fishing 1.69% 0.71% -17.58% -15.59% -15.72% -5.69% Mining 1.90% -4.92% -39.84% -40.52% -41.60% -33.35% Construction 0.48% -3.91% -13.36% -11.23% -11.26% -0.28% Manufacturing 1.38% -2.09% -15.60% -14.22% -14.12% -4.77% Transportion, Communication, Electric/Gas 2.27% 0.93% -13.73% -12.00% -12.03% -1.80% Wholesale 1.21% -1.83% -14.88% -13.88% -14.03% -4.40% Retail 1.94% -4.37% -17.90% -16.83% -16.99% -4.08% Finance, Insurance, Real-Estate 1.59% -1.98% -13.98% -12.51% -12.56% -2.25% Services 2.05% -0.97% -15.29% -14.41% -14.46% -3.92% Public Administration 1.79% -2.14% -20.73% -17.94% -18.17% -10.39% Energy 1.80% -5.37% -39.83% -40.23% -41.37% -33.91%   Total returns (non-annualized) by rating, market weighted.

New Issues

Forward Calendar

(None Current 03/27/2020)

1. AVI-SPL: $370MM covenant lite TLB (B2/B) 2. Service Logic: $140MM bank debt: $40MM TL; $100MM DD TL 3. CJ Foods Inc.: $285MM TLB 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. RSA: $1.425B credit facilities: $75MM revolver; $1B TL; $350MM TL 9. Snapav: $390MM term loans: $290MM TL (B2); $100MM TL 10. Tata Chemicals North America Inc. : $380MM TL (Ba3)

NEW ISSUANCE WATCH: No new issues  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
Ascent Resources Marcellus LLC (USD) TL EXT L+650 12/31/2049 CD&R Dock Bidco LTD (GBP) TLB L+500 03/13/2026 AVSC Holding Corp. (USD) TLB L+450 09/19/2026 Jordan Healthcare Hldg Inc. (USD) TL L+500 05/15/2025 J Crew Group Inc. (USD) TLB L+322 03/06/2021	Sundyne US Purchaser (USD) TL L+400 04/23/2026 Mattress Firm (USD) TL EXIT 11/21/2022 Grifols Worldwide Operations LTD (USD) TLB L+225 01/24/2025 Canyon Valor Companies Inc. (EUR) TLB E+300 06/16/2023 Orion EngineeRed Carbons Hldgs GmbH (EUR) TLB E+225 07/25/2024

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  147 bp (basis points), as of 03/27/2020
• Net negative capital flows into high-yield ETFs & mutual funds

PRESIDENT TRUMP INVOKES PRODUCTION ACT COMPELLING  GM TO MAKE VENTILATORS. PRESIDENT SIGNS $2 TRILLION AID PACKAGE. CORONAVIRUS CASES AND DEATHS SURGE AGAIN.  10 Year Treasury notes were down 6.2 basis points. S&P -3.37%, Dow -4.06%, NASDAQ -3.78%.

CORONA VIRUS UPDATE: GLOBAL CORONAVIRUS TO DATE HAS HAD 590000+ CASES AND 27000+ DEATHS. IN THE UNITED STATES THE CORONAVIRUS COUNT IS 100000+ CASES AND 1500+ DEATHS.  Among high-grade bonds showing topmost price gains at appreciable volumes traded, JC Penney Co Inc (USD) 7.125% 11/15/2023 made analysts’ ‘Conviction Buy’ list. (See the chart below for JC Penney Co Inc. bonds) Pierre Robert

Key Gainers and Losers	Volume Leaders
+   Morgan Stanley 5.597% 3/24/2051 +2.1%   Wells Fargo & Co. 5.013% 4/4/2051 +2.7%   HSBC Hldg PLC 4.95% 3/31/2030 +1.1%   Comcast Corp. 3.75% 4/1/2040 +2.6%   Mastercard Inc. 3.85% 3/26/2050 +3.8% –   Marriott Intl Inc. 2.125% 10/3/2022 -1.2%   IBM Cr Corp. 3.45% 11/30/2020 -0.3%   Deere & Co. 3.1% 4/15/2030 -0.3%   Comcast Corp. 3.1% 4/1/2025 -0.1%   PepsiCo. Inc. 2.25% 3/19/2025 -0.1%	Morgan Stanley   5.597% 3/24/2051 Wells Fargo & Co.   5.013% 4/4/2051 HSBC Hldg PLC   4.95% 3/31/2030 Comcast Corp.   3.75% 4/1/2040 Mastercard Inc.   3.85% 3/26/2050 Walt Disney Co.   4.7% 3/23/2050 Lowe’s Companies Inc.   4.5% 4/15/2030 Nike Inc.   3.375% 3/27/2050 Deere & Co.   3.75% 4/15/2050 Intel Corp.   4.75% 3/25/2050

Industry Returns Tracker

Industry Past Day Past Week Past Month Past Quarter YTD Past Year Agriculture, Forestry, Fishing 0.08% -1.86% -8.75% -5.68% -5.15% 3.94% Mining 1.40% -3.53% -18.91% -16.58% -16.63% -4.99% Construction 1.23% -3.62% -10.00% -7.20% -7.16% 0.60% Manufacturing 1.16% 1.39% -6.71% -3.74% -3.77% 4.97% Transportion, Communication, Electric/Gas 1.35% 1.63% -9.65% -6.01% -5.95% 4.21% Wholesale 0.95% -1.32% -7.84% -5.41% -5.48% 3.09% Retail 1.17% 1.58% -7.12% -4.07% -4.08% 4.79% Finance, Insurance, Real-Estate 0.86% 0.51% -5.70% -3.21% -3.28% 3.76% Services 1.39% 1.89% -6.20% -3.07% -3.10% 6.27% Public Administration 0.04% 0.37% 1.39% 3.05% 2.99% 5.61% Energy 1.60% -2.84% -18.60% -16.19% -16.22% -6.19%   Total returns (non-annualized) by rating, market weighted.

New Issues

New Issues [Continued]

1. Walt Disney Co. (CAD) 3.057% 3/30/2027 (03/26/2020): 1300MM Senior Unsecured Notes, Price at Issuance 100, Yielding 3.06%. 2. State Street Corp. (USD) VAR% 3/30/2026 Reg S (03/26/2020): 500MM Senior Unsecured Notes, Price at Issuance 100. 3. State Street Corp. (USD) VAR% 3/30/2023 Reg S (03/26/2020): 750MM Senior Unsecured Notes, Price at Issuance 100. 4. State Street Corp. (USD) VAR% 3/30/2023 144A (03/26/2020): 750MM Senior Unsecured Notes, Price at Issuance 100. 5. CVS Health Corp (USD) 3.75% 4/1/2030 (03/26/2020): 1500MM Senior Unsecured Notes, Price at Issuance 99.777, Yielding 3.78%. 6. CVS Health Corp (USD) 4.125% 4/1/2040 (03/26/2020): 1000MM Senior Unsecured Notes, Price at Issuance 98.314, Yielding 4.25%. 7. CVS Health Corp (USD) 3.625% 4/1/2027 (03/26/2020): 750MM Senior Unsecured Notes, Price at Issuance 99.822, Yielding 3.65%. 8. Interpublic Group of Cos Inc. (USD) 4.75% 3/30/2030 (03/26/2020): 650MM Senior Unsecured Notes, Price at Issuance 99.418, Yielding 4.82%. 9. Weyerhaeuser Co. (USD) 4% 4/15/2030 (03/26/2020): 750MM Senior Unsecured Notes, Price at Issuance 98.47, Yielding 4.19%.

NEW ISSUANCE WATCH: on 03/27/2020 participants welcome an $750MM new corporate-bond offering by State Street Corp. 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
Ascent Resources Marcellus LLC (USD) TL EXT L+650 12/31/2049 CD&R Dock Bidco LTD (GBP) TLB L+500 03/13/2026 AVSC Holding Corp. (USD) TLB L+450 09/19/2026 Jordan Healthcare Hldg Inc. (USD) TL L+500 05/15/2025 J Crew Group Inc. (USD) TLB L+322 03/06/2021	Sundyne US Purchaser (USD) TL L+400 04/23/2026 Mattress Firm (USD) TL EXIT 11/21/2022 Grifols Worldwide Operations LTD (USD) TLB L+225 01/24/2025 Canyon Valor Companies Inc. (EUR) TLB E+300 06/16/2023 Orion EngineeRed Carbons Hldgs GmbH (EUR) TLB E+225 07/25/2024

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 147 bp (basis points), as of 03/27/2020
• Net positive capital flows into high-yield ETFs & mutual funds

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