insight · 2020-05-14 · - fair market value in the secondary market - etf prices that do not...

Unchartered TerritoryWe just experienced one of the most severe corrections in history as the coronavirus continued to wreak havoc on the global economy and markets. Mandatory stay at home orders in states like California and New York are bringing non-essential economic activities to a standstill. The hotel, airline, restaurant, gaming, and retail industries have seen revenues fall off the proverbial cliff. U.S. airline travel, as measured by the TSA, showed a 93% decline (Y-o-Y) in passenger volumes. The speed and severity of this crisis are unprecedented, resulting in some record breaking moves: Record monthly drop in oil prices, record inter day equity volatility, record monthly spread widening (and remediation), record mutual fund outflows, record weekly jobless claims, record bank revolver draws, record number of ratings downgrades and fallen angels, and a record pace of fed balance sheet expansion.

CREDIT UPDATE

Looking For The Silver LiningTAMMY KARP | 8 APRIL 2020

Tammy KarpManaging DirectorFixed Income

Ms. Karp is a Managing Director in the Fixed Income group where she trades investment grade and cross over securities. Ms. Karp joined TCW in 2009 during the acquisition of Metropolitan West Asset Management LLC (MetWest). Prior to joining MetWest in 1997, she was with the fixed income department at The Capital Group. Ms. Karp earned her BS in Business from University of Arizona.

INSIGHT

TSA Checkpoint Traveler Volumes (U.S. Airports) Yesterday was 154k, Down -93% vs. Same Day Last Year

Source: BloombergNEF, TSA

2.5

2.0

1.5

1.0

0.5

0.0

100%

80%

60%

40%

20%

0%

90%

70%

50%

30%

10%

04 M

ar05

Mar

06 M

ar07

Mar

08 M

ar09

Mar

10 M

ar11

Mar

12 M

ar13

Mar

14 M

ar15

Mar

16 M

ar17

Mar

18 M

ar19

Mar

20 M

ar21

Mar

22 M

ar23

Mar

24 M

ar25

Mar

26 M

ar27

Mar

28 M

ar29

Mar

30 M

ar

Trav

eler

Th

rou

gh

pu

t (m

illio

ns)

Percen

tage o

f 20

19

2

CREDIT UPDATE

Looking For The Silver Lining

U.S. Jobless Claims: From Record Employment to RecessionVIX Touched All-Time Highs

Source: Bloomberg, Goldman Sachs Global Investment Research Source: Bloomberg

Oil Prices Plummeted: Oil Hit With Both Supply and Demand Shocks

Source: BofA Global Research

Note: Data are for US_domiciled funds only.Source: EPFR Global

Note: Data are for US_domiciled funds only.Source: EPFR Global

2000

2001

2002

2003

2004

2005

2007

2008

2009

2010

2011

2013

2014

2015

2016

2017

2019

2020

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

Th

ou

san

ds

0

10

20

30

40

50

60

70

80

90

1990 1995 2000 2005 2010 2015 2020

VIX

-100

-80

-60

-40

-20

0

20

40

Fund

Flow

($bn

)

Equities All Fixed Income

18-Dec-19

25-Dec-19

1-Jan-20

8-Jan-20

15-Jan-20

22-Jan-20

29-Jan-20

5-Feb-20

12-Feb-20

19-Feb-20

26-Feb-20

4-Mar-20

11-Mar-20

18-Mar-20

25-Mar-20

-50

-40

-30

-20

-10

0

10

20

Wee

kly

Net

Fund

Flow

s($

bn) HG Funds HG ETF

10-A

pr-19

15-M

ay-19

19-Ju

n-19

24-Ju

l19

28-A

ug-19

2-Oct-

19

15-Ja

n-20

19-Fe

b-20

25-M

ar-20

6-Nov-1

9

11-D

ec-19

0

10

20

30

40

50

60

70WTI Crude Oil 1st Future ($/bbl)

14-M

ar-19

15-A

pr-19

14-M

ar-19

14-M

ar-19

16-M

ay-19

18-Ju

n-1919

-Jul-1

920

-Aug-1

920

-Sep

-1922

-Oct-

1921

-Nov

-1924

-Dec

-2028

-Jan-20

28-Fe

b-20

31-M

ar-20

Liquidity Has Been Impacted by Record Outflows

22

0

50

100

150

200

250

300

350

2020 1929 1987 1946 1961 1937 1966 2007 1973 2000

Day

s

Historical Bear Markets

Source: Bloomberg, Goldman Sachs Global Investment Research

Lightning Speed of S&P DropNumber of days from peak to reach -20%

(and meet the commonly accepted definition of a bear market)

3

CREDIT UPDATE


The response from both the Fed and lawmakers has been nothing shy of extraordinary as policymakers try to contain some of the economic damage from this public health crisis. The $2.2 trillion fiscal stimulus package passed by Congress and signed by the president includes the following key points: Payments to individuals ($1200 per adult, $500 per child), an increase in unemployment benefits by $600 per week with an extension of four months, and ~ $870 bln earmarked for loans to businesses, of which $454 bln will be levered by the Fed to potentially provide an additional $4 trillion in market and lending support. Separately, the Fed announced four new facilities to improve the flow of credit. The Commercial Paper Financing Facility, the Term Asset-Backed Securities Loan Facility, the Primary Corporate Credit Facility and the Secondary Market Corporate Credit Facility (see summary of details below). A $10 bln equity injection per facility will be provided by the Treasury, providing $400 bln worth of lending/buying firepower (assuming 10x leverage). The CPFF, PMCCF and SMCCF specifically target short-dated maturities, which could/should help alleviate some liquidity stress points and normalize credit curves. Credit curves inverted in March, meaning spreads for front end bonds were wider than spreads for longer dated bonds, a condition that occurs when liquidity dries up and/or default risk increases. All told, between the Fed’s private sector lending and credit programs and the emergency coronavirus spending bill, we are looking at ~ $6 trillion worth of announced stimulus, ~ 30% of GDP.

Liquidity Stress: Commercial Paper Yields Skyrocketed

-0.50

0.00

0.50

1.00

1.50

2.00

05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20

3m Non-Financial CP vs. OIS

Source: Goldman Sachs Global Investment ResearchCP = Commercial Paper, short-term debt instrument issued by corporations, typically used for the financing of payroll, accounts payable and inventories, and meeting other short-term liabilities.

4

CREDIT UPDATE


Fed Announces Measures to Support Credit Markets

Source: Wells Fargo Securities, LLC

Primary Market CorporateCredit Facility (PMCCF)

Secondary Market Corporate Credit Facility (SMCCF)

Commercial Paper Funding Facility (CPFF)

Asset Class Focus Corporate Bonds and Loans Corporate Bonds Corporate Bond ETFs Commercial Paper

Initial Completion Date Sept. 30, 2020 Sept. 30, 2020 Sept. 30, 2020 March 17, 2021

Facility SizeNot Disclosed

Initial $10 billion Treasury equity infusion

Not DisclosedInitial $10 billion Treasury

equity infusionNot Disclosed

Effective limit: maximum amounts all individual eligible issuers would be able to issue to the facilityInitial $10 billion Treasury equity infusion

Facility Terminal Value Funded until underlying assets mature

Funded until holdings mature or are sold

Funded until holdings mature or are sold

Funded until underlying assets mature

Eligibility

Maturity 4 years to maturity or less

5 years to maturityor less

Not applicable 3 months to maturity

Credit Rating

- If multiple ratings: Rated BBB-/Baa3 or higher by at least two agencies

- If one rating: Rated BBB-/Baa3 or higher

- Each case subject to Fed’s review

- If multiple ratings: Rated BBB-/Baa3 or higher by at least two agencies

- If one rating: Rated BBB-/Baa3 or higher


- Fund objective: Broad exposure to U.S. IG corporate bonds (i.e. corporate debt rated BBB-/Baa3 or higher)

- If multiple ratings: rated A1/P1/F1 or higher by at least two agencies

- If one rating: rated A1/P1/F1 or higher

- If downgraded, eligible to make a one-time sale of CP

If multiple ratings: A2/P2/F2 or higher by at least two agencies

If one rating: rated A2/P2/F2 or higher


Country

- U.S. companies headquartered in the U.S. with “material” operations in the U.S.

- Excludes companies expected to receive direct relief from fi scal legislation

- Scope of eligibility may be expanded

- U.S. companies with “material” operations in the U.S.

- Excludes companies expected to receive direct relief from fi scal legislation

-ETFs listed in the U.S.

- U.S. issuers of CP, including U.S. issuers with a foreign parent company and U.S. municipal issuers

Limits on Purchase Amount

- Greatest of amount of bonds and loans outstanding at any time between Mar. 22, 2019 and Mar. 22. 2020

- Maximum amount allowed for eligible assets/issuers… - 140% with a AAA/Aaa rating - 130% with a AA/Aa rating - 120% with a A/A rating - 110% with a BBB/Baa rating

- 10% of the greatest amount of an issuer’s bonds outstanding between Mar. 22, 2019 and Mar. 22, 2020

- 20% of a fund’s assets as of Mar. 22, 2020

- Greatest of amount of USD CP outstanding at any time between Mar. 16, 2019 and Mar. 16, 2020

- If downgraded to A2/P2/F2, amount of USD CP outstanding on the day before downgrade

- Will not purchase asset-backed CP (ABCP) that were inactive prior to CPFF or ABCP not issued to institutions for 3 months between Mar. 16, 2019 and Mar. 16, 2020

Facility Terms

Terms, Interest Rate / Prices, Issuer Options

- Interest rates set by market conditions

- Commitment fee set at 100 bps- Callable by the issuer at par at

any time- At the issuer’s discretion, interest

may be payable in kind (PIK) for 6 months, subject to Fed’s discretion

- Such interest will be added to the outstanding principal amount

- If interest is differed, issuer cannot pay share dividends or make share repurchases during period of deferred interest

- Fair market value in the secondary market

- ETF prices that do not “materially exceed” NAVs of the underlying portfolio in the secondary market

- For A1/P1/F1 CP, 3M OIS+110 bps

- For A2/P2/F2 CP, 3M OIS+200 bps

- Mandatory 10-bp facility fee on maximum about of CP the Fed’s SPV may own

- Eligible issuers may only sell CP to the SPV through the NY Fed’s primary dealers.

5

CREDIT UPDATE


Record Bank Line DrawsRecord Bank Line Draws: The deteriorating economic backdrop prompted companies to draw bank lines in record numbers in order to bolster liquidity in the face of unprecedented revenue declines. At least $170 bln worth of bank credit lines were tapped during the month of March and that number is expected to increase. According to data released by the FDIC, the U.S. banking system had $2.5 trillion of undrawn credit facilities as of 12/31/19, with the majority of those commitments coming from the big four (JPM, B of A, Wells, and Citi). It is therefore not surprising that banks tapped the markets in large numbers in order to strengthen liquidity. We also saw record issuance from industrial issuers, but generally it was the higher rated cohort that had access to the corporate debt market.

$200

150

100

50

0

■ Revolver Draws ■ New Loans

(Bill

ions

)

March 9 March 15 March 27

Company Name Drawn (Millions)GM 16,000Ford 15,400Boeing* 13,800Anheuser-Busch InBev 9,000Petrobas 8,000Vale SA 5,000Aercap 4,000Albertson 4,000

Kraft Heinz 4,000Sasol Financing 3,800Carnival 3,368Ventas 2,750Delta Airlines Inc 2,650Marriot Int 2,500Micron Technology 2,500Aptiv 2,000HR Block 2,000ON Semiconductor Corp 1,969Expedia 1,900Hilton Worldwide Holdings Inc 1,555Norwegian Cruise Lines 1,550Applied Materials Inc 1,500Host Hotel & Resorts 1,500Macy's 1,500MGM 1,500Sysco 1,500Air France 1,277Best Buy 1,250JC Penney 1,250Lam Research 1,250NCR Corp 1,100Red Rock Resorts 1,030Agnico Eagle Mines Ltd 1,000Caesars-CRC 1,000Duke Energy Corp 1,000Kohl's 1,000Lear 1,000Park Hotels & Resorts 1,000Southwest Airlines 1,000Station Casinos LLC 1,000TJMaxx 1,000US Foods Inc 1,000VF Corp 1,000Wyndham Destinations Inc 1,000

Cash Frenzy U.S. companies tap billions of dollars

in revolvers and new loans

Source: Bloomberg, Public Filings

Source: J.P. Morgan, Bloomberg as of 3/26/20

6

CREDIT UPDATE


Record Monthly DowngradesThe era of rating agency forbearance may be coming to an end, precipitated by a sudden stop in economic activity and an abrupt decline in oil prices. The record number of ratings downgrades and fallen angels during the month is attributable to the massive growth in the credit market which is now 2.82x the size it was at the start of the cycle (2008). The $2.8 trillion BBB debt cohort is 3.9x bigger, underscoring the quality degradation and increased risk profile that has ensued over the last decade. Net downgrades (downgrades minus upgrades) totaled $560 bln in March, led by energy ($180 bln) and autos ($133 bln). This amounts to a record number of downgrades over a one-month period. From a relative perspective, the downgrades in March alone amount to 22% of the cumulative downgrades experienced during the great financial crisis of 2008.

Fallen Angeles AccelerateThe par amount of debt downgraded to high yield (fallen angels) totaled $60 bln (market value) on the month, also dominated by Energy and Autos. This brings the YTD total for fallen angels to $92 bln market value, which means 2020 will most likely surpass the previous full year record of $101 bln set in 2002 following the tech bubble.

Downgrade Comparisons vs. Prior CyclesLargest Monthly Number of Downgrades

Note: net rating change equals upgrades less downgrades. Based on the average of Moody’s, S&P and Fitch, if available. We also include the watch as 2/3 of a notch and the outlook as 1/3 of a notch. Restricted to bonds in ICE BofA IG corporate index C0A0.Source: BofA Global Research

Downgrades by Sector



-2,000

-1,800

-1,600

-1,400

-1,200

-1,000

-800

-600

-400

-200

0

200

Cum

ulat

ive

IG R

atin

g C

hang

e (N

otio

nal *

Not

ches

, $bn

)

Days Relative to Cycle Start

GFC U.S. Downgrade Commodity Crisis Now

-28 0 -8 56 84 112

140

168

196

224

252

280

308

336

364

-1,962

-1,127

-1,086

-569

-2,500 -2,000 -1,500 -1,000 -500 0

GFC

US Downgrade

Commodity Crisis

Now

12M cumulative IG rating change (notional * notches, $bn)

-55.4

-10.0

-12.6

-13.7

-17.6

-21.1

-27.4

-34.1

-55.1

-133.4

-179.9

-200 -150 -100 -50 0

Rest

REITs

Retail

Leisure

Basic Materials

Food, Bev, & Bottling

Banks/Brokers

Aerospace/Defense

Technology

Automobiles

Energy

Net rating change in March(notches* index notional, $bn)

7

CREDIT UPDATE


Looking for the Silver LiningThe extent of the human and economic pain is uncertain and the prevailing sentiment is that the worst is yet to come. We will get more data about the extent of the damage as labor force statistics flow through and corporate earnings get announced. Government stimulus in the trillions and Fed intervention to support functioning markets should reduce tail risk. Still, downgrades and defaults are likely to increase, making issuer and sector selection key. The good news for bond investors is that valuations have dramatically improved. There is a growing cohort of defensive, high quality bonds trading wide of 250 basis points (bps) over Treasuries, giving investors rare opportunities to buy credits with strong balance sheets at decade-wide spread levels.

March Fallen Angels (Par Amount)Fallen Angels $92 bln Ytd. 2020 likely to surpass previous (nominal) record.

Source: BofA Global Research Source: BofA Global Research

Valuations Have Improved Credit index OAS of +255 is more than 100 wide of historical mean.

Source: Bloomberg Barclays

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

0

20

40

60

80

100

120

16

46

101

38

18

98

25

37 40

49

18

29 30

46

31

87

101

26

35

22

92

2020thru3/31

0.30.50.60.91.61.72.32.53.3

4.85.3

7.829.1

36.3

0 5 10 15 20 25 30 35 40MARSPEADAABBTRNGEN

PTENMXCN

ZFFNGRUCGIM

MSASOLCVECN

CLRWESOXY

F

Fallen Angels So Far in March($bn Notional)

12/3

1/19

1/7/

201/

13/2

01/

17/2

01/

24/2

01/

30/2

0

2/5/

202/

11/2

02/

18/2

02/

24/2

02/

28/2

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5/20

3/11

/20

3/17

/20

3/23

/20

3/27

/20

2.00

2.50

3.00

3.50

4.00

4.50

7090110130150170190210230250270290310330350370

Historical Average OAS of 143

U.S. Credit Yield to Worst (lhs)

U.S. Credit OAS (rhs)

Unprecedented Speed: From Post Crisis Tights of +89 to Post Crisis Wides of +341 in 2 Months

8

CREDIT UPDATE


Index PerformanceThe abrupt halt in economic activity and uncertainty over the length and severity of the outbreak caused severe volatility and dislocation in the credit markets, the likes of which we haven’t seen since the great financial crisis of 2008-09. Monthly IG credit volatility and absolute spread widening set new records. The move was fast and furious as spreads widened 224 basis points in a three-week period before retracing 86 bps of the move (from +117 to +341 to +255). From start to end, spreads widened 138 (bps) with an intra month range of 224 bps. Performance was weak across the board as no sector or issuer was left unscathed. Even the “best” performing sectors were ~ 100 (bps) wider on the month – those include pharma (+88), cable (+91 bps), health insurers (+95 bps), wirelines (+96 bps), railroads (+102 bps), supermarkets (103 bps) and consumer products (104 bps). Not surprisingly, the cohort of sectors considered to be essential services proved more defensive in this environment. Decompression and dispersion were key themes during the month as sectors most vulnerable to the economic shutdown experienced significant dislocation. Supply and demand shocks led to a collapse in oil prices. As a result, the energy complex widened to spread levels that surpassed the last commodity crisis of 2015-16. Independent energy widened 571 (bps) on the month and is now trading at an OAS of +797 (with an average price of $78.14). Airlines (+437 bps), midstream (+361 bps), refiners (+350 bps), oil servicers (+323 bps), autos (+272 bps) and REITs (+235 bps) also underperformed.

March Index Returns


March Excess Return

March Total Return

YTD Excess Return

YTD Total Return

3/31/2020OAS

MonthlyOAS Change

YTD OAS Change

Credit Index -9.86% -6.63% -12.72% -3.14% 255 138 165

Industrials -11.19% -7.70% -14.84% -4.28% 276 145 177

Financials -8.39% -5.62% -10.46% -2.69% 268 161 188

Utilities -12.30% -8.19% -15.40% -2.36% 254 138 157

Municipals -13.37% -8.94% -14.05% 0.00% 238 127 122

Sovereigns -10.46% -6.72% -14.81% -3.21% 260 118 156

AA -6.15% -2.91% -7.91% 1.54% 154 84 102

A -7.75% -4.46% -10.30% -0.50% 207 113 137

BBB -13.67% -10.34% -17.37% -7.39% 360 206 235

Spreads ended up 138 bps wider on the month with intra month range of 224 bps. Ytd, spreads are 165 bps wider.


12/3

1/19

1/7/

201/

13/2

01/

17/2

01/

24/2

01/

30/2

0

2/5/

202/

11/2

02/

18/2

02/

24/2

02/

28/2

03/

5/20

3/11

/20

3/17

/20

3/23

/20

3/27

/20

2.00

2.50

3.00

3.50

4.00

4.50

7090110130150170190210230250270290310330350370

86 bps ofretracement

U.S. Credit Yield to Worst (lhs)

U.S. Credit OAS (rhs)

224 bps of WideningFrom 2/29-3/23

341

9

CREDIT UPDATE


Source: Barclays Capital

March OAS Changes by Sector Widespread re-valuation. Worst monthly performance for credit spreads.

Cyclical vs. non-cyclical bifurcation.

Independent EnergyAirlinesMidstream EnergyRefiningOil Field ServicesAutosReitsPaperLife InsuranceMetals And MiningAerospace/DefenseTobaccoMediaChemicalsBanksDiversified ManufacturingCredit IndexUtilitiesMunisHealthcareSovereignsFood And BevRetailersTechnologyConsumer ProdSupermarketsRailroadsWirelinesHealth InsCablePharma

0 100 200 300 400 500 600 700571

652437463361

407350

398323377

272323235

252179209

171210171211169

195158

190154184

148183

146172140

164138

165138157127

122120

147118156116

152113

141107135

104125103

141102130

961329513191128

88112

Monthly OAS Change

Ytd OAS change

}Cyclical Sectors Experienced Meaningful Underperformance

}Non Cyclicals and Low Levered Sectors Outperformed

10

CREDIT UPDATE



Independent EnergyAirlines

Midstream EnergyRefining

Oil Field ServicesAutos

Metals And MiningPaperReits

Life InsuranceTobacco

ChemicalsMedia

Aerospace/DefenseSovereigns

SupermarketsDiversified Manufacturing

Credit IndexUtilities

Food And BevHealthcare

BanksCable

WirelinesMunis

RailroadsHealth Ins

RetailersTechnology

PharmaConsumer Prod

0 100 200 300 400 500 600 700 800 900

797563562

522508

448356

348346

332323

304282

272260257256255254

250247245244244238

224222

214209

190184

Sector OAS as of 3/31/20


Index OAS Distribution 10% of the IG market trades at spreads wide of 400. 24% of the market trades wide of 300

[0-100] [100-200] [200-300] [300-400] [400-500] [500-600] [600+ ]0%

10%

20%

30%

40%

50%

60%

70%

3/31/20

12/31/19

}10% of the IG Market Trades Wide of +400 Over

11

CREDIT UPDATE


New Issue Use of ProceedsMonthly Supply Volumes

Source: BofA Global Research Note: Refinancing issuance includes general, short-term, long-term, bank loan, and CP repayments. Frontloading issuance includes M&A, share buybacks, dividends, and capex. COVID-19 liquidity issuance includes banks, companies that drew credit lines or mentioned liquidity in the use of proceeds language. Normal issuance includes GCP and refinancing issuance that did not fall under COVID-19 liquidity, frontloading, or CP repayments. Numbers sum up to more than the total amount as some deals fit multiple categories.Source: BofA Global Research

0

20

40

60

80

100

NormalIssuance

Refinancing COVID-19Liquidity

Frontloading

CP Repayment Related Issuance ($bn)

US IG Issuance in March 2020 ($bn)

0

50

100

150

200

250

300

$B

illio

ns

Non-Financial Financial

Mar

-18

Mar

-20

May

-18

Jul-1

8Se

p18

Nov-1

8Ja

n-19

Mar

-19

May

-19

Jul-1

9Se

p-19

Nov-1

9Ja

n-20

March Investment Grade SupplyA record $261 bln in IG debt issuance occurred in March, dwarfing the previous record of $176 bln in January of 2017. Liquidity related issuance was the dominant theme as issuers across all major sectors tapped the markets to secure financing ahead of what is expected to be a prolonged period of revenue weakness. Several industrial issuers with large commercial paper programs − including Intel, Exxon Mobil, Pfizer, Coca-Cola, Proctor & Gamble and Disney − tapped the corporate bond market. Banks also issued in big numbers as credit line draws increased the need to shore up liquidity. Overall, markets were open to high quality issuers but demanded hefty new issue concessions. Concessions were the largest we’ve seen since the GFC, peaking at 80 bps mid-month and causing wholesale repricing of secondary markets. While the cost of liquidity was punitive in terms of spread over Treasuries, all in coupons were still reasonably low given low risk-free yields. Some examples include: Intel (80 bp concession; $9 bln across six maturities, 5yrs priced at 290, 10yrs @ +295, 30yrs @ +310, average coupon of 4.22% ), Disney (80 bp concession; $6 bln across five maturities, 5yrs @ +270, 10yrs @ +270, 30yrs @ +285, average coupon of 4.02%), and Exxon Mobil (60 bp concession; $8.5 bln across five maturities, 5yrs priced at +225, 10yrs @ +240, 30yrs @ +260, average coupon of 3.75%).

IG Supply Skew – Long-Dated & High-Quality

Source: Barclays

0%

10%

20%

30%

40%

50%

60%

70%

1-5y 6-12y 13y+ AA andAbove

A BBB

FY2008 FY2019 Mar-20

12

CREDIT UPDATE


This material is for general information purposes only and does not constitute an offer to sell, or a solicitation of an offer to buy, any security. TCW, its officers, directors, employees or clients may have positions in securities or investments mentioned in this publication, which positions may change at any time, without notice. While the information and statistical data contained herein are based on sources believed to be reliable, we do not represent that it is accurate and should not be relied on as such or be the basis for an investment decision. The information contained herein may include preliminary information and/or “forward-looking statements.” Due to numerous factors, actual events may differ substantially from those presented. TCW assumes no duty to update any forward-looking statements or opinions in this document. Any opinions expressed herein are current only as of the time made and are subject to change without notice. Past performance is no guarantee of future results. © 2020 TCW

865 South Figueroa Street | Los Angeles, California 90017 | 213 244 0000 | @TCWGroup

March Bank Issuance

Issue Date Ticker Issuer Mdys SP Currency Amt ($ mln) Cpn Mat

Issue Spread

Current G-Spread

3/10/2020 JPM JPMORGAN CHASE & CO - A- $ 2,250 2.005 3/13/2026 145 1693/17/2020 GS GOLDMAN SACHS GROUP INC A3 BBB+ $ 2,500 3.800 3/15/2030 300 2723/17/2020 BAC BANK OF AMERICA CORP A2 A- $ 3,000 4.083 3/20/2051 260 2263/17/2020 BAC BANK OF AMERICA CORP A2 A- C$ 781 3.515 3/24/2026 270.9 -3/19/2020 JPM JPMORGAN CHASE & CO A2 A- $ 3,000 4.493 3/24/2031 340 2453/19/2020 C CITIGROUP INC - - $ 1,300 5.316 3/26/2041 350 2853/19/2020 MS MORGAN STANLEY A3 *+ BBB+ $ 2,000 5.597 3/24/2051 375 2513/23/2020 WFC WELLS FARGO & COMPANY A2 A- $ 2,500 4.478 4/4/2031 375 2773/23/2020 WFC WELLS FARGO & COMPANY A2 A- $ 3,500 5.013 4/4/2051 370 2673/24/2020 C CITIGROUP INC - - $ 4,000 4.412 3/31/2031 360 2943/24/2020 BAC BANK OF AMERICA CORP - A- € 1,618 3.648 3/31/2029 - 3433/25/2020 BAC BANK OF AMERICA CORP A2 A- $ 2,500 4.083 3/20/2051 260 2263/25/2020 GS GOLDMAN SACHS GROUP INC - BBB+ € 2,176 3.375 3/27/2025 391.3 -3/26/2020 GS GOLDMAN SACHS GROUP INC - - $ 3,500 3.500 4/1/2025 300 2803/26/2020 MS MORGAN STANLEY A3 *+ BBB+ $ 3,000 3.622 4/1/2031 285 2783/26/2020 STT STATE STREET CORP - - $ 750 2.825 3/30/2023 255 2473/26/2020 STT STATE STREET CORP - - $ 500 2.901 3/30/2026 245 2383/26/2020 STT STATE STREET CORP - - $ 500 3.152 3/30/2031 235 2223/23/2020 WFC WELLS FARGO & COMPANY A2 A- $ 2,000 5.013 4/4/2051 275 267

Source: Bloomberg, J.P. Morgan Estimates. As of March 26, 2020

insight · 2020-05-14 · - fair market value in the secondary market - etf prices that do not...

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