CORPORATE BOND MONTHLY THOMSON REUTERS JULY 2015

Transcription

1 CORPORATE BOND MONTHLY THOMSON REUTERS JULY 215

2 Corporate Bond Monthly - July 215 For more information or questions, please contact: Colm (C.J.) Doherty Head of Credit Market Insight THOMSON REUTERS colm.doherty@thomsonreuters.com Hugo Pereira Senior Market Analyst THOMSON REUTERS hugo.pereira@thomsonreuters.com

3 Corporate Bond Monthly - July 215 CORPORATE BOND MONTHLY Global Corporate Bond Issuance Slide 4 U.S. Corporate Bond Issuance Slide 18 International Corporate Bond Issuance Slide 38 Secondary Market Slide 52 Fund Flows Slide 59 3

4 GLOBAL CORPORATE BOND ISSUANCE

5 GLOBAL INVESTMENT GRADE CORPORATE BONDS Jan-1 Apr-1 Jul-1 Oct-1 Jan-11 GLOBAL INVESTMENT GRADE CORPORATE BONDS Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Corporate Bond Monthly - July 215 Global corporate I-grade issuance increased 12% to $27 billion in July, though it was still the second lowest monthly figure this year. Year to date volume is now at $1.75 trillion, down marginally when compared year-over-year. Jul-14 Oct-14 Jan-15 Apr-15 Jul GLOBAL CORPORATE BOND ISSUANCE 5

6 GLOBAL HIGH YIELD CORPORATE BONDS Jan-1 Apr-1 Jul-1 Oct-1 Jan-11 Apr-11 GLOBAL HIGH YIELD CORPORATE BONDS Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Corporate Bond Monthly - July 215 On the high-yield side, issuance continued to fall in July. There was $19 billion of global issuance in July, the lowest monthly volume this year and a 35% drop from the previous month. Year-to-date issuance stands at $263 billion, 17% less than in the same period a year ago. Jul-14 Oct-14 Jan-15 Apr-15 Jul GLOBAL CORPORATE BOND ISSUANCE 6

7 GLOBAL HIGH YIELD CORPORATE BONDS: USD DENOMINATED Jan-1 Apr-1 Jul-1 GLOBAL HIGH YIELD CORPORATE BONDS USD DENOMINATED Oct-1 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Corporate Bond Monthly - July 215 Just over half of high-yield issuance in July was denominated in USD, which amounted to $9.8 billion. In YTD 215, USD denominated issuance has represented 81% of high yield volume. Jul-14 Oct-14 Jan-15 Apr-15 Jul GLOBAL CORPORATE BOND ISSUANCE 7

8 GLOBAL HIGH YIELD CORPORATE BONDS: NON-USD DENOMINATED GLOBAL HIGH YIELD CORPORATE BONDS NON-USD DENOMINATED Corporate Bond Monthly - July 215 Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Non-USD denominated high-yield issuance increased from the prior month to $8.7 billion spread over 18 issues in July. Year-to-date, issuance is down 35% compared to last year GLOBAL CORPORATE BOND ISSUANCE 8

9 GLOBAL HIGH YIELD CORPORATE BONDS: EURO DENOMINATED GLOBAL HIGH YIELD CORPORATE BONDS EUR DENOMINATED Corporate Bond Monthly - July 215 Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 There was $7.5 billion of Euro denominated high-yield corporate debt issued in July. Year-to-date volume stands at $56 billion, down from $86 billion in the same period last year GLOBAL CORPORATE BOND ISSUANCE 9

10 GLOBAL HIGH YIELD CORPORATE BONDS: GBP DENOMINATED GLOBAL HIGH YIELD CORPORATE BONDS STERLING DENOMINATED Corporate Bond Monthly - July 215 Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 High-yield corporate debt denominated in sterling was $1 billion in July, bringing YTD volume to $7.2 billion, down from $13.2 billion in the corresponding period a year ago GLOBAL CORPORATE BOND ISSUANCE 1

11 BREAKDOWN OF GLOBAL CORPORATE BOND ISSUANCE Share of corporate bond issuance 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % Jan-1 Apr-1 Jul-1 Oct-1 Jan-11 SHARE OF GLOBAL CORPORATE BOND ISSUANCE I-grade High Yield Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Corporate Bond Monthly - July 215 The high-yield share of global corporate bond issuance fell to 8% in July, below the YTD share of 13%. Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 GLOBAL CORPORATE BOND ISSUANCE 11

12 GLOBAL INVESTMENT GRADE CORPORATE BONDS ISSUED IN YTD 215 BY DOMICILE NATION GLOBAL INVESTMENT GRADE CORPORATE BONDS Corporate Bond Monthly - July 215 USA China UK Germany France Canada Japan Switzerland Australia Netherlands South Korea Spain Sweden Italy India Hong Kong Belgium Mexico Malaysia Norway Singapore Republic of United Arab Brazil Thailand Finland Luxembourg Denmark Russian Indonesia New Zealand Cayman Islands South Africa Portugal Austria Turkey Chile Israel Colombia Taiwan Oman Saudi Arabia Morocco Philippines Bahrain Nigeria Kuwait Cyprus Argentina Qatar Slovak Republic Hungary Slovenia Guernsey Bermuda Panama Costa Rica Liechtenstein Greece Iceland Bahamas Monaco Poland U.S. based companies make up the largest share of companies issuing I-grade debt, with a 39% share ($679 billion) of the global market so far in 215. Next is China at $129 billion and the U.K. at $15 billion GLOBAL CORPORATE BOND ISSUANCE 12

13 INVESTMENT GRADE CORPORATE BONDS U.S. DOMICILED ISSUERS BY CURRENCY Q1 2Q1 3Q1 4Q1 1Q11 2Q11 INVESTMENT GRADE CORPORATE BONDS U.S. Euro Other Euro share 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 Corporate Bond Monthly - July 215 The share of borrowing by American domiciled companies that is denominated in euros has slipped in each quarter this year after peaking in 4Q14. 3Q14 4Q14 1Q15 2Q15 Jul-15 25% 2% 15% 1% 5% % Euro share GLOBAL CORPORATE BOND ISSUANCE 13

14 GLOBAL HIGH YIELD CORPORATE BONDS ISSUED IN YTD 215 BY DOMICILE NATION USA UK Luxembourg Germany Italy Netherlands China GLOBAL HIGH YIELD CORPORATE BONDS France Canada Japan Spain Republic of Ireland Australia Cayman Islands Hong Kong Switzerland Guernsey South Africa Bermuda Norway New Zealand Singapore Jordan Corporate Bond Monthly - July 215 U.S. based borrowers make up over half (58%) of the high-yield volume so far this year. Next is the U.K. with a 7% share. Belgium Iceland Malta Bahamas Austria Poland GLOBAL CORPORATE BOND ISSUANCE 14

15 GLOBAL EMERGING MARKET CORPORATE DEBT GLOBAL EMERGING MARKET CORPORATE DEBT Corporate Bond Monthly - July 215 Jan-1 Apr-1 Jul-1 Oct-1 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Emerging market corporate debt issuance fell to $7.6 billion in July. Year-to-date issuance is down 42% from the same time last year GLOBAL CORPORATE BOND ISSUANCE 15

16 Corporate Bond Monthly - July 215 GLOBAL INVESTMENT GRADE CORPORATE BONDS: BIGGEST ISSUERS, YTD 215 Amount (US$ Rank Issuer Bils.) 1 JPMorgan Chase & Co Actavis Funding AT&T Inc Apple Inc Wells Fargo & Co Citigroup Inc AbbVie Inc Morgan Stanley Charter Communications Inc CVS Health Corp Lloyds TSB Bank PLC Royal Bank of Canada Goldman Sachs Group Inc Rabobank HJ Heinz Co Dexia Credit Local SA Microsoft Corp UnitedHealth Group Inc Qualcomm Inc Shell International Finance BV Oracle Corp Coca-Cola Co Daimler Finance North America Toyota Motor Credit Corp Toronto-Dominion Bank 9.6 BIGGEST INVESTMENT GRADE ISSUERS Amount (US$ Rank Issuer Bils.) 26 Bank of America Corp Reynolds American Inc Westpac Banking Corp Nationwide Building Society ABN AMRO Bank NV Sumitomo Mitsui Banking Corp Bank of Nova Scotia Exxon Mobil Corp Merck & Co Inc PEMEX UBS AG Stamford Siemens NV BAT International Finance Zimmer Holdings Inc Societe Generale SA BP Capital Markets Plc Abbey National Treasury Svcs UBS Group AG Groupe BPCE SA Commonwealth Bank of Australia Intel Corp General Motors Finl Co Inc ING Bank NV Macquarie Bank Ltd National Australia Bank Ltd 6.64 GLOBAL CORPORATE BOND ISSUANCE 16

17 GLOBAL HIGH YIELD CORPORATE BONDS: BIGGEST ISSUERS, YTD 215 Amount (US$ Rank Issuer Bils.) 1 Valeant Pharmaceuticals Intl ZF North America Capital Inc GA worldwide SoftBank Corp Ally Financial Inc Family Tree Fiat Chrysler Automobiles NV 3. 8 ArcelorMittal SA Tenet Healthcare Corp CCO Holdings, LLC HCA Inc Altice Financing SA XPO Logistics Inc Chemours Co LLC Altice SA Bombardier Inc ING Groep NV Fortescue Metals Group Ltd Univision Communications Inc Ephios Bondco PLC TerraForm Pwr Op Infor (US) Inc Sabine Pass Liquefaction LLC Micron Technology Inc HJ Heinz Co 2. BIGGEST HIGH YIELD ISSUERS Corporate Bond Monthly - July 215 Amount (US$ Rank Issuer Bils.) 26 PetSmart Inc New Look Secured Issuer plc MarkWest Energy Partners LP Matterhorn Tele Rite Aid Corp United Rentals (North America) Zayo Group LLC UPCB Finance Virgin Media Secured Finance P Schaeffler Finance BV Endo Fin ThyssenKrupp AG Level 3 Financing Inc CommScope Tech Fin LLC Netflix Inc Sprint Corp DaVita HealthCare Partners Inc Platform Specialty Products Communications CITGO Hldg Mallinckrodt Fin Virgin Media Finance PLC Energy XXI Gulf Coast Inc Murray Energy Corp Rest Brands Intl Inc 1.25 GLOBAL CORPORATE BOND ISSUANCE 17

18 U.S CORPORATE BOND ISSUANCE

19 U.S. INVESTMENT GRADE CORPORATE BONDS U.S. INVESTMENT GRADE CORPORATE BONDS Corporate Bond Monthly - July 215 Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul U.S. CORPORATE BOND ISSUANCE U.S. Investment Grade issuance rebounded to $125 billion in July. There was $73 billion of issuance recorded so far this year, 19% higher year-over-year. 19

20 U.S. HIGH YIELD CORPORATE BONDS U.S. HIGH YIELD CORPORATE BONDS Corporate Bond Monthly - July 215 Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul U.S. CORPORATE BOND ISSUANCE U.S. high-yield issuance slipped in July to its lowest level of the year at $7.4 billion. Year-to-date, volume is down 9% year-over-year. 2

21 BREAKDOWN OF U.S. CORPORATE BOND ISSUANCE Share of corporate bond issuance 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % Jan-1 Apr-1 Jul-1 Oct-1 Jan-11 SHARE OF U.S. CORPORATE BOND ISSUANCE Apr-11 High-Yield I-grade Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Corporate Bond Monthly - July 215 I-grade s share of U.S. corporate bond issuance spiked to 94% in July, the highest share since 3Q 14. Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 U.S. CORPORATE BOND ISSUANCE 21

22 U.S. INVESTMENT GRADE CORPORATE BONDS MATURITY PROFILE OF BONDS ISSUED YTD U.S. INVESTMENT GRADE CORPORATE BONDS Corporate Bond Monthly - July Maturity U.S. CORPORATE BOND ISSUANCE 51% of U.S. I-grade bonds issued through July of this year have a tenor of 1 years or more. 22

23 U.S. HIGH YIELD CORPORATE BONDS MATURITY PROFILE OF BONDS ISSUED YTD U.S. HIGH YIELD CORPORATE BONDS Corporate Bond Monthly - July Maturity U.S. CORPORATE BOND ISSUANCE 8% of U.S. high-yield bonds issued year-to-date carry a tenor of 7 years or longer. 23

24 U.S. INVESTMENT GRADE CORPORATE BONDS ISSUED YTD 215 BY INDUSTRY Financials Energy and Power Healthcare U.S. INVESTMENT GRADE CORPORATE BONDS High Technology Industrials Consumer Staples Telecommunic ations Media and Entertainment Retail Corporate Bond Monthly - July 215 Materials Real Estate Consumer Products U.S. CORPORATE BOND ISSUANCE Financials are the most popular issuers of I-grade paper with $348 billion (42% share), energy companies are a distant second with a 13% share, while healthcare companies hold a 11% share of issuance. 24

25 U.S. INVESTMENT GRADE CORPORATE BONDS ISSUANCE BY INDUSTRY YTD 214 VS. YTD Financials Energy and Power Healthcare U.S. INVESTMENT GRADE CORPORATE BONDS High Technology YTD 214 YTD 215 Industrials Consumer Staples Telecommunic ations Materials Consumer Products Corporate Bond Monthly - July 215 Media and Entertainment Real Estate Retail U.S. CORPORATE BOND ISSUANCE With the exception of Financials, the largest sectors have generally seen an increase in I-grade issuance in the first seven months of the year, compared to the same period last year. 25

26 U.S. HIGH YIELD CORPORATE BONDS ISSUED YTD 215, BY INDUSTRY Energy and Power Financials Healthcare U.S. HIGH YIELD CORPORATE BONDS Media and Entertainment Industrials Materials Retail Telecommunic ations High Technology Corporate Bond Monthly - July 215 Consumer Products Consumer Staples Real Estate U.S. CORPORATE BOND ISSUANCE On the high-yield side, energy companies and financials have each issued close to $32 billion of bonds so far this year, for a 17% share. 26

27 U.S. HIGH YIELD CORPORATE BONDS ISSUANCE BY INDUSTRY YTD 214 VS. YTD Energy and Power Financials Healthcare U.S. HIGH YIELD CORPORATE BONDS Media and Entertainment Industrials Materials Retail YTD 214 YTD 215 Telecom High Technology Corporate Bond Monthly - July 215 Consumer Products Consumer Staples Real Estate U.S. CORPORATE BOND ISSUANCE Compared to the same period last year, HY bond issuance has fallen by $17 billion in the Energy & Power sector. Industrials, and Media & Entertainment sectors dropped by $5 billion. In contrast, volumes in the Financials, Healthcare and Materials sectors have climbed. 27

28 U.S. HIGH YIELD CORPORATE BONDS BREAKOUT OF ENERGY & POWER SECTOR Q1 2Q1 3Q1 4Q1 1Q11 2Q11 U.S. HIGH YIELD CORPORATE BONDS Alternative Energy Sources Oil & Gas Other Energy & Power Petrochemicals Pipelines Power Water and Waste Management 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 Corporate Bond Monthly - July 215 2Q14 3Q14 4Q14 1Q15 2Q15 Jul-15 U.S. CORPORATE BOND ISSUANCE There was $2.6 billion of high yield energy and power issuance in July. So far this year there has been $32 billion of issuance, with oil and gas making up the bulk (71%) of this volume. 28

29 U.S. HIGH YIELD CORPORATE BONDS BREAKOUT OF OIL & GAS SECTOR Q1 2Q1 3Q1 4Q1 1Q11 2Q11 3Q11 U.S. HIGH YIELD CORPORATE BONDS 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 Corporate Bond Monthly - July 215 4Q14 1Q15 2Q15 Jul-15 Wholesale Transportation Retail Other Finance Pipeline Natural Resources Manufacturing Gas Distribution Construction Within the Oil & Gas sector most of the issuance has been in the Natural Resources subsector ($1.3 billion in July). Year-to-date, the Natural Resources subsector has accounted for 76% of issuance in the Oil & Gas sector. U.S. CORPORATE BOND ISSUANCE 29

30 U.S. INVESTMENT GRADE CORPORATE BONDS ISSUED YTD 215, BY RATING U.S. INVESTMENT GRADE CORPORATE BONDS Corporate Bond Monthly - July 215 AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB N/A U.S. CORPORATE BOND ISSUANCE Looking at I-grade bonds issued this year, 2% were rated at or above AA-, 38% were rated between A+ and A-, while 38% were rated at or below BBB+. 3

31 U.S. HIGH YIELD CORPORATE BONDS ISSUED YTD 215, BY RATING U.S. HIGH YIELD CORPORATE BONDS Corporate Bond Monthly - July 215 BB+ BB BB- B+ B B- CCC+ CCC N/A U.S. CORPORATE BOND ISSUANCE For HY bonds issued year to date, 45% were rated between BB+ and BB-, 52% were rated B+ or lower. 31

32 U.S. INVESTMENT GRADE CORPORATE BONDS ISSUED YTD 215, DISTRIBUTION OF PROCEEDS SIZE to 199M 2M to 399M 4M to 599M 6M to 799M 8M to 999M 1B to 1.19B U.S. INVESTMENT GRADE CORPORATE BONDS 1.2B to 1.39B 1.4B to 1.59B 1..6B to 1.79B 1.8B to 1.99B 2B to 2.19B 2.2B to 2.39B 2.4B to 2.59B 2.6B to 2.79B 2.8B to 2.99B 3B to 3.19B 3.2B to 3.39B Size of proceeds (US$) 3.4B to 3.59B 3.6B to 3.79B Corporate Bond Monthly - July B to 3.99B 4B to 4.19B 4.2B to 4.39B 4.4B to 4.59B 4.6B to 4.79B 4.8B to 4.99B U.S. CORPORATE BOND ISSUANCE Over half (51%) of U.S. I-grade bonds issued year-to-date were less than $1 billion in size. 32

33 U.S. HIGH YIELD CORPORATE BONDS ISSUED YTD 215, DISTRIBUTION OF PROCEEDS SIZE to 199M 2M to 399M 4M to 599M 6M to 799M 8M to 999M U.S. HIGH YIELD CORPORATE BONDS 1B to 1.19B 1.2B to 1.39B 1.4B to 1.59B 1..6B to 1.79B 1.8B to 1.99B 2B to 2.19B 2.2B to 2.39B Size of proceeds (US$) 2.4B to 2.59B Corporate Bond Monthly - July % of U.S. high-yield bonds issued year-to-date were $1 billion-plus in deal size. 2.6B to 2.79B 2.8B to 2.99B 3.B to 3.19B 3.2B to 3.29B U.S. CORPORATE BOND ISSUANCE 33

34 U.S. INVESTMENT GRADE CORPORATE BONDS NEW ISSUE YIELDS* Average yield to maturity(%) U.S. INVESTMENT GRADE CORPORATE BONDS 1Q1 2Q1 3Q1 4Q1 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 Corporate Bond Monthly - July 215 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 U.S. CORPORATE BONDS *excludes floating rate bonds The average new issue yield for U.S. I-grade corporate bonds fell to 3.59% in July from 3.85% in June, but was still the second highest month this year. 34

35 U.S. HIGH YIELD CORPORATE BONDS NEW ISSUE YIELDS* Average yield to maturity(%) U.S. HIGH YIELD CORPORATE BONDS 1Q1 2Q1 3Q1 4Q1 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 Corporate Bond Monthly - July 215 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 U.S. CORPORATE BONDS *excludes floating rate bonds The average new issue yield for U.S. high-yield corporate bonds climbed to 7.82% in July. The median yield was 7.31%. 35

36 U.S. I-GRADE CORPORATE BONDS : NEW ISSUE YIELDS* BY RATING YTD 215 Average yield to maturity(%) U.S. INVESTMENT GRADE CORPORATE BONDS Avg. Yield Corporate Bond Monthly - July U.S. CORPORATE BONDS AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- NR *excludes floating rate bonds Average new issue I-grade yields have ranged from 2.4% area for AA+ rated credits to 4.15% for BBB- bonds this year. 36

37 U.S. HIGH YIELD CORPORATE BONDS : NEW ISSUE YIELDS* BY RATING YTD 215 Average yield to maturity(%) U.S. HIGH YIELD CORPORATE BONDS Avg. Yield Corporate Bond Monthly - July U.S. CORPORATE BONDS 2 BB+ BB BB- B+ B B- CCC+ CCC NR *excludes floating rate bonds Average new issue yields ranged from the 5.44% area for BB rated credits to 8.44% and 9.96% for CCC+ and CCC bonds, respectively, so far in

38 INTERNATIONAL CORPORATE BOND ISSUANCE

39 INTERNATIONAL INVESTMENT GRADE CORPORATE* BONDS ISSUED IN EUROS Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 *excludes banks Corporate Bond Monthly - July 215 INTERNATIONAL INVESTMENT GRADE CORPORATE BONDS (EUR ISSUES) I-grade international corporate bond issuance dropped to $7 billion in July, its lowest level this year. Year-to-date issuance stands at $187 billion, 6% lower than at the same time last year INTERNATIONAL CORP. BOND ISSUANCE 39

40 INTERNATIONAL HIGH YIELD BOND ISSUES FOR EUROPEAN BORROWERS Corporate Bond Monthly - July 215 INTERNATIONAL HIGH YIELD CORPORATE BOND ISSUES EUROPEAN BORROWERS Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 High-yield issuance for European borrowers remained muted in July with $7.2 billion of issuance recorded. Issuance year-to-date stands at $78 billion, $57 billion less when compared to last year INTERNATIONAL CORP. BOND ISSUANCE 4

41 INTERNATIONAL INVESTMENT GRADE CORPORATE* BONDS IN EUROS FIXED VS. FLOATING Floating Fixed Corporate Bond Monthly - July 215 Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 *excludes banks INTERNATIONAL INVESTMENT GRADE CORPORATE BONDS IN EUROS Fixed rate bonds have accounted for 79% of I-grade issuance so far this year. The bulk of I-grade international corporate bond issuance in July was fixed rate. INTERNATIONAL CORP. BOND ISSUANCE 41

42 INTERNATIONAL HIGH YIELD ISSUES FOR EUROPEAN BORROWERS FIXED VS. FLOATING Floating Fixed Corporate Bond Monthly - July 215 INTERNATIONAL HIGH YIELD CORPORATE BOND ISSUES EUROPEAN BORROWERS Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 High-yield international corporate bond issuance for European borrowers remains overwhelmingly fixed rate, accounting for 95% of volume this year. INTERNATIONAL CORP. BOND ISSUANCE 42

43 INTERNATIONAL I-GRADE CORP* BONDS IN EUROS MATURITY PROFILE OF BONDS ISSUED IN YTD *excludes banks INTERNATIONAL INVESTMENT GRADE CORPORATE BONDS IN EUROS Maturity Corporate Bond Monthly - July % of euro I-grade bonds issued this year carry a tenor of 7 years or longer, 44% have a maturity of 1 years or longer >= INTERNATIONAL CORP. BOND ISSUANCE 43

44 INTERNATIONAL HY ISSUES FOR EUROPEAN BORROWERS MATURITY PROFILE OF BONDS ISSUED IN YTD Maturity Corporate Bond Monthly - July 215 INTERNATIONAL HIGH YIELD CORPORATE BOND ISSUES EUROPEAN ISSUERS 72% of high-yield bonds issued by European borrowers year to date have a tenor of 7 years or more. 226 >= INTERNATIONAL CORP. BOND ISSUANCE 44

45 INTERNATIONAL I-GRADE GRADE CORPORATE* BONDS IN EUROS ISSUED IN YTD 215 BY INDUSTRY Energy and Power *excludes banks INTERNATIONAL INVESTMENT GRADE CORPORATE BONDS IN EUROS Consumer Staples Financials Industrials Materials Consumer Products Healthcare High Technology Real Estate Corporate Bond Monthly - July 215 Over $42 billion (23% share) of I-grade international bond issuance this year was for energy related companies. Consumer Staples was next with $3 billion of paper, just ahead of Financials at $28 billion. Retail Media and Entertainment Telecom INTERNATIONAL CORP. BOND ISSUANCE 45

46 INTERNATIONAL HIGH YIELD ISSUES FOR EUROPEAN BORROWERS ISSUED IN YTD 215 BY INDUSTRY Financials INTERNATIONAL HIGH YIELD ISSUES EUROPEAN BORROWERS Media and Entertainment Industrials Telecom Materials Consumer Products Healthcare Energy and Power Retail Corporate Bond Monthly - July 215 At over $25 billion (33% share), Financials make up the highest share of high-yield paper in Europe. Media & Entertainment related companies were a distant second with a 18% share of issuance. High Technology Consumer Staples Real Estate INTERNATIONAL CORP. BOND ISSUANCE 46

47 INTERNATIONAL INVESTMENT GRADE CORPORATE* BONDS IN EUROS ISSUED IN YTD 215, BY RATING *excludes banks INTERNATIONAL INVESTMENT GRADE CORPORATE BONDS IN EUROS Corporate Bond Monthly - July 215 AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ N/A 45% of rated euro I-grade bonds issued so far this year carry a rating at or below BBB+. At the top end of the scale, 18% are rated between AA- and AA INTERNATIONAL CORP. BOND ISSUANCE 47

48 INTERNATIONAL HIGH YIELD ISSUES FOR EUROPEAN BORROWERS ISSUED IN YTD 215, BY RATING Corporate Bond Monthly - July 215 INTERNATIONAL HIGH YIELD CORPORATE BOND ISSUES - EUROPEAN BORROWERS BB+ BB BB- B+ B B- CCC+ CCC N/A Of the rated high-yield bonds issued so far this year, 59% are rated between BB+ and BB-, while 37% are rated between B+ and B INTERNATIONAL CORP. BOND ISSUANCE 48

49 INTERNATIONAL I-GRADE CORP* BONDS IN EUROS - ISSUED IN YTD 215, DISTRIBUTION BY SIZE to 199M *excludes banks INTERNATIONAL INVESTMENT GRADE CORPORATE BONDS IN EUROS 2M to 399M 4M to 599M 6M to 799M 8M to 999M 1B to 1.19B 1.2B to 1.39B 1.4B to 1.59B 1.6B to 1.79B Size of proceeds (US$) 1.8B to 1.99B 2B to 2.19B Corporate Bond Monthly - July % of euro I-grade corporate bonds issued in the first half of the year were $1 billion-plus in size of proceeds. 2.2B to 2.39B 2.4B to 2.59B 2.6B to 2.79B 2.8B to 2.99B INTERNATIONAL CORP. BOND ISSUANCE 49

50 INTERNATIONAL HY ISSUES FOR EUROPEAN BORROWERS- ISSUED IN YTD 215,DISTRIBUTION BY SIZE to 199M 2M to 399M 4M to 599M 6M to 799M 8M to 999M 1B to 1.19B 1.2B to 1.39B 1.4B to 1.59B Size of proceeds (US$) Corporate Bond Monthly - July 215 INTERNATIONAL HIGH YIELD CORPORATE BOND ISSUES - EUROPEAN BORROWERS On the high-yield side, 71% bonds issued so far this year were under $8 million in size of proceeds. 1.6B to 1.79B 1.8B to 1.99B 2B to 2.19B INTERNATIONAL CORP. BOND ISSUANCE 5

51 INTERNATIONAL HIGH YIELD BOND ISSUES FOR ASIAN BORROWERS Q21 2Q21 3Q21 4Q21 1Q211 2Q211 3Q211 4Q211 1Q212 2Q212 3Q212 4Q212 1Q213 2Q213 3Q213 4Q213 1Q214 2Q214 Corporate Bond Monthly - July 215 INTERNATIONAL HIGH YIELD CORPORATE BOND ISSUES ASIAN BORROWERS High-yield issuance for Asian borrowers jumped to $4.8 billion in July, taking year-to-date volume to $17 billion. 3Q214 4Q214 1Q215 2Q215 Jul INTERNATIONAL CORP. BOND ISSUANCE 51

52 SECONDARY MARKET

53 TRADING VOLUME HIGH GRADE (TRACE DISSEMINATED TRADES) Volume Traded (US$ Bils.) Volume Traded (US$ Bils.) Number of Trades TRADING VOLUME HIGH GRADE Corporate Bond Monthly - July 215 7, 65, 6, 55, 5, 45, 4, 35, Number of Trades SECONDARY MARKET 3, Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 There has been $2.49 trillion of high-grade bond trading volume so far in 215, volumes are up 22% from a year ago. 53

54 TRADING VOLUME HIGH YIELD (TRACE DISSEMINATED TRADES) Volume Traded (US$ Bils.) Volume Traded (US$ Bils.) Number of Trades TRADING VOLUME HIGH YIELD Corporate Bond Monthly - July 215 3, 28, 26, 24, 22, 2, 18, 16, 14, Number of Trades SECONDARY MARKET 12, 1, Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 There was $1.2 trillion of high-yield bonds traded year-to-date. Trading volume is 69% higher when compared year-over-year. 54

55 MOST ACTIVE ISSUERS BY VOLUME INVESTMENT GRADE JULY 215 Corporate Bond Monthly - July 215 # Issuer Ticker Volume (est.) Trade Count % of Mkt Cumulative Percent 1 JPMORGAN CHASE & CO JPM 11,3,449,217 24, % 3.25% 2 CCO SAFARI II LLC CHTRIG 9,255,38, 2, % 5.97% 3 CVS HEALTH CORP CVS 9,186,599,342 5,95 2.7% 8.68% 4 WELLS FARGO & CO WFC 9,152,575, 14, % 11.37% 5 BANK OF AMERICA CORP BAC 8,673,798,67 22, % 13.93% 6 MORGAN STANLEY MS 8,2,969,51 15, % 16.28% 7 CITIGROUP INC C 7,124,292,193 15, % 18.38% 8 GOLDMAN SACHS GROUP INC GS 6,296,273,97 23, % 2.23% 9 VERIZON COMMUNICATIONS INC VZ 5,65,999, 12, % 21.88% 1 AT&T INC T 5,495,444, 13, % 23.5% 11 UNITEDHEALTH GROUP INC UNH 4,878,812, 3, % 24.94% 12 GENERAL MOTORS FINANCIAL COMPANY INC GM 4,779,17, 3, % 26.35% 13 GENERAL ELECTRIC CO GE 4,715,989, 19, % 27.73% 14 APPLE INC AAPL 3,555,198, 6,61 1.5% 28.78% 15 INTEL CORP INTC 3,539,192, 3, % 29.82% 16 KRAFT HEINZ FOODS CO KHC 3,471,228, 2, % 3.84% 17 ACTAVIS FUNDING SCS AGN 2,919,833, 3,2.86% 31.7% 18 COMCAST CORP CMCSA 2,914,997, 4,182.86% 32.56% SECONDARY MARKET 19 HSBC FINANCE CORP HSBC 2,829,799,661 4,212.83% 33.4% 2 PEPSICO INC PEP 2,88,677, 3,725.83% 34.22% *Note: Size assumption of $12.1 MM used for trades > $5MM 55

56 MOST ACTIVE ISSUERS BY VOLUME HIGH YIELD JULY 215 # Issuer Ticker Volume (est.) Trade Count % of Mkt Corporate Bond Monthly - July 215 Cumulative Percent 1 CHESAPEAKE ENERGY CORP CHK 3,528,311, 6, % 2.12% 2 SPRINT COMMUNICATIONS INC S 3,33,81, 4, % 3.94% 3 FMG RESOURCES (AUGUST 26) PTY LTD FMGAU 2,73,6, 1, % 5.56% 4 INTELSAT LUXEMBOURG SA INTEL 2,452,454, 1, % 7.3% 5 BOMBARDIER INC BBDBCN 2,325,753, 2,56 1.4% 8.43% 6 TRANSOCEAN INC RIG 2,246,854, 5, % 9.78% 7 ARCELORMITTAL SA MTNA 2,47,533, 4, % 11.1% 8 CALIFORNIA RESOURCES CORP CALRES 2,4,556, % 12.23% 9 PEABODY ENERGY CORP BTU 2,27,994, 4, % 13.45% 1 HCA INC HCA 1,975,378, 2, % 14.63% 11 TENET HEALTHCARE CORP THC 1,937,99, 1, % 15.8% 12 VRX ESCROW CORP VRXCN 1,927,11, 1, % 16.95% 13 SANDRIDGE ENERGY INC SD 1,786,57, 1, % 18.3% 14 HALCON RESOURCES CORP HKUS 1,724,88, % 19.6% 15 IHEARTCOMMUNICATIONS INC IHRT 1,599,27, % 2.2% 16 NAVIENT CORP NAVI 1,549,398,5 3,571.93% 2.95% 17 ALLY FINANCIAL INC ALLY 1,546,195,27 2,512.93% 21.88% SECONDARY MARKET 18 T-MOBILE USA INC TMUS 1,514,457, 2,348.91% 22.79% 19 WINDSTREAM SERVICES LLC WIN 1,495,33, 1,846.9% 23.68% 2 LINN ENERGY LLC LINE 1,48,454, 3,448.89% 24.57% * Note: Size assumption of $3.8MM used for trades > $1MM 56

57 CORPORATE GLOBAL BOND INDEX Yield to worst (%) GLOBAL BOND INDEX YIELDS - CORPORATE Corporate Bond Monthly - July 215 Barclays Global Aggregate Bond Index - Corporate SECONDARY MARKET 2. Yields on the Barclays Corporate Global Aggregate Bond Index tightened by 4 basis points in July to 2.79%, but remain 47 bps above levels recorded in 1Q15. 57

58 HIGH YIELD BOND INDEX Yield to worst (%) U.S. HIGH YIELD BOND INDEX Corporate Bond Monthly - July 215 Barclays U.S. Corporate High Yield SECONDARY MARKET Yields on the Barclays U.S. Corporate High Yield index reached as high as 7.8% in July, its highest level since 4Q14, before finishing July at 6.87%, a 29 bps widening for the month. 58

59 FUND FLOWS

60 Corporate Bond Monthly - July 215 U.S. INVESTMENT GRADE CORPORATE BOND FUND FLOWS INVESTMENT GRADE CORPORATE BOND FUND FLOWS FUND FLOWS Investment grade corporate bond funds posted outflows of $2.7 billion in July, down from $12.8 billion in June. But despite the outflows in the last two month, I-grade funds have registered only $492 million of outflows year--date. 6

61 Corporate Bond Monthly - July 215 U.S. INVESTMENT GRADE CORPORATE BOND FUND FLOWS - MUTUAL FUND VS. ETF BREAKOUT INVESTMENT GRADE CORPORATE BOND FUND FLOWS FUND FLOWS I-grade mutual funds posted an outflow of $4.3 billion in July, while ETFs in contrast pulled in $1.6 billion. 61

62 U.S. HIGH YIELD BOND FUND FLOWS HY BOND FUND FLOWS Corporate Bond Monthly - July 215 FUND FLOWS While down from the huge outflow of $8.8 billion seen in June, HY bond funds still saw an outflow of $884 million in July, bringing the YTD outflow to $1.4 billion. 62

63 Corporate Bond Monthly - July 215 U.S. HY BOND FUND FLOWS MUTUAL FUND VS. ETF BREAKOUT HY BOND FUND FLOWS FUND FLOWS High yield bond mutual funds posted outflows of just over $2 billion in July, while ETFs saw inflows amounting to $1.2 billion. Through July this year, mutual fund have seen $1.7 billion exit, while ETF inflows have posted inflows of $269 million. 63

64 U.S. LOAN VS. HY BOND FUND FLOWS LOAN VS. HY BOND FUND FLOWS Corporate Bond Monthly - July 215 FUND FLOWS Loan fund flows were marginally negative in July at $2 million. YTD outflows are a much larger $6.7 billion. HY bond funds still saw an outflow of $884 million in July, bringing the YTD outflow to $1.4 billion. 64