Muzinich Macro Outlook – Q4 2019

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Sources

PMI – Purchasing Manager Index; ECB – European Central Bank; QE – Quantitative Easing
German new orders – https://tradingeconomics.com/germany/new-orders;
Eurozone manufacturing – https://tradingeconomics.com/euro-area/manufacturing-pmi;
2. Euro area services – https://tradingeconomics.com/euro-area/services-pmi
3. US growth rate – https://tradingeconomics.com/united-states/gdp-growth
4. Credit market total returns USD Hedged refer to: ICE BofAML Euro Corporate Index (ER00), ICE BofAML US Corporate Index (C0A0), ICE BofAML Euro High Yield Constrained Index (HEC0), ICE BofAML US High Yield Index (H0A0), ICE BofAML High Grade Emerging Market Corporate Plus Index (EMIB), ICE BofAML High Yield Emerging Markets Corporate Plus Index (EMHB), S&P European Leveraged Loan Index, S&P/LSTA Leveraged Loan Total Return index.
5. US high yield market issuance, fallen angels, rising stars and supply and demand comments Credit Suisse report “US Credit” credit review September 2019
6. For European high yield supply and demand and issuance in EU HY see JPM European High Yield weekly, 25th October 2019

Important Information

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Index Descriptions

ER00 – The ICE BofA ML Euro Corporate Index tracks the performance of EUR denominated investment grade corporate debt publicly issued in the eurobond or Euro member domestic markets. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch), at least 18 months to final maturity at the time of issuance, at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of EUR 250 million.

ICE BofAML US Corporate Index (C0A0) ICE BofAML US Corporate Index tracks the performance of US dollar denominated investment grade corporate debt publicly issued in the US domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch), at least 18 months to final maturity at the time of issuance, at least one year remaining term to final maturity as of the rebalancing date, a fixed coupon schedule and a minimum amount outstanding of $250 million. Original issue zero coupon bonds, 144a securities (with and without registration rights), and pay-in-kind securities (including toggle notes) are included in the index. Callable perpetual securities are included provided they are at least one year from the first call date. Fixed-to-floating rate securities are included provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security. Contingent capital securities (“cocos”) are excluded, but capital securities where conversion can be mandated by a regulatory authority, but which have no specified trigger, are included. Other hybrid capital securities, such as those issues that potentially convert into preference shares, those with both cumulative and non-cumulative coupon deferral provisions, and those with alternative coupon satisfaction mechanisms, are also included in the index. Equity-linked

securities, securities in legal default, hybrid securitized corporates, eurodollar bonds (USD securities not issued in the US domestic market), taxable and tax-exempt US municipal securities and DRD-eligible securities are excluded from the index.

HEC0 – The ICE BofA ML Euro High Yield Constrained Index contains all securities in the ICE BofA ML Euro High Yield Index (HE00) but caps issuance exposure at 3%.

H0A0 – The ICE BofA ML US High Yield Index tracks the performance of US dollar denominated below investment grade corporate debt publicly issued in the US domestic market. Qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P and Fitch), at least 18 months to final maturity at the time of issuance, at least one year remaining term to final maturity as of the rebalancing date, a fixed coupon schedule and a minimum amount outstanding of $250 million.

EMIB – The ICE BofA ML High Grade Emerging Markets Corporate Plus index is a subset of the ICE BofA ML Emerging Markets Corporate Plus Index (EMCB) including all securities rated AAA through BBB3, inclusive.

EMHB – The ICE BofA ML High Yield Emerging Markets Corporate Plus index is a subset of the ICE BofA ML Emerging Markets Corporate Plus Index (EMCB) including all securities rated BB1 or lower.

S&P/LSTA Leveraged Loan Index – The S&P/LSTA Leveraged Loan Index is a market value-weighted index designed to measure the performance of the US leveraged loan market based upon market weightings, spreads and interest payments.

S&P European Leveraged Loan Index – The S&P/LSTA Leveraged Loan Index is a market value-weighted index designed to measure the performance of the European leveraged loan market based upon market weightings, spreads and interest payments.