Credit
Strategy
3 September 2020: 19:14 CET Credit Market Opportunities Date and time of production
Tactical View on Credit Markets Italy/Bi-Weekly Report
After the negative performance recorded in 1H20, we believe that a moderate Index price performance spread tightening trend could occur in 2H20 for Italian IG Non-Financial corporate % Value -1W -1M bonds, as they are supported by the ECB’s heightened monetary stimulus amid IG ASW 89 -2.2 -11.9 HY OAS 398 -1.5 -8.1 resilient fundamentals, on average. Amid dovish monetary policies, investors’ hunt for Crossover 5Y 305 -5.5 -18.7 yield could also support the highest-rated HY names. However, careful credit selection Europe 5Y 50 -7.1 -17.0 will remain key in the HY segment, due to the more pronounced vulnerability of their % Value -1W -1M fundamentals to a deteriorating economic outlook. In the Italian bank bond sector, Euro Stoxx 50 3,338 -0.6 5.1 FTSE MIB 19,858 -1.4 4.0 we see as supportive factors the ECB’s comprehensive package of monetary stimulus * IG = Corporate IG. Source: Bloomberg and the large number of measures that have been adopted by regulators as well as Report priced at market close on day prior to the Italian fiscal packages and the forthcoming EU stimulus package of grants and issue (except where otherwise indicated). loans. However, the Italian macroeconomic scenario remains challenging, and we expect volatility to persist. ML IG Eur Corp. vs Itraxx Main (bps)
Corporate (ASW) Investment Recommendations 220 170 In the corporate Investment Grade segment, we recommend the following switches: 120 1) buying IGIM 1 5/8 2027 bond and selling IGIM 1 2031 bond, expecting a widening of the ASW spread gap (currently 9bps); 2) buying EXOIM 2 1/4 04/30 bond and selling 70 EXOIM 1 3/4 10/34 bond, expecting an inversion of the current ASW gap; 3) buying 20 EXOIM 2 1/4 04/30 bond and selling EXOIM 1 3/4 01/28 bond, expecting a reduction of 01.10 07.13 01.17 07.20 the current ASW gap (60.7bps). We also close the switch between ENELIM 0 2024 bond Source: Intesa Sanpaolo Research (BUY) and ENELIM 0 3/8 bond (SELL), with a pick-up of 15bps. elaboration on Bloomberg and Refinitiv data
ML HY Eur vs Crossover 5Y (bps) In the bank bond segment, we recommend the following new switch: buying UCGIM 5 3/8 AT1 bond and selling UCGIM 7 1/2 AT1 bond, expecting an outperformance of EUR HY (ASW) Crossover 5Y shorter vs longer bond, with the former showing a higher YTC (6.6% vs 5.1%). We also 750 close the following switches as they have performed as expected: 1) buying BAMIIM 1 3/4 01/25 senior bond and selling BPEIM 1 7/8 07/25 senior bond (pick-up of 12bps); 550 and 2) buying UCGIM 1 01/23 SNP bond and selling UCGIM 1.8 01/30 SNP bond (pick- 350 up of 57.7bps). Sample 150 01.10 07.13 01.17 07.20 Investment recommendations – NEW Source: Intesa Sanpaolo Research elaboration Date Bond Type Spread Rate Buy/Sell Entry level Current Pick-up Status on Bloomberg and Refinitiv data (bps) Level1 (bps) 03.09.20 EXOIM 2 1/4 04/29/30 Sen ASW FX BUY 205.1 205.1 0 NEW EXOIM 1 3/4 10/14/34 Sen ASW FX SELL 203.3 203.3 0 H16:33 03.09.20 EXOIM 2 1/4 04/29/30 Sen ASW FX BUY 205.1 205.1 0 NEW In this report, the company views and EXOIM 1 3/4 01/18/28 Sen ASW FX SELL 144.4 144.4 0 H16:33 recommendations are those assigned in the 03.09.20 IGIM 1 5/8 01/19/27 Sen ASW FX BUY 55.7 55.7 0 NEW latest company reports (unless otherwise IGIM 1 12/11/31 Sen ASW FX SELL 64.3 64.3 0 10:47 indicated). 03.09.20 UCGIM 5 3/8 PERP AT1 Price VR BUY 95.4 95.4 0.0 NEW UCGIM 7 1/2 PERP AT1 Price VR SELL 112.3 112.3 0.0 H15:56 FX = FIXED; VR = Variable; EXOIM = EXOR; IGIM = Italgas; UCGIM = Unicredit . 1) "Current level" on 03.09.2020. Source: Intesa Sanpaolo Research elaboration of Bloomberg data Intesa Sanpaolo Research Dept.
Credit Research Team
See page 29 for full disclosure and analyst certification 3 September 2020: 19:16 CET Date and time of first circulation Credit Market Opportunities 3 September 2020
Contents
Italian Bank Corporate Bonds 3 Investment Recommendations: New and Closed Today 3 Investment Recommendations: Open Ideas 3 Italian Bank Corporate bonds: Our Credit Views 3 Credit Value Maps 4 Italian Investment Grade Corporate Bonds 10 Investment Recommendations: New and Closed Today 10 Investment Recommendations: Open Ideas 10 Italian Investment Grade Corporate bonds: Our Credit Views 11 Italian High Yield Corporate Bonds 12 Investment Recommendations: Open Ideas 12 Italian High Yield and Unrated Corporate bonds: Our Credit Views 12 Credit Value Maps 13 Appendix 1: Current Levels of Corporate Bonds 16 Current Levels of Italian Bank Corporate Bonds 16 Current Levels of Italian IG and HY Corporate Bonds 19 Current Levels of Italian Subordinated Corporate Bonds 23 Appendix 2: Closed Recommendations 24 Italian Investment Grade Corporate Bonds: Closed Recommendations 25 Italian High Yield Corporate Bonds: ClosedSample Recommendations 27
In this report, we show the graphical representation of a series of bonds issued by Italian banks and corporates. The graphs attempt to highlight the relationship between Spreads, Maturities and the Credit Risk Profile. The ratings shown in the graphs are a numerical summary, calculated at the average between Standard & Poor’s, Moody’s and Fitch, while also bearing in mind the outlook and possible credit watches by the two rating agencies for the single issues and are useful in assessing relative value opportunities between the bonds and / or issuers.
2 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Italian Bank Corporate Bonds
Investment Recommendations: New and Closed Today
Investment recommendations: New and Closed ideas Typ Spread/ Entry Curren Pick- Date Bond/CDS e Price Rate Buy/Sell level t level1 up Status 03.09.20 UCGIM 5 3/8 PERP AT1 Price VR BUY 95.4 95.4 0.0 NEW Switch opened in the expectation of an UCGIM 7 1/2 PERP AT1 Price VR SELL 112.3 112.3 0.0 H15:56 outperformance of shorter vs longer bond, with the former showing a higher 0.0 YTC. 16.07.20 BAMIIM 1 3/4 01/28/25 Sen ASW FX BUY 241.1 229.5 11.6 CLOSED BPEIM 1 7/8 07/07/25 Sen ASW FX SELL 217.0 217.4 0.4 03.09.20 Switch closed as it performed as 12.0 h 15:56 expected 11.06.20 UCGIM 1 01/18/23 SNP ASW FX BUY 205.7 118.6 87.1 CLOSED UCGIM 1.8 01/20/30 SNP ASW FX SELL 232.2 202.9 -29.4 Switch closed as it performed as 57.7 expected VR = FX = Fixed; VR = Variable; BAMIIM = Banco BPM; BPEIM = BPER Banca; UCGIM = Unicredit. Note: 1) "Current level" on 03.09.2020. Source: Intesa Sanpaolo Research elaboration of Bloomberg data
Investment Recommendations: Open Ideas
Investment recommendations: Open ideas Typ Spread/ Entry Current Pick- Date Bond/CDS e Price Rate Buy/Sell level level1 up Status 11.06.20 UCGIM 6 3/4 PERP AT1 Price VR BUY 97.7 102.6 4.9 OPEN UCGIM 9 1/4 PERP AT1 Price VR SELL 108.1 110.4 -2.3 Switch opened in the expectation of an 2.6 outperformance of shorter vs longer bond VR = Variable; UCGIM = Unicredit. Note: 1) "Current level" on 03.09.2020 at 10:47 CET. Source: Intesa Sanpaolo Research elaboration of Bloomberg data
Italian Bank Corporate bonds: Our Credit Views
Credit view on banks under coverage Group Credit View Date Moody’s Fitch Analyst Banco BPM NEGATIVE 11-Aug-20 Ba2/NG - Maria Grazia Antola BPER Banca Under Review 06-Aug-20 Ba3/NG BB/*- Maria Grazia Antola Banca MPS NEUTRAL 10-Aug-20 Caa1/*+ B/* Maria Grazia Antola Unicredit NEGATIVE 07-Aug-20 Baa1/S BBB-/S Maria Grazia Antola Note: NG = Negative; POS = Positive; S = Stable; *= ratingSample watch evolving. Source: Intesa Sanpaolo Research
Intesa Sanpaolo Research Department 3 Credit Market Opportunities 3 September 2020
Credit Value Maps
Senior Fixed Investment Grade – Maturity vs. ASW Spread (bps)
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Senior Fixed Investment Grade – Rating vs. ASW Spread (bps)
Sample
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
4 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Senior Fixed High Yield – Maturity vs. ASW Spread (bps)
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Senior Fixed High Yield – Rating vs. ASW Spread (bps)
Sample
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Intesa Sanpaolo Research Department 5 Credit Market Opportunities 3 September 2020
Covered Bonds Investment Grade issued by Italian banks - Maturity vs. ASW Spread (bps)
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Sample
6 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
LT2 Fixed High Yield - Maturity vs. Z Spread (bps)
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
LT2 Fixed High Yield - Rating vs. Z Spread (bps)
Sample
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Intesa Sanpaolo Research Department 7 Credit Market Opportunities 3 September 2020
LT2 Variable High Yield – Maturity1 vs. Z Spread2 (bps)
Notes: 1) Maturity = next call date for callable bonds; 2) Z-spread at call date for callable bonds. Source: Intesa Sanpaolo Research elaboration on Bloomberg data BGN
LT2 Variable High Yield - Rating vs. Z Spread1 (bps)
Sample
Note: 1) Z-spread at call date for callable bonds. Source: Intesa Sanpaolo Research elaboration on Bloomberg data
8 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
T1 High Yield1 - Maturity at next call date vs. Z-Spread (bps)
Notes: 1) Excluding callable bonds not called at the first call date. Source: Intesa Sanpaolo Research elaboration on Bloomberg data
T1 High Yield1 - Rating vs. Z-Spread (bps)
Sample
Notes: 1) Excluding callable bonds not called at the first call date. Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Intesa Sanpaolo Research Department 9 Credit Market Opportunities 3 September 2020
Italian Investment Grade Corporate Bonds
Investment Recommendations: New and Closed Today
Investment recommendations: New and Closed ideas Spread/ Buy/ Entry Current Pick- Date Bond/CDS Type Price Rate Sell level level1 up Status 03.09.20 EXOIM 2 1/4 4/29/30 Sen ASW FX BUY 205.1 205.1 0 NEW Switch opened in the expectation of an EXOIM 1 3/4 10/34 Sen ASW FX SELL 203.3 203.3 0 H16:33 inversion of the ASW gap. 0 03.09.20 EXOIM 2 1/4 4/29/30 Sen ASW FX BUY 205.1 205.1 0 NEW Switch opened in the expectation of a EXOIM 1 3/4 1/18/28 Sen ASW FX SELL 144.4 144.4 0 H16;33 reduction of the ASW gap. 0 03.09.20 IGIM 1 5/8 01/19/27 Sen ASW FX BUY 55.7 55.7 0 NEW Switch opened in the expectation of an IGIM 1 12/11/31 Sen ASW FX SELL 64.3 64.3 0 H10:47 outperformance of IGIM 01/27 bond vs IGIM 0 12/31 bond. FX = FIXED; EXOIM = EXOR; IGIM = Italgas. Notes: 1) "Current level" on 03.09.2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg BGN data
Investment Recommendations: Open Ideas
Investment Recommendations: Open Ideas
Spread/ Buy/ Entry Current Date Bond/CDS Type Price Rate Sell level level1 Pick-up Status 12.06.20 IGIM 1 12/11/31 Sen ASW FX BUY 95.3 64.3 31.0 OPEN Switch opened in the expectation of SRGIM 1 09/12/34 Sen ASW FX SELL 95.2 71.5 -23.7 an outperformance of IGIM 12/31 7.3 bond vs SRGIM 12/34 bond. 11.06.20 ACEIM 2 5/8 07/15/24 Sen ASW FX BUY 79.6 59.5 20.2 OPEN Switch opened in the expectation of IREIM 0 7/8 11/04/24 Sen ASW FX SELL 71.8 63.4 -8.4 an outperformance of ACEIM 07/24 11.8 bond vs IREIM 11/24 bond. 19.05.20 ERG 1 7/8 04/11/25 Sen ASW FX BUY 179.7 61.3 118.4 OPEN Trading idea open on expectations of a tightening of the ASW 21.02.20 TRNIM 1 07/23/23 Sen ASW FX BUY 30.6 34.2 -3.7 OPEN Switch opened in the expectation of TRNIM 0 1/8 07/25/25 Sen ASW FX SELL 30.7 35.8 5.2 an outperformance of TRNIM 07/23 1.5 bond vs TRNIM 07/25 bond. 13.02.20 SRGIM 1 5/8 01/07/30 Sen ASW FX BUY 62.5 56.5 6.0 OPEN Switch opened in the expectation of SRGIM 1 09/12/34 Sen ASW FX SELL 67.6 71.5 4.0 an outperformance of SRGIM 01/30 9.9 bond vs SRGIM 09/34 bond. 13.02.20 HERIM 5.2 01/29/28 Sen ASW FX BUY 72.2 98.8 -26.6 OPEN Switch opened in the expectation of AEMSPA 1 07/16/29 Sen ASW FX SELL 54.4 68.1 13.8 an outperformance of HERIM 01/28 -12.8 bond vs AEMSPA 07/29 bond. 09.01.20 TRNIM 1 04/10/26 Sen ASW FX BUY 52.8 47.0 5.9 OPEN Switch opened in the expectation of TRNIM 1 10/11/28 Sen ASW FX SELL 55.5 46.7 -8.8 an outperformance of TRNIM 04/26 -3.0 bond vs TRNIM 10/28 bond. 07.11.19 SRGIM 1 1/4 08/28/25 Sen SampleASW FX BUY 44.2 42.9 1.3 OPEN Switch opened in the expectation of SRGIM 1 3/8 10/25/27 Sen ASW FX SELL 46.2 47.8 1.6 an outperformance of SRGIM 08/25 2.9 bond vs SRGIM 10/27 bond. 07.11.19 ACEIM 1 1/2 06/08/27 Sen ASW FX BUY 61.8 84.7 -23.0 OPEN Switch opened in the expectation of AEMSPA 1 07/16/29 Sen ASW FX SELL 59.4 68.1 8.7 an outperformance of ACEIM 06/27 -14.3 bond vs AEMSPA 07/29 bond. 28.10.19 SRGIM 1 1/4 08/28/25 Sen ASW FX BUY 48.2 42.9 5.3 OPEN Switch opened in the expectation of SRGIM 1 3/8 10/25/27 Sen ASW FX SELL 55.1 47.8 -7.3 an outperformance of Snam's 08/25 -1.9 bond vs Snam's 10/27 bond. 24.10.19 ENELIM 1 09/16/24 Sen ASW FX BUY 48.7 38.0 10.6 OPEN Switch opened in the expectation of ENELIM 1 1/8 09/16/26 Sen ASW FX SELL 53.4 41.1 -12.4 an outperformance of ENEL 's 09/24 -1.8 bond vs ENEL's 09/26 bond. Trading idea opened in the 10.10.19 ENELIM 1/2 11/24/78 Sub ASW FX BUY 202.0 208.1 -6.1 OPEN expectation of an ASW tightening. FX = FIXED; VR = Variable. AEMSPA = A2A; ACEIM = ACEA; ENELIM = Enel; IGIM = Italgas; SRGIM = Snam; TRNIM = Terna; FIREIT = 2i Rete Gas; HERIM = Hera. Notes: 1) "Current level" on 03.09.2020 at 10:47 CET. Source: Intesa Sanpaolo Research elaboration on Bloomberg BGN data
10 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Italian Investment Grade Corporate bonds: Our Credit Views
Credit view on Investment Grade corporates under coverage Group Credit View Date Moody’s Fitch Analyst 2I Rete Gas NEUTRAL 13-Jul-20 Baa2/S - Alessandro Chiodini A2A NEUTRAL 06-Aug-20 Baa2/S - Alessandro Chiodini Acea NEUTRAL 06-Aug-20 Baa2/S BBB+/S Alessandro Chiodini Aeroporti di Roma UNDER REVIEW 06-Aug-20 Baa3/* BBB-/* Maria Gabriella Tronconi Buzzi Unicem UNDER REVIEW 13-Jul-20 - - Melanie Gavin CNH Industrial UNDER REVIEW 13-Jul-20 Baa3/S BBB-/POS Maria Gabriella Tronconi Enel POSITIVE 07-Aug-20 Baa2/POS A-/S Alessandro Chiodini Eni NEUTRAL 31-Jul-20 Baa1/S A-/S Maria Gabriella Tronconi ERG NEUTRAL 03-Aug-20 - BBB-/S Alessandro Chiodini EXOR POSITIVE 13-Jul-20 - - Maria Gabriella Tronconi Hera POSITIVE 06-Aug-20 Baa2/S - Alessandro Chiodini Iren NEUTRAL 06-Aug-20 - BBB/S Alessandro Chiodini Italgas NEUTRAL 28-Jul-20 Baa2/S BBB+/S Alessandro Chiodini Snam NEUTRAL 31-Jul-20 Baa2/S BBB+/S Alessandro Chiodini Terna NEUTRAL 30-Jul-20 Baa2/S BBB+/S Alessandro Chiodini Note: N = Negative; POS = Positive; S = Stable; *-= under review for a possible downgrade. Source: Intesa Sanpaolo Research
Sample
Intesa Sanpaolo Research Department 11 Credit Market Opportunities 3 September 2020
Italian High Yield Corporate Bonds
Investment Recommendations: Open Ideas
Investment recommendations: Open ideas Spread/ Buy/ Entry Current Date Bond/CDS Type Price Rate Sell level level1 Pick-up Status 05.08.20 IGT 3 1/2 06/15/26 Sen ASW FX BUY 411.2 380.8 30.5 OPEN Switch opened in the expectation of IGT 2 3/8 04/15/28 Sen ASW FX SELL 384.7 358.3 -26.5 an outperformance of the shorter 4.0 dated bond 05.08.20 IGT 3 1/2 06/15/26 Sen ASW FX BUY 411.2 380.8 30.5 OPEN Trading idea opened in the expectation of a spread tightening 16.07.16 FCAIM 3 3/8 07/07/23 Sen ASW FX BUY 312.0 224.9 87.1 OPEN Switch opened in the expectation of FCAIM 3 3/4 03/29/24 Sen ASW FX SELL 314.7 239.9 -74.8 an outperformance of the shorter 12.3 dated bond 19.05.20 KEDRIM 3 07/12/22 Sen ASW FX BUY 584.1 479.5 104.6 OPEN Switch opened in the expectation of iBoxx NFI BB 1-3Y Sen ASW FX SELL 481.2 290.3 -191.0 a tightening of the ASW gap. -86.4 11.05.20 LDOIM 5 1/4 01/21/22 Sen ASW FX BUY 288.4 129.0 159.5 OPEN Switch opened in the expectation of LDOIM 4 1/2 01/19/21 Sen ASW FX SELL 204.3 63.0 -141.3 a tightening of the ASW gap. 18.1 25.07.19 TITIM 4 04/11/24 Sen ASW FX BUY 216.3 204.9 11.4 OPEN Trading idea opened in the expectation of a spread tightening FX = FIXED; VR = Variable. IGT = International Game Technology; TITIM = Telecom Italia; FCAIM = FCA; KEDRIM = Kedrion; LDOIM = Leonardo. Notes: 1) "Current level" on 03.09.2020 at 10:47 CET. Source: Intesa Sanpaolo Research elaboration on Bloomberg BGN data
Italian High Yield and Unrated Corporate bonds: Our Credit Views
Credit view on High Yield and Unrated Corporate Bonds under coverage HY Credit View Date Moody’s Fitch Analyst Atlantia UNDER REVIEW 06-Aug-20 Ba3/* BB/* Maria Gabriella Tronconi Autostrade per l’Italia UNER REVIEW 06-Aug-20 Ba3/* BB+/* Maria Gabriella Tronconi FCA NEUTRAL 04-Aug-20 Ba1/* BBB-/S Maria Gabriella Tronconi Gamenet Group SUSPENDED 04-Aug-20 B1/* - Maria Gabriella Tronconi IGT NEUTRAL 05-Aug-20 Ba3/N - Maria Gabriella Tronconi Leonardo NEUTRAL 03-aug-20 Ba1/S BBB-/N Maria Gabriella Tronconi Saipem UNDER REVIEW 30-Jul-20 Ba1/N - Melanie Gavin Salini Impregilo NOT ASSIGNED 13-Jul-20 - BB/N Melanie Gavin Sisal Group NEUTRAL 13-Jul-20 B1/*- - Maria Gabriella Tronconi Telecom Italia NEUTRAL 02-Sep-20 Ba1/N BB+/S Melanie Gavin Unrated Kedrion NEUTRAL 13-Jul-20 NR NR Melanie Gavin Prysmian UNDER REVIEW 05-Aug-20 NR NR Melanie Gavin Note: NR = Not Rated; NG = Negative; POS = Positive; S =Sample Stable; *-= under review for a possible downgrade. Source: Intesa Sanpaolo Research
12 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Credit Value Maps
Fixed Investment Grade - Maturity vs. ASW Spread
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Fixed Investment Grade - Rating vs. ASW Spread
Sample
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Intesa Sanpaolo Research Department 13 Credit Market Opportunities 3 September 2020
Fixed High Yield - Maturity vs. ASW Spread
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Fixed High Yield - Rating vs. ASW Spread
Sample
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
14 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Fixed Investment Grade - Maturity vs. ASW Spread – Subordinated
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Fixed Investment Grade - Rating vs. ASW Spread – subordinated
Sample
Source: Intesa Sanpaolo Research elaboration on Bloomberg data
Intesa Sanpaolo Research Department 15 Credit Market Opportunities 3 September 2020
Appendix 1: Current Levels of Corporate Bonds
Current Levels of Italian Bank Corporate Bonds
Italian bank bonds denominated in euro (institutional) - Senior Unsecured First Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (bps) (bps) (bps) range 3.9.20 2.1.20 max min Mdy Fitch BBG Investment Grade UniCredit SpA UCGIM 3 1/4 01/14/21 - FX 1,250 101.2 -0.3 ASW 8 -4 -14 -18.5 145 6 Baa1 BBB- BBB UCGIM 2 03/04/23 - FX 1,100 104.6 0.1 ASW 61 -6 -16 -0.3 263 44 Baa1 BBB- BBB UCGIM 0 1/2 04/09/25 - FX 1,000 99.3 0.7 ASW 107 -6 -21 25.5 268 63 Baa1 BBB- BBB UCGIM 2 1/8 10/24/26 - FX 1,000 108.1 0.8 ASW 117 -4 -19 31.7 285 73 Baa1 BBB- BBB UCGIM 1 1/4 06/25/25 06/24 VR 1,250 101.6 0.8 ASW 124 -3 -13 33.0 292 72 Baa1 BBB- BBB UCGIM 1 1/4 06/16/26 06/25 VR 1,250 101.3 1.0 ASW 138 - - -29.0 169 138 Baa1 BBB- BBB High Yield and Unrated Banca Monte dei Paschi di Siena SpA MONTE 4 07/10/22 - FX 500 103.1 2.3 ASW 274 -8 -18 4.0 814 161 Caa1 *+ B * B- MONTE 3 5/8 09/24/24 - FX 750 102.8 2.9 ASW 333 -8 -9 9.0 669 213 Caa1 *+ B * B- MONTE 2 5/8 04/28/251 - FX 750 99.0 2.9 ASW 322 -7 -4 40.5 613 209 Caa1 *+ B * B- Banco BPM SpA BAMIIM 2 03/08/22 - FX 750 101.2 1.2 ASW 165 -4 -31 16.8 429 98 Ba2 - BB+ BAMIIM 1 3/4 04/24/23 - FX 500 100.9 1.4 ASW 183 -7 -17 17.7 432 112 Ba2 - BB+ BAMIIM 2 1/2 06/21/24 - FX 500 102.3 1.9 ASW 230 -5 -24 43.6 425 131 Ba2 - BB+ BAMIIM 1 3/4 01/28/25 - FX 500 99.3 1.9 ASW 230 -3 -10 41.7 415 132 Ba2 - BB+ BPER Banca BPEIM 1 7/8 07/07/251 - FX 500 100.4 1.8 ASW 218 - - -0.3 224 214 Ba3 BB *- BB- BPEIM Float 08/03/221 - FL 100 102.2 1.2 DISC 164 ------
TYPE: FX=Fixed; FL=Floating. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds”. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z- Spread. SPRD: spread to maturity. Ratings: reported in the table refer to individual issues ; Rating on credit watch if *, Rating on credit watch positive if *+, Rating on credit watch negative if *-. BBG: Bloomberg Composite. Notes: 1) YTD from launch date for bonds issued in 2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.
Italian bank bonds denominated in euro (institutional) - Senior non-Preferred First Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (bps) (bps) (bps) range 3.9.20 2.1.20 max min Mdy Fitch BBG Investment Grade Sample UniCredit SpA UCGIM 1 01/18/23 - FX 1,500 100.7 0.7 ASW 116 -6 -15 27.4 345 62 Baa2 BB+ BBB- UCGIM 1.8 01/20/301 - FX 750 99.5 1.9 ASW 205 -6 -18 41.0 347 131 Baa2 BB+ BBB- UCGIM 1 5/8 07/03/25 07/24 VR 750 100.6 1.5 ASW 188 -13 -31 66.5 374 100 Baa2 BB+ BBB- UCGIM 1.2 01/20/261 01/25 VR 1,250 98.6 1.5 ASW 192 -12 -30 54.8 365 106 Baa2 BB+ BBB- UCGIM 2.2 07/22/271 07/26 VR 1,250 102.6 1.7 ASW 212 - - - Baa2 BB+ BBB- High Yield and Unrated Banco BPM SpA BAMIIM 1 5/8 02/18/251 - FX 750 95.0 2.8 ASW 312 -3 -18 123.4 543 184 B1 - BB-
TYPE: FX=Fixed; FL=Floating. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z- Spread. SPRD: spread to maturity. Ratings: reported in the table refer to individual issues . BBG: Bloomberg Composite. Notes: 1) YTD from launch date for bonds issued in 2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.
16 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Italian bank bonds denominated in euro (institutional) - Subordinated (T2 and LT2) First Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (bps) (bps) (bps) range 3.9.20 2.1.20 max min Mdy Fitch BBG High Yield and Unrated Banca Monte dei Paschi di Siena SpA MONTE 10 1/2 07/23/29 - FX 300 116.1 7.9 Z-SPR 821 -95 -60 -143.1 1,843 621 Caa1 *+ CCC+ * CCC+ MONTE 5 3/8 01/18/28 01/23 VR 750 88.2 NM Z-SPR NM NM NM NM NM NM Caa1 *+ CCC+ * CCC+ MONTE 8 01/22/301 01/25 VR 400 98.4 8.4 Z-SPR 888 -86 -35 101.2 2,371 612 Caa1 *+ CCC+ * CCC+ Banco BPM SpA BAMIIM 6 11/05/20 - FX 710 100.8 0.9 Z-SPR 136 -9 -31 2.1 905 88 B1 - - BAMIIM 7 1/8 03/01/21 - FX 448 102.7 1.4 Z-SPR 186 -22 -73 49.8 1,085 106 B1 - BB- BAMIIM 6 3/8 05/31/21 - FX 318 103.2 1.9 Z-SPR 241 -9 -42 113.8 947 127 B1 - - BAMIIM 4 3/8 09/21/27 09/22 VR 500 100.5 4.1 Z-SPR 456 -9 -33 157.8 1,162 175 B1 - BB- BAMIIM 4 1/4 10/01/29 10/24 VR 350 98.9 4.5 Z-SPR 499 -2 -27 116.4 807 284 B1 - BB- BPER Banca BPEIM 5 1/8 05/31/27 05/22 VR 500 103.5 3.0 Z-SPR 347 -2 -48 82.3 1,002 219 Ba3 B+ *- B+ UniCredit SpA UCGIM 6 1/8 04/19/21 - FX 579 103.4 0.6 Z-SPR 102 -10 -48 23.0 620 63 Baa3 BB BB+ UCGIM 6.95 10/31/22 - FX 1,500 111.7 1.4 Z-SPR 184 -4 -34 69.7 598 99 Baa3 BB BB+ UCGIM 5 3/4 10/28/25 10/20 VR 1,000 100.9 NM Z-SPR NM NM NM NM NM NM Baa3 BB BB+ UCGIM 4 3/8 01/03/27 01/22 VR 750 103.6 1.6 Z-SPR 208 -11 -58 49.8 833 115 Baa3 BB BB+ UCGIM 4 7/8 02/20/29 02/24 VR 1,000 107.7 2.5 Z-SPR 298 -4 -47 79.7 804 181 Baa3 BB BB+ UCGIM 2 09/23/29 09/24 VR 1,250 96.4 3.0 Z-SPR 341 -3 -47 105.8 798 194 Baa3 BB BB+ UCGIM 2.731 01/15/321 01/27 VR 1,250 96.7 3.3 Z-SPR 368 -2 -45 100.5 775 215 Baa3 - BB+
TYPE: FX = Fixed; FL = Floating; VR = Variable; FT = Flat Trading. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds”. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z-Spread. SPRD: spread to maturity or spread to first call date for callable bonds. Ratings reported in the table on individual issues ; Rating on credit watch if *, Rating on credit watch positive if *+, Rating on credit watch negative if *-. BBG: Bloomberg Composite. NM: Not Meaningful related to YTM and Spread if Spread < 0 and > 1,000 bps whilst related to change (-1W, -1M, -YTD) when the reference data is NA. Notes: 1) YTD from launch date for bonds issued in 2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.
Italian bank bonds denominated in euro (institutional) - Hybrids (T1 and AT1) First Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (pts)1 (pts)1 (pts)1 range1 3.9.20 2.1.20 max min Mdy Fitch BBG High Yield and Unrated Banco BPM SpA BAMIIM Float PERP3 06/17 VR 105 81.7 1.7 Z-SPR 267 - - -4.3 91 72 B3 - - BAMIIM 8 3/4 PERP 06/24 VR 300 99.0 9.1 Z-SPR 952 1 4 -9.9 118 68 B3 - B- BAMIIM 6 1/8 PERP2 01/25 VRSample400 88.2 9.5 Z-SPR 991 1 4 -11.0 107 51 B3 - B- UniCredit SpA UCGIM 6 3/4 PERP 09/21 VR 1,000 102.6 4.1 Z-SPR 452 1 3 -4.6 108 76 - B+ - UCGIM 9 1/4 PERP 06/22 VR 500 110.5 3.0 Z-SPR 349 1 3 -6.0 118 83 - B+ - UCGIM 6 5/8 PERP 06/23 VR 1,250 103.8 5.1 Z-SPR 559 1 4 -4.9 113 67 Ba3u B+ - UCGIM 5 3/8 PERP 06/25 VR 1,000 95.4 6.5 Z-SPR 695 1 7 -5.7 109 59 Ba3u B+ - UCGIM 7 1/2 PERP 06/26 VR 1,000 112.3 5.0 Z-SPR 541 1 6 -5.1 124 80 Ba3 B+ B+ UCGIM 3 7/8 PERP2 06/27 VR 1,250 81.4 7.4 Z-SPR 780 1 7 -18.2 100 53 Ba3 B+ B+
TYPE: FX = Fixed; FL = Floating; VR = Variable; FT = Flat Trading. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds”. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z-Spread. SPRD: spread to maturity or spread to first call date for callable bonds. Ratings reported in the table on individual issues . BBG: Bloomberg Composite. Notes: 1) change in prices 2) YTD from launch date for bonds issued in 2020 3) Bond not called . Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.
Intesa Sanpaolo Research Department 17 Credit Market Opportunities 3 September 2020
Italian bank bonds denominated in euro (institutional) - Covered Outst. YTM Spread over SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond EUR M % ASW (bps) TYPE (bps) (bps) (bps) range BTP 3.9.20 2.1.20 max min Mdy Fitch BBG Investment Grade Banca Monte dei Paschi di Siena SpA MONTE 2 7/8 04/16/21 FX 1,000 101.9 -0.2 19 ASW 20 -4 -4 -15.0 57 20 Aa3 A+ * A+ MONTE 1 1/4 01/20/22 FX 750 101.7 0.0 24 ASW 47 0 -1 11.1 83 22 Aa3 A+ * A+ MONTE 2 01/29/24 FX 1,000 106.3 0.1 0 ASW 61 -1 -5 -22.0 126 60 Aa3 A+ * A+ MONTE 2 7/8 07/16/24 FX 1,500 110.5 0.2 -11 ASW 62 -1 -5 -23.0 127 61 Aa3 A+ * A+ MONTE 2 1/8 11/26/25 FX 1,000 110.1 0.2 -26 ASW 60 -1 -5 -25.5 128 59 Aa3 A+ * A+ MONTE 0 7/8 10/08/26 FX 1,000 102.7 0.4 11 ASW 79 -2 -3 -6.4 135 63 Aa3 A+ * A+ Banco BPM SpA BAMIIM 0 3/4 03/31/22 FX 1,000 101.6 -0.3 -7 ASW 18 -2 -3 -18.8 53 18 Aa3 - A+ BAMIIM 0 7/8 09/14/22 FX 1,000 102.2 -0.2 -12 ASW 24 0 -2 -16.2 64 24 Aa3 - - BAMIIM 0 5/8 06/08/23 FX 750 102.1 -0.1 -13 ASW 29 -1 -1 -20.6 85 29 Aa3 - - BAMIIM 1 1/8 09/25/23 FX 500 104.2 -0.2 -28 ASW 22 -2 -5 -24.0 82 22 Aa3 - - BAMIIM 1 01/23/25 FX 750 105.3 -0.2 -53 ASW 22 -1 0 -47.3 92 22 Aa3 - - BAMIIM 1 1/2 12/02/25 FX 750 108.7 -0.2 -59 ASW 25 0 -1 -43.3 93 24 Aa3 - - BPER Banca BPEIM 0 7/8 01/22/22 FX 750 101.5 -0.2 -2 ASW 20 -1 -3 -3.8 40 18 Aa3 - - BPEIM 1 07/22/23 FX 500 103.6 -0.2 -26 ASW 21 0 -2 -9.4 53 21 Aa3 - - BPEIM 1 1/8 04/22/26 FX 600 106.9 -0.1 -61 ASW 29 0 -1 -3.8 52 22 Aa3 - - UniCredit SpA UCGIM 2 5/8 10/31/20 FX 1,000 100.4 -0.4 3 ASW -23 2 1 -21.5 12 -26 Aa3 AA- AA- UCGIM 5 10/31/21 FX 1,000 106.2 -0.3 -11 ASW 7 -1 -1 0.6 25 3 Aa3 AA- AA- UCGIM 4 3/8 01/31/22 FX 1,000 106.7 -0.4 -14 ASW 5 -3 -3 1.1 33 0 Aa3 AA- AA- UCGIM 5 1/4 04/30/23 FX 1,250 115.0 -0.4 -40 ASW 6 0 -1 3.0 34 1 Aa3 AA- AA- UCGIM 3 01/31/24 FX 1,000 111.4 -0.3 -47 ASW 13 -1 -2 9.4 39 2 Aa3 AA- AA- UCGIM 0 3/4 04/30/25 FX 1,000 104.1 -0.1 -46 ASW 29 0 -1 23.2 43 3 Aa3 - - UCGIM 0 3/8 10/31/26 FX 1,000 102.8 -0.1 -58 ASW 29 0 0 20.3 45 7 Aa3 - - UCGIM Float 10/31/20 FL 500 100.0 0.1 - DISC 59 22 11 14.2 89 23 Aa3 - -
TYPE: FX = Fixed; FL = Floating; VR = Variable; FT = Flat Trading. YTM: yield to maturity or yield to call for callable bonds excluding “not called bonds”. SPRD TYPE: ASW=Asset Swap, DISC=Discount Margin, Z-SPR=Z-Spread. SPRD: spread to maturity or spread to first call date for callable bonds. Ratings reported in the table on individual issues ; Rating on credit watch if *, Rating on credit watch positive if *+, Rating on credit watch negative if *-. BBG: Bloomberg Composite. Notes: . Source: Bloomberg BGN data on 03/09/20 at 09:39. Sample
18 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Current Levels of Italian IG and HY Corporate Bonds
Italian corporate bonds denominated in euro - Senior Unsecured Next Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (bps) (bps) (bps) range 3.9.20 2.1.20 max min Mdy Fitch BBG Investment Grade 2i Rete Gas SpA FIREIT 3 07/16/24 - FX 600 111.4 0.0 ASW 51 -2 -4 2.8 155 44 Baa2 - BBB FIREIT 2.195 09/11/25 06/25 FX 500 109.3 0.3 ASW 69 -4 -4 -1.5 177 60 Baa2 - BBB FIREIT 1 3/4 08/28/26 05/26 FX 435 107.3 0.5 ASW 87 -2 -6 5.7 183 73 Baa2 - BBB FIREIT 1.608 10/31/27 07/27 FX 730 107.7 0.5 ASW 83 -2 -5 -6.5 203 79 Baa2 - BBB A2A SpA AEMSPA 4 3/8 01/10/21 - FX 351 101.6 NM ASW NM NM NM NM NM NM Baa2 - BBB AEMSPA 3 5/8 01/13/22 - FX 500 104.9 0.0 ASW 42 -1 -8 13.1 108 23 Baa2 - BBB AEMSPA 4 12/04/23 - FX 300 112.0 0.3 ASW 76 -2 4 25.7 117 42 Baa2 - - AEMSPA 1 1/4 03/16/24 - FX 300 104.4 0.0 ASW 47 -2 -4 4.1 105 32 - - - AEMSPA 1 3/4 02/25/25 11/24 FX 300 106.6 0.3 ASW 64 -2 -3 20.6 131 34 Baa2 - BBB AEMSPA 1 5/8 10/19/27 07/27 FX 300 108.3 0.4 ASW 77 -3 -6 20.4 137 47 Baa2 - BBB AEMSPA 1 07/16/29 04/29 FX 400 105.0 0.4 ASW 68 -4 -13 7.8 160 52 Baa2 - BBB ACEA SpA ACEIM 2 5/8 07/15/24 04/24 FX 600 109.0 0.3 ASW 59 -2 -9 15.4 133 38 Baa2 BBB+ BBB ACEIM 1 10/24/26 07/26 FX 500 103.4 0.4 ASW 80 0 -6 26.8 145 49 Baa2 BBB+ BBB ACEIM 1 1/2 06/08/27 03/27 FX 700 106.6 0.5 ASW 85 0 -4 24.8 147 54 Baa2 BBB+ BBB ACEIM 1 3/4 05/23/28 02/28 FX 500 108.3 0.6 ASW 95 -2 -9 33.3 159 57 Baa2 BBB+ BBB ACEIM 0 1/2 04/06/291 01/29 FX 500 98.2 0.7 ASW 96 -1 -6 35.2 156 59 Baa2 BBB+ BBB ACEIM Float 02/08/23 - FL 300 99.0 0.4 DISC 88 2 -8 36.1 104 46 Baa2 BBB+ BBB Aeroporti di Roma SpA ADRIT 3 1/4 02/20/21 - FX 400 101.2 0.6 ASW 104 -6 -15 54.0 205 36 Baa3 BBB- * BB+ ADRIT 1 5/8 06/08/27 03/27 FX 500 98.2 1.9 ASW 220 -1 -5 89.2 276 120 Baa3 BBB- * BB+ Buzzi Unicem SpA BZUIM 2 1/8 04/28/23 01/23 FX 500 104.8 0.3 ASW 58 -4 -20 6.3 317 44 - - - CNH Industrial Finance Europe SA CNHI 2 7/8 09/27/21 - FX 367 102.9 0.1 ASW 59 -6 -32 29.8 260 24 Baa3 BBB- BBB- CNHI 1 3/8 05/23/22 02/22 FX 316 101.6 0.4 ASW 68 -7 -25 34.1 221 29 Baa3 BBB- BBB- CNHI 2 7/8 05/17/23 - FX 369 106.8 0.3 ASW 81 -6 -24 23.7 365 49 Baa3 BBB- BBB- CNHI 1 3/4 09/12/25 06/25 FX 650 103.8 1.0 ASW 136 -4 -22 51.8 399 77 Baa3 BBB- BBB- CNHI 1 7/8 01/19/26 10/25 FX 500 103.3 1.2 ASW 163 -4 -36 68.8 420 87 Baa3 BBB- BBB- CNHI 1 3/4 03/25/27 12/26 FXSample600 101.7 1.5 ASW 183 -2 -25 70.9 418 107 Baa3 BBB- BBB- CNHI 1 5/8 07/03/29 04/29 FX 500 99.4 1.7 ASW 192 -2 -27 71.6 405 113 Baa3 BBB- BBB- Enel Finance International NV ENELIM 5 07/12/21 - FX 533 104.4 -0.2 ASW 19 -2 -5 0.8 68 10 Baa2 A- BBB+ ENELIM 5 09/14/22 - FX 2,077 110.6 -0.2 ASW 27 -2 -5 5.5 124 14 Baa2 A- BBB+ ENELIM 4 7/8 04/17/23 - FX 674 113.5 -0.3 ASW 20 -1 -2 -4.1 113 17 Baa2 A- BBB+ ENELIM 5 1/4 09/29/23 - FX 300 116.4 -0.1 ASW 38 -3 -7 6.5 126 29 Baa2 A- BBB+ ENELIM 0 06/17/24 05/24 FX 1,000 99.9 0.0 ASW 44 -1 -3 7.3 142 32 Baa2 A- BBB+ ENELIM 1 09/16/24 - FX 1,250 104.3 -0.1 ASW 38 -1 -5 3.5 148 29 Baa2 A- BBB+ ENELIM 1.966 01/27/25 - FX 1,463 108.7 0.0 ASW 43 -1 -2 3.2 161 34 Baa2 A- BBB+ ENELIM 1 1/2 07/21/25 04/25 FX 1,000 107.1 0.0 ASW 41 -2 -2 2.5 152 31 Baa2 A- BBB+ ENELIM 1 3/8 06/01/26 - FX 1,257 107.4 0.1 ASW 48 0 1 6.9 152 34 Baa2 A- BBB+ ENELIM 1 1/8 09/16/26 06/26 FX 1,250 106.4 0.1 ASW 41 -1 -2 -3.3 157 35 Baa2 A- BBB+ ENELIM 0 3/8 06/17/27 03/27 FX 1,000 100.4 0.3 ASW 65 0 -2 21.3 155 44 Baa2 A- BBB+ ENELIM 1 1/8 10/17/34 07/34 FX 500 104.2 0.8 ASW 86 1 3 14.8 174 66 Baa2 A- BBB+ Enel SpA ENELIM 5 1/4 05/20/24 - FX 750 119.9 -0.1 ASW 36 -1 -6 8.6 131 24 Baa2 A- BBB+ ENELIM 5 5/8 06/21/27 - FX 850 136.5 0.2 ASW 66 -1 1 2.4 193 54 Baa2 A- BBB+ Eni Finance International SA
Intesa Sanpaolo Research Department 19 Credit Market Opportunities 3 September 2020
Italian corporate bonds denominated in euro - Senior Unsecured Next Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (bps) (bps) (bps) range 3.9.20 2.1.20 max min Mdy Fitch BBG ENIIM 5.441 04/18/28 - FX 100 127.0 1.6 ASW 223 2 4 76.7 233 124 Baa1 A- BBB+ Eni SpA ENIIM 2 5/8 11/22/21 - FX 800 103.3 -0.1 ASW 30 2 -9 8.8 113 17 Baa1 A- BBB+ ENIIM 0 3/4 05/17/22 - FX 700 101.5 -0.1 ASW 31 -3 -13 9.3 137 15 Baa1 A- BBB+ ENIIM 3 1/4 07/10/23 - FX 1,000 109.6 -0.1 ASW 34 -1 -9 7.4 154 22 Baa1 A- BBB+ ENIIM 1 3/4 01/18/24 - FX 750 106.1 0.0 ASW 41 -2 -9 16.6 149 21 Baa1 A- BBB+ ENIIM 0 5/8 09/19/24 - FX 900 102.4 0.0 ASW 48 -2 -12 17.5 148 27 Baa1 A- BBB+ ENIIM 1 03/14/25 - FX 650 104.0 0.1 ASW 55 -2 -10 20.6 156 31 Baa1 A- BBB+ ENIIM 3 3/4 09/12/25 - FX 1,200 118.1 0.1 ASW 59 -1 -11 22.3 171 35 Baa1 A- BBB+ ENIIM 1 1/2 02/02/26 - FX 1,000 106.8 0.2 ASW 65 -2 -9 27.2 163 36 Baa1 A- BBB+ ENIIM 1 1/4 05/18/261 - FX 1,000 105.5 0.3 ASW 67 - - -95.1 163 67 Baa1 A- BBB+ ENIIM 1 1/2 01/17/27 - FX 750 107.5 0.3 ASW 69 -1 -8 28.5 159 37 Baa1 A- BBB+ ENIIM 1 5/8 05/17/28 - FX 800 109.4 0.4 ASW 72 -1 -8 29.7 164 40 Baa1 A- BBB+ ENIIM 1 1/8 09/19/28 - FX 600 105.9 0.4 ASW 69 -2 -10 26.5 162 41 Baa1 A- BBB+ ENIIM 3 5/8 01/29/29 - FX 1,000 126.2 0.4 ASW 82 -1 -14 37.2 195 42 Baa1 A- BBB+ ENIIM 0 5/8 01/23/301 - FX 1,000 100.4 0.6 ASW 80 -2 -6 33.1 181 47 Baa1 A- BBB+ ENIIM 2 05/18/311 - FX 1,000 113.4 0.7 ASW 92 - - -116.8 210 92 Baa1 A- BBB+ ENIIM 1 10/11/34 - FX 750 102.6 0.8 ASW 84 0 -3 19.0 183 61 Baa1 A- BBB+ EXOR NV EXOIM 2 1/8 12/02/22 09/22 FX 750 103.8 0.4 ASW 66 -4 -13 18.2 105 39 - - - EXOIM 2 1/2 10/08/24 - FX 650 107.7 0.6 ASW 106 -5 -12 42.4 142 57 - - - EXOIM 1 3/4 01/18/28 10/27 FX 500 104.4 1.1 ASW 145 -2 -11 41.4 188 94 - - - EXOIM 2 1/4 04/29/301 01/30 FX 500 103.7 1.8 ASW 206 - - -16.2 240 206 - - - EXOIM 1 3/4 10/14/34 07/34 FX 500 96.1 2.1 ASW 204 -2 -10 74.4 231 125 - - - Hera SpA HERIM 3 1/4 10/04/21 - FX 250 103.3 0.2 ASW 65 4 -1 52.5 76 7 Baa2 - BBB HERIM 2 3/8 07/04/24 - FX 329 108.3 0.2 ASW 66 -1 -5 31.7 121 27 Baa2 - BBB HERIM 0 7/8 10/14/26 - FX 400 103.7 0.3 ASW 65 -1 -3 14.6 120 43 Baa2 - BBB HERIM 0 7/8 07/05/27 04/27 FX 500 103.7 0.3 ASW 66 -2 -11 11.4 136 46 Baa2 - BBB HERIM 5.2 01/29/28 - FX 700 134.0 0.5 ASW 99 0 -10 31.4 170 65 Baa2 - BBB Italgas SpA IGIM 0 1/2 01/19/22 - FX 268 100.7 0.0 ASW 40 -3 -7 14.5 88 20 Baa2 BBB+ BBB IGIM 1 1/8 03/14/24 - FX 481 103.8 0.0 ASW 51 -1 -2 23.3 115 20 Baa2 BBB+ BBB IGIM 0 1/4 06/24/251 - FX 500 100.6 0.1 ASW 52 - - -19.2 73 52 Baa2 BBB+ BBB IGIM 1 5/8 01/19/27 - FX 750 109.2 0.2 ASW 56 -1 -6 6.5 147 38 Baa2 BBB+ BBB IGIM 1 5/8 01/18/29 - FXSample750 110.6 0.3 ASW 65 -2 -8 11.3 159 50 Baa2 BBB+ BBB IGIM 0 7/8 04/24/30 - FX 600 104.7 0.4 ASW 60 -1 -6 4.9 172 49 Baa2 BBB+ BBB IGIM 1 12/11/31 - FX 500 105.6 0.5 ASW 64 0 -7 0.3 173 57 Baa2 BBB+ BBB Snam SpA SRGIM 0 10/25/20 - FX 500 100.0 -0.1 ASW 1 -1 -4 -6.2 48 -6 Baa2 BBB+ BBB SRGIM 3 3/8 01/29/21 - FX 259 101.4 -0.2 ASW 19 -12 -19 7.1 82 4 Baa2 BBB+ BBB SRGIM 5 1/4 09/19/22 - FX 602 111.3 -0.3 ASW 22 -4 -8 18.3 76 -10 Baa2 BBB+ BBB SRGIM 1 1/2 04/21/23 - FX 246 104.0 0.0 ASW 43 -1 -2 17.1 109 22 Baa2 BBB+ BBB SRGIM 1 09/18/23 06/23 FX 596 102.9 0.0 ASW 42 -3 -2 9.3 119 28 Baa2 BBB+ BBB SRGIM 1 3/8 11/19/23 - FX 195 104.6 -0.1 ASW 39 -3 -2 10.0 118 24 Baa2 BBB+ BBB SRGIM 3 1/4 01/22/24 - FX 390 111.2 -0.1 ASW 41 -2 -3 9.0 125 27 Baa2 BBB+ BBB SRGIM 0 05/12/24 02/24 FX 700 100.2 -0.1 ASW 37 -3 -3 0.5 122 30 Baa2 BBB+ BBB SRGIM 1 1/4 01/25/25 - FX 392 105.5 0.0 ASW 43 -2 -4 1.2 133 34 Baa2 BBB+ BBB SRGIM 1 1/4 08/28/25 05/25 FX 500 105.9 0.1 ASW 43 -3 -8 -5.1 141 33 Baa2 BBB+ BBB SRGIM 0 7/8 10/25/26 - FX 1,250 104.9 0.1 ASW 45 -1 -6 -8.5 140 42 Baa2 BBB+ BBB SRGIM 1 3/8 10/25/27 07/27 FX 650 108.6 0.2 ASW 48 -1 -5 -10.0 142 40 Baa2 BBB+ BBB SRGIM 1 5/8 01/07/30 10/29 FX 250 111.9 0.3 ASW 57 1 -70 -5.6 141 55 Baa2 BBB+ BBB SRGIM 0 3/4 06/17/301 03/30 FX 500 103.3 0.4 ASW 62 - - -23.3 86 62 Baa2 BBB+ BBB
20 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Italian corporate bonds denominated in euro - Senior Unsecured Next Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (bps) (bps) (bps) range 3.9.20 2.1.20 max min Mdy Fitch BBG SRGIM 1 09/12/34 06/34 FX 600 104.6 0.7 ASW 72 -1 -6 -1.7 138 63 Baa2 BBB+ BBB SRGIM Float 02/21/22 - FL 300 100.1 0.1 DISC 56 1 -9 18.4 88 33 Baa2 BBB+ BBB Terna Rete Elettrica Nazionale SpA TRNIM 4 3/4 03/15/21 - FX 1,250 102.6 -0.3 ASW 17 -4 -20 -1.0 96 11 Baa2 BBB+ BBB TRNIM 0 7/8 02/02/22 - FX 1,000 101.4 -0.1 ASW 33 -5 -13 5.2 109 20 Baa2 BBB+ BBB TRNIM 1 07/23/23 - FX 1,000 103.2 -0.1 ASW 34 -5 -13 1.4 127 30 Baa2 BBB+ BBB TRNIM 4.9 10/28/24 - FX 800 120.8 -0.1 ASW 36 -2 -10 2.2 133 29 Baa2 BBB+ BBB TRNIM 0 1/8 07/25/25 - FX 500 100.9 -0.1 ASW 36 -2 -8 -4.6 129 30 Baa2 BBB+ BBB TRNIM 1 04/10/26 - FX 500 105.2 0.1 ASW 47 -2 -8 -4.7 144 36 Baa2 BBB+ BBB TRNIM 1 3/8 07/26/27 - FX 1,000 108.7 0.1 ASW 46 -2 -8 -8.6 147 44 Baa2 BBB+ BBB TRNIM 1 10/11/28 - FX 750 106.7 0.2 ASW 47 -1 -10 -6.6 149 47 Baa2 BBB+ BBB TRNIM 0 3/4 07/24/321 - FX 500 102.7 0.5 ASW 64 - - - Baa2 BBB+ BBB High Yield and Unrated Atlantia SpA ATLIM 1 5/8 02/03/25 - FX 750 98.8 1.9 ASW 228 -5 -7 -61.1 612 156 Ba3 BB * BB- ATLIM 1 7/8 07/13/27 04/27 FX 1,000 98.2 2.2 ASW 244 -1 -3 -46.0 487 176 Ba3 BB * BB- Autostrade per l'Italia SpA ATOSTR 2 7/8 02/26/21 - FX 595 100.9 0.9 ASW 136 -38 -70 -80.7 867 52 Ba3 BB+ * BB- ATOSTR 1 1/8 11/04/21 - FX 480 99.8 1.3 ASW 167 -22 -17 -90.0 805 100 Ba3 BB+ * BB- ATOSTR 1 5/8 06/12/23 - FX 750 99.6 1.8 ASW 218 -14 -14 -94.8 663 115 Ba3 - BB- ATOSTR 5 7/8 06/09/24 - FX 1,000 115.5 1.6 ASW 219 -10 -21 -110.5 579 139 Ba3 BB+ * BB- ATOSTR 4 3/8 09/16/25 - FX 500 112.5 1.7 ASW 230 -7 -19 -72.4 515 190 Ba3 BB+ * BB- ATOSTR 1 7/8 11/04/25 - FX 500 99.8 1.9 ASW 229 -8 -14 -56.8 511 170 Ba3 BB+ * BB- ATOSTR 1 3/4 06/26/26 - FX 750 98.9 1.9 ASW 228 -6 -13 -62.4 546 172 Ba3 BB+ * BB- ATOSTR 1 3/4 02/01/27 - FX 600 98.2 2.1 ASW 236 - - -45.0 504 172 Ba3 BB+ * BB- ATOSTR 1 7/8 09/26/29 06/29 FX 700 98.3 2.1 ASW 228 -10 -21 -26.5 489 171 Ba3 BB+ * BB- Cooperativa Muratori & Cementisti-CMC di Ravenna SC CMCRAV 6 7/8 08/01/22 09/20 FT 250 2.5 NM ASW NM NM NM NM NM NM - - - CMCRAV 6 02/15/23 09/20 FT 325 2.5 NM ASW NM NM NM NM NM NM - - - Fiat Chrysler Automobiles NV FCAIM 3 3/8 07/07/23 04/23 FX 1,250 104.0 1.9 ASW 225 - - - Ba2 BBB- BB+ FCAIM 3 3/4 03/29/24 - FX 1,250 106.3 1.9 ASW 240 5 -21 158.8 533 80 Ba2 BBB- BB+ FCAIM 3 7/8 01/05/26 10/25 FX 1,250 108.2 2.2 ASW 265 - - - Ba2 BBB- BB+ FCAIM 4 1/2 07/07/28 04/28 FX 1,000 112.9 2.6 ASW 309 - - - Ba2 BBB- BB+ Fiat Chrysler Finance Europe SENC FCAIM 4 3/4 03/22/21 - FXSample1,000 102.4 0.4 ASW 83 4 8 64.7 523 16 Ba2 BBB- BB+ FCAIM 4 3/4 07/15/22 - FX 1,350 106.0 1.5 ASW 196 4 -16 155.0 522 42 Ba2 BBB- BB+ Kedrion SpA KEDRIM 3 07/12/22 04/22 FX 350 97.4 4.5 ASW 476 -1 -25 -11.5 1156 443 - - - Leonardo SpA LDOIM 4 1/2 01/19/21 - FX 739 101.5 0.3 ASW 66 -12 -21 23.3 442 40 Ba1 BBB- BB+ LDOIM 5 1/4 01/21/22 - FX 556 106.0 0.8 ASW 129 4 -13 90.9 472 37 Ba1 BBB- BB+ LDOIM 1 1/2 06/07/24 03/24 FX 600 100.4 1.4 ASW 180 -4 -9 81.1 436 91 Ba1 BBB- BB+ LDOIM 4 7/8 03/24/25 - FX 500 113.3 1.8 ASW 237 4 -8 127.2 475 108 Ba1 BBB- BB+ LDOIM 2 3/8 01/08/26 10/25 FX 500 101.0 2.2 ASW 255 - - -25.9 281 255 Ba1 BBB- BB+ Prysmian SpA PRYIM 2 1/2 04/11/22 - FX 750 102.5 0.9 ASW 139 -2 -27 64.3 413 74 - - - Saipem Finance International BV SPMIM 2 3/4 04/05/22 - FX 500 102.0 1.4 ASW 192 5 -49 113.5 768 73 Ba2 - BB SPMIM 3 3/4 09/08/23 - FX 500 104.9 2.1 ASW 258 3 -41 158.3 702 97 Ba2 - BB SPMIM 2 5/8 01/07/25 - FX 500 100.3 2.6 ASW 295 5 -24 142.8 629 142 Ba2 - BB SPMIM 3 3/8 07/15/26 04/26 FX 500 100.7 3.2 ASW 360 - - -7.4 367 360 Ba2 - BB Telecom Italia Finance SA
Intesa Sanpaolo Research Department 21 Credit Market Opportunities 3 September 2020
Italian corporate bonds denominated in euro - Senior Unsecured Next Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (bps) (bps) (bps) range 3.9.20 2.1.20 max min Mdy Fitch BBG TITIM 7 3/4 01/24/33 - FX 1,015 148.4 3.0 ASW 396 -3 -33 48.5 645 317 Ba1 BB+ BB+ Telecom Italia SpA/Milano TITIM 4 7/8 09/25/20 - FX 547 100.3 NM ASW NM NM NM NM NM NM Ba1 BB+ BB+ TITIM 4 1/2 01/25/21 - FX 564 101.8 -0.2 ASW 16 -4 -8 -14.0 401 -11 Ba1 BB+ BB+ TITIM 5 1/4 02/10/22 - FX 884 107.0 0.3 ASW 84 1 -25 51.9 382 29 Ba1 BB+ BB+ TITIM 3 1/4 01/16/23 - FX 1,000 105.5 0.9 ASW 138 2 -16 40.2 415 79 Ba1 BB+ BB+ TITIM 2 1/2 07/19/23 - FX 1,000 103.6 1.2 ASW 169 0 -15 65.5 413 80 Ba1 BB+ BB+ TITIM 3 5/8 01/19/24 - FX 750 106.8 1.5 ASW 205 1 -7 76.8 434 114 Ba1 BB+ BB+ TITIM 4 04/11/24 01/24 FX 1,250 108.0 1.7 ASW 206 2 -18 61.1 543 119 Ba1 BB+ BB+ TITIM 2 3/4 04/15/25 01/25 FX 1,000 104.3 1.8 ASW 217 1 -15 48.9 502 139 Ba1 BB+ BB+ TITIM 3 09/30/25 - FX 1,000 105.5 1.8 ASW 230 0 -19 51.5 478 138 Ba1 BB+ BB+ TITIM 2 7/8 01/28/26 10/25 FX 750 104.7 2.0 ASW 235 0 -17 38.6 478 141 Ba1 BB+ BB+ TITIM 3 5/8 05/25/26 - FX 1,000 109.4 1.9 ASW 235 -1 -29 43.8 508 141 Ba1 BB+ BB+ TITIM 2 3/8 10/12/27 07/27 FX 1,250 102.2 2.0 ASW 237 -2 -24 35.6 461 151 Ba1 BB+ BB+ TITIM 5 1/4 03/17/55 - FX 670 119.4 4.2 ASW 460 -9 -30 46.6 540 394 Ba1 BB+ BB+ TITIM Float 01/01/22 - FL 217 100.8 -0.6 DISC 39 ------Webuild SpA IPGIM 3 3/4 06/24/21 - FX 479 100.1 3.5 ASW 391 -40 -47 171.7 1595 115 - BB BB- IPGIM 1 3/4 10/26/24 - FX 500 89.6 4.6 ASW 460 3 -55 165.1 936 272 - - - IPGIM 3 5/8 01/28/271 - FX 250 85.3 6.5 ASW 616 4 -2 239.5 887 377 - - -
Type: FX = Fixed. YTM: yield to maturity or yield to call for callable bonds. SPRD TYPE: ASW=Asset Swap. Ratings: reported in the table refer to individual issues ; Rating on credit watch if *, Rating on credit watch positive if *+, Rating on credit watch negative if *-. BBG: Bloomberg Composite. NM: Not Meaningful related to YTM and Spread if Spread < 0 and > 1,000 bps whilst related to change (-1W, -1M, -YTD) when the reference data is NA. Notes: 1) YTD from launch date for bonds issued in 2020. Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.
Italian corporate bonds denominated in euro - Senior Secured Next Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (bps) (bps) (bps) range 3.9.20 2.1.20 max min Mdy Fitch BBG High Yield and Unrated International Game Technology PLC IGT 4 3/4 02/15/23 08/22 FX 850 104.2 2.9 ASW 301 -10 -98 168.8 1,667 129 Ba3 - BB- IGT 3 1/2 07/15/24 01/24 FX 500 102.0 2.9 ASW 330 -6 -102 157.3 1,351 171 Ba3 - BB- IGT 3 1/2 06/15/26 06/22 FX 750 100.2 3.5 ASW 382 1 -66 213.4 1,037 167 Ba3 - BB- IGT 2 3/8 04/15/28 04/23 FX 500 92.6 3.5 ASW 359 3 -49 126.0 794 230 Ba3 - BB- Moby SpA Sample MOBYIT 7 3/4 02/15/23 09/20 300 23.1 91.2 ASW NA ------
Type: FX = Fixed; FL=Floating. YTM: yield to maturity or yield to call for callable bonds. SPRD TYPE: ASW=Asset Swap. Ratings: reported in the table refer to individual issues . BBG: Bloomberg Composite. NA: Not Available. Notes: . Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.
22 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Current Levels of Italian Subordinated Corporate Bonds
Italian corporate bonds denominated in euro - Hybrids Next Outst. YTM SPRD -1W -1M YTD 52-week Type Price SPRD Ratings Bond call EUR M % TYPE (pts)1 (pts)1 (pts)1 range1 3.9.20 2.1.20 max min Mdy Fitch BBG Investment Grade Enel SpA ENELIM 5.451 01/10/74 01/24 VR 297 112.1 1.7 ASW 229 0 1 -3.52 117 104 Ba1 BBB BBB- ENELIM 2 1/2 11/24/78 08/23 VR 750 102.7 1.6 ASW 209 0 1 -1.63 105 90 Ba1 BBB BBB- ENELIM 3 1/2 05/24/80 02/25 VR 900 107.1 1.8 ASW 233 1 1 -1.94 111 89 Ba1 BBB BBB- ENELIM 3 3/8 11/24/81 08/26 VR 750 106.8 2.2 ASW 263 0 1 -1.89 111 89 Ba1 BBB BBB-
Type: VR = Variable. YTM: yield to maturity or yield to call for callable bonds. SPRD TYPE: ASW=Asset Swap. Ratings: reported in the table refer to individual issues . BBG: Bloomberg Composite. Notes: 1) Change in prices; min and max are calculated on prices . Source: Intesa Sanpaolo Research elaboration on Bloomberg data on 03/09/20 at 09:39.
Sample
Intesa Sanpaolo Research Department 23 Credit Market Opportunities 3 September 2020
Appendix 2: Closed Recommendations
Investment recommendations CLOSED in the last 12 months: Banks Date Bond/CDS Type Spread rate Buy/Sell Entry level Current level1 Pick-up Status 16.07.20 BAMIIM 1 3/4 01/28/25 Sen ASW FX BUY 241.1 229.5 11.6 CLOSED BPEIM 1 7/8 07/07/25 Sen ASW FX SELL 217.0 217.4 03.09.20 H15:56 11.06.20 UCGIM 1 01/18/23 SNP ASW FX BUY 205.7 118.6 87.1 CLOSED UCGIM 1.8 01/20/30 SNP ASW FX SELL 232.2 202.9 03.09.20 h 15:56 23.04.20 BAMIIM 2 03/08/22 Sen ASW FX BUY 401.5 188.7 212.8 CLOSED BAMIIM 2 1/2 06/21/24 Sen ASW FX SELL 404.9 219.0 -185.9 11.06.20 26.9 H15:40 23.04.20 BAMIIM 4 3/8 09/21/27 T2 Z-spread VAR BUY 1123.8 517.9 605.9 CLOSED BAMIIM 4 1/4 10/01/29 T2 Z-spread VAR SELL 800.6 549.6 -251.0 11.06.20 354.9 H12:09 23.04.20 UCGIM 1 1/4 06/25/25 Sen ASW VAR BUY 222.3 174.9 47.4 CLOSED UCGIM 2 1/8 10/24/26 Sen ASW FX SELL 217.8 174.9 -42.9 04.06.20 4.6 H12:28 23.04.20 UCGIM 2 09/23/29 T2 Z-spread VAR BUY 589.2 475.5 113.7 CLOSED UCGIM 2.731 01/15/32 T2 Z-spread VAR SELL 563.8 476.3 -87.5 04.06.20 26.2 H12:28 13.03.20 UCGIM 6 3/4 PERP T1 ASW VR BUY 1183 1179.1 3.9 CLOSED iBoxx Financials BB 1-3Y Index ASW - SELL 470 663.1 193.1 09.04.20 197 17:50 13.03.20 UCGIM 6 5/8 PERP T1 ASW VR BUY 1067 1084 -17 CLOSED iBoxx Financials BB 3-5Y Index ASW - SELL 451 572.8 121.8 09.04.20 104.7 17:50 30.01.20 MONTE 5 3/8 01/18/28 T2 Z-Spread VR BUY 855.0 2809.9 -1954.9 CLOSED MONTE 8 01/22/30 T2 Z-Spread VR SELL 728.0 1953.5 1225.5 13.03.20 -729.3 H10:20 09.01.20 BAMIIM 4 3/8 09/21/27 T2 Z-Spread VR BUY 302.0 181.9 120.1 OPEN BPEIM 5 1/8 05/31/27 T2 Z-Spread VR SELL 262.0 221.1 -40.9 21.02.20 79.2 H12:57 09.12.19 UCGIM 5 3/8 PERP AT1 Price VR BUY 100.4 107.1 6.7 CLOSED UCGIM 7 1/2 PERP AT1 Price VR SELL 116.7 121.9 -5.2 06.02.20 1.4 H 17:00 09.01.20 BAMIIM 2 03/08/22 Sen Z-Spread FX BUY 148.0 130.1 17.9 CLOSED BAMIIM 4 3/8 09/21/27 T2 Z-Spread VR SELL 302.0 296.8 -5.2 30.01.20 12.8 10.10.19 BAMIIM 4 3/8 09/21/27 T2 Z-Spread VR BUY 361.0 300.8 60.2 OPEN UBIIM 4.45 09/15/27 T2 Z-Spread VR SELL 247.0 265.1 18.1 09.01.20 78.3 10.10.19 UCGIM 6 3/4 PERP AT1 Price VR BUY 103.8 107.1 3.3 CLOSED UCGIM 7 1/2 PERP AT1 Price VR SELL 110.7 116.7 -6.0 09.12.09 -2.7 H12:45 10.10.19 UCGIM 6 5/8 PERP AT1 Price VR BUY 103.5 108.1 4.6 CLOSED UCGIM 7 1/2 PERP AT1 Price VR SELL 110.7 116.7 -6.0 09.12.09 Sample -1.4 H12:45 05.08.19 UBIIM 4.45 09/15/27 T2 Z-Spread VR BUY 395.0 330.2 64.8 CLOSED UBIIM 1 3/4 04/12/23 SNP Z-Spread FX SELL 199.6 175.4 -24.2 05.09.19 40.7 H. 10:42 05.08.19 UBIIM 5 7/8 03/04/29 T2 Z-Spread VR BUY 485.0 423.4 61.6 CLOSED UBIIM 2 5/8 06/20/24 SNP Z-Spread FX SELL 244.6 207.5 -37.1 05.09.19 24.5 H. 10:42 FX=FIXED; VR = Variable; BAMIIM = Banco BPM; UCGIM = Unicredit; UBIIM = UBI Banca; . 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data
24 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Italian Investment Grade Corporate Bonds: Closed Recommendations Investment recommendations CLOSED in the last 12 months Date Bond/CDS Type Spread rate Buy/Sell Entry level Current level1 (bps) Pick-up Status (bps) (pbs) 23.04.20 ENELIM 0 06/17/24 Sen ASW FX BUY 105.3 44.2 61.1 CLOSED ENELIM 03/8 06/17/27 Sen ASW FX SELL 111.0 65.5 -45.6 03.09.20 15.5 27.05.20 TRNIM 0 7/8 02/02/22 Sen ASW FX BUY 98.2 46.7 51.5 CLOSED IGIM 0 1/2 01/19/22 Sen ASW FX SELL 77.7 48.2 -29.6 28.07/20 22.0 10.10.19 TRNIM 1 3/8 07/26/27 Sen ASW FX BUY 62.5 75.2 -12.7 CLOSED TRNIM 1 10/11/28 Sen ASW FX SELL 60.5 80.5 20.0 25.06.20 7.3 05.12.19 IREIM 1 1/2 10/24/27 Sen ASW FX BUY 78.2 83.4 -5.2 CLOSED IREIM 0 7/8 10/14/29 Sen ASW FX SELL 76.6 93.4 16.8 25.06.20 11.6 30.04.20 IGIM 1 5/8 01/18/29 Sen ASW FX BUY 136.2 92.3 44.0 CLOSED SRGIM 1 5/8 01/07/30 Sen ASW FX SELL 109.7 135.1 25.4 12.06.20 69.4 29.10.19 IREIM 1 1/2 10/24/27 Sen ASW FX BUY 78.4 82.6 -4.2 CLOSED HERIM 0 7/8 07/05/27 Sen ASW FX SELL 59.4 86.2 26.8 11.06.20 22.6 23.04.20 CNHI 2 7/8 09/27/21 Sen ASW FX BUY 235.5 148.4 87.1 CLOSED CNHI 1 3/8 05/23/22 Sen ASW FX SELL 193.1 135.8 -57.2 11.06.20 29.9 27.02.20 CNHI 1 5/8 07/03/29 Sen ASW FX BUY 158.6 203.1 -44.5 CLOSED CNHI 1 3/8 05/23/22 Sen ASW FX SELL 36.8 135.8 99.1 11.06.20 54.6 21.11.19 AEMSPA 4 3/8 01/10/21 Sen ASW FX BUY 26.2 61.5 -35.3 CLOSED HERIM 3 1/4 10/04/21 Sen ASW FX SELL 15.5 73.8 58.3 15.05.20 22.9 09.01.20 ACEIM 1 1/2 06/08/27 Sen ASW FX BUY 60.9 137.8 -76.9 CLOSED ACEIM 1 3/4 05/23/28 Sen ASW FX SELL 63.1 155.0 91.9 14.05.20 15.0 05.08.19 IREIM 1 1/2 10/24/27 Sen ASW FX BUY 94.5 134.9 -40.4 CLOSED AEMSPA 1 5/8 10/19/27 Sen ASW FX SELL 79.1 129.2 50.1 13.05.20 9.7 21.11.19 TRNIM 0 7/8 02/02/22 Sen ASW FX BUY 33.6 89.3 -55.7 CLOSED TRNIM 4.9 10/28/24 Sen ASW FX SELL 42.0 115.6 73.6 23.04.20 17.9 H.11.02 31.07.19 IGIM 0 1/2 01/19/22 Sen ASW FX BUY 26.4 68.6 -42.3 CLOSED IGIM 1 1/8 03/14/24 Sen ASW FX SELL 26.7 92.3 65.6 23.04.20 23.3 H.11.02 07.02.19 IGIM 1 5/8 01/19/27 Sen ASW FX BUY 131.3 127.4 3.9 CLOSED IGIM 1 5/8 01/18/29 Sen ASW FX SELL 135.5 142.0 6.5 23.04.20 10.4 H.11.02 30.01.20 FIREIT 1.608 10/31/27 Sen ASW FX BUY 85.3 193.9 -108.6 CLOSED IGIM 1 5/8 01/19/27 Sen ASW FX SELL 43.3 143.8 100.5 08.04.20 Sample H09:00AM 13.02.20 EXOIM 1 3/4 10/14/34 Sen ASW FX BUY 130.2 205.3 -75.1 CLOSED iBoxx Corporates A +10Y Sen ASW FX SELL 71.8 185.6 113.9 26.03.20h16.30 38.8 30.01.20 EXOIM 1 3/4 01/18/28 Sen ASW FX BUY 94.4 157.7 -63.3 CLOSED iBoxx Corporates A 7-10Y Sen ASW FX SELL 56.0 195.8 139.8 26.03.20 h16.30 76.6 10.10.19 EXOIM 1 3/4 10/14/34 Sen ASW FX BUY 162.9 205.3 -42.4 CLOSED 06.09.19 EXOIM 1 3/4 01/18/28 Sen ASW FX BUY 121.6 157.7 -36.1 CLOSED 25.07.19 ERG 1 7/8 04/11/25 Sen ASW FX BUY 128.0 116.2 11.9 CLOSED 12/03/20 H10:20 ERG 1 7/8 04/11/25 Sen ASW FX BUY 128.0 116.2 11.9 CLOSED iBoxx NFI BBB 5-7Y Sen ASW FX SELL 88.2 130.3 42.1 12/03/2020 54.0 H10:20 FX = Fixed; ACEIM = ACEA; ATLIM = Atlantia; ADRIT = Aeroporti di Roma; TRNIM = Terna; AEMSPA = A2A; ENELIM = Enel; IGIM = Italgas; ENIIM = Eni; ERGIM = ERG; CNHI = CNH Industrial; IREIM = Iren; EXOIM = Exor; SRGIM = Snam; TERNIM = Terna; HERIM = Hera. Note: 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data
Intesa Sanpaolo Research Department 25 Credit Market Opportunities 3 September 2020
Investment recommendations CLOSED in the last 12 months - continue Date Bond/CDS Type Spread rate Buy/Sell Entry Current level1 (bps) Pick-up Status level (pbs) (bps) 14.11.19 ACEIM 2 5/8 07/15/24 Sen ASW FX BUY 50.1 38.0 12.1 CLOSED HERIM 2 3/8 07/04/24 Sen ASW FX SELL 31.7 30.1 -1.6 30.01.20 10.5 08.01.19 ADRIT 3 1/4 02/20/21 Sen ASW FX SELL 52.9 86.0 33.1 CLOSED 24.01.20 27.06.19 ENELIM 1 1/2 07/21/25 Sen ASW FX BUY 58.1 39.8 18.3 CLOSED ENELIM 1 3/8 06/01/26 Sen ASW FX SELL 53.1 42.9 -10.2 9.1.20 8.1 H10.14 13.12.18 TRNIM 4 3/4 03/15/21 Sen ASW FX BUY 52.6 19.8 32.9 CLOSED SRGIM 5 1/4 09/19/22 Sen ASW FX SELL 32.7 5.0 -27.8 9.1.20 5.1 H10.14 02.05.19 TRNIM 4 3/4 03/15/21 Sen ASW FX BUY 6.2 19.8 -13.6 CLOSED TRNIM 0 7/8 02/02/22 Sen ASW FX SELL 8.1 28.3 20.1 9.1.20 6.6 H10.14 27.06.19 ENELIM 1 1/2 07/21/25 Sen ASW FX BUY 58.1 39.8 18.3 CLOSED ENELIM 1 3/8 06/01/26 Sen ASW FX SELL 53.1 42.9 -10.2 9.1.20 8.1 H10.14 13.12.18 TRNIM 4 3/4 03/15/21 Sen ASW FX BUY 52.6 19.8 32.9 CLOSED SRGIM 5 1/4 09/19/22 Sen ASW FX SELL 32.7 5.0 -27.8 9.1.20 5.1 H10.14 02.05.19 TRNIM 4 3/4 03/15/21 Sen ASW FX BUY 6.2 19.8 -13.6 CLOSED TRNIM 0 7/8 02/02/22 Sen ASW FX SELL 8.1 28.3 20.1 9.1.20 6.6 H10.14 07.11.19 EXOIM 2 1/8 12/02/22 Sen ASW FX BUY 51.4 48.8 2.6 CLOSED CNHI 1 3/8 05/23/22 Sen ASW FX SELL 33.8 41.0 7.2 3.12.19 9.9 H10.30 07.03.19 FIREIT 2.195 09/11/25 Sen ASW FX BUY 154.5 77.1 77.4 CLOSED FIREIT 1.608 10/31/27 Sen ASW FX SELL 155.5 94.7 -60.8 21.11.19 16.6 H11:15 02.05.19 ATLIM 1 1/8 11/04/21 Sen ASW FX BUY 65.9 141.7 -75.8 CLOSED ATLIM 2 7/8 02/26/21 Sen ASW FX SELL 28.9 120.1 91.1 20.11.19 15.4 H15:45 21.02.19 ATLIM 4 3/8 09/16/25 Sen ASW FX BUY 246.8 275.2 -28.5 CLOSED ATLIM 1 3/4 06/26/26 Sen ASW FX SELL 225.7 272.5 46.8 20.11.19 18.3 H15:45 05.09.19 IREIM 1.95 09/19/25 Sen ASW FX BUY 82.5 53.7 28.8 CLOSED IREIM 0 7/8 11/04/24 Sen ASW FX SELL 49.0 40.6 -8.5 07.11.19 20.3 H.12.48 11.07.19 HERIM 5.2 01/29/28 Sen ASW FX BUY 113.6 84.2 29.4 CLOSED iBoxx Non-Financials BBB 7-10Y Sen ASW FX SELL 100.6 103.4 2.7 24.10.19 32.1 H14.00 27.06.19 ENELIM 5 01/15/75 Sub ASW FX BUY 259.6 173.0 87.2 CLOSED 10.10.19 H10.56 30.05.19 SRGIM 1 3/8 10/25/27 Sen ASW FX BUY 107.6 63.8 43.8 CLOSED TRNIM 1 3/8 07/26/27 Sen ASW FX SELL 86.7 63.4 -23.3 10.10.19 Sample 20.5 H10.56 13.09.18 IREN 1.95 09/19/25 Sen ASW FX BUY 148.5 81.6 66.9 CLOSED AEMSPA 1 3/4 02/25/25 Sen ASW FX SELL 113.5 71.3 -42.1 05.09.19 24.8 H10.42 07.02.19 IGIM 1 5/8 01/19/27 Sen ASW FX BUY 131.3 65.8 65.5 CLOSED TRNIM 1 3/8 07/26/27 Sen ASW FX SELL 111.0 62.9 -48.2 05.09.19 17.4 H10.42 AFX = Fixed; ACEIM = ACEA; ATLIM = Atlantia; ADRIT = Aeroporti di Roma; BZUIM = Buzzi Unicem; TRNIM = Terna; AEMSPA = A2A; ENELIM = Enel; IGIM = Italgas; ENIIM = Eni; CNHI = CNH Industrial; IREIM = Iren; EXOIM = Exor; SRGIM = Snam; TERNIM = Terna; HERIM = Hera. Note: 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data
26 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Italian High Yield Corporate Bonds: Closed Recommendations
Investment recommendations CLOSED in the last 12 months: High Yield and Unrated Date Bond/CDS Type Spread Rate Buy/Sell Entry level (bps) Current level1 Pick-up Status (bps) (pbs) 15.07.21 ATOSTR 2 7/8 02/26/21 Sen ASW FX BUY 237.7 204.5 33.2 CLOSED 6.08.20 H8.30 15.07.21 ATOSTR 1 7/8 11/04/25 Sen ASW FX BUY 234.5 239.9 -5.4 CLOSED 6.08.20 H8.30 15.07.22 ATOSTR 1 3/4 02/01/27 Sen ASW FX BUY 274.9 250.9 24.0 CLOSED 6.08.20 H8.30 25.06.20 IGT 4 3/4 02/15/23 Sen ASW FX BUY 449.2 356.4 92.8 CLOSED IGT 3 1/2 06/15/26 Sen ASW FX SELL 453.6 411.2 -42.3 5.08.20 50.5 H9.00 11.06.20 CNHI 2 7/8 09/27/21 Sen ASW FX BUY 148 120.4 28.1 CLOSED CNHI 2 7/8 05/17/23 Sen ASW FX SELL 112 126.5 14.7 16.07.20 42.8 11.06.20 iBoxx NFI BB 1-3Y Sen ASW FX BUY 339.8 361.1 -21.3 CLOSED ATOSTR 1 1/8 11/04/21 Sen ASW FX SELL 290.8 123.9 -166.9 15.07.20 -188.2 H9.15 25.05.20 ATOSTR 1 1/8 11/04/21 Sen ASW FX SELL 281.4 433.1 151.7 CLOSED 25.06.20 11.05.20 LDOIM 5 1/4 01/21/22 Sen ASW FX BUY 288.4 159.4 129.0 CLOSED LDOIM 1 1/2 06/07/24 Sen ASW FX SELL 293.2 184.4 -108.8 25.06.20 20.3 19.05.20 IGT 3 1/2 06/15/26 Sen ASW FX BUY 604.4 451.1 153.3 CLOSED IGT 2 3/8 04/15/28 Sen ASW FX SELL 481.4 378.9 -102.6 25.06.20 50.7 19.05.20 IGT 4 3/4 02/15/23 Sen ASW FX BUY 708.4 500.7 207.7 CLOSED 11.06.20 23.04.20 IGT 4 3/4 02/15/23 Sen ASW FX BUY 704.0 479.3 224.8 CLOSED IGT 3 1/2 07/15/24 Sen ASW FX SELL 606.3 470.0 -136.3 11.06.20 88.4 23.04.20 FCAIM 4 3/4 07/15/22 Sen ASW FX BUY 400.0 237.7 162.3 CLOSED FCAIM 3 3/4 03/29/24 Sen ASW FX SELL 379.9 251.0 -128.9 11.06.20 33.4 10.01.19 TITIM 4 04/11/24 Sen ASW FX BUY 367.7 300.7 67.0 CLOSED TITIM 3 5/8 01/19/24 Sen ASW FX SELL 330.4 290.0 -40.5 23.4.20 26.5 10.10.19 IGT 3 1/2 07/15/24 Sen ASW FX BUY 207.9 628.4 -420.5 CLOSED IGT 4 3/4 02/15/23 Sen ASW FX SELL 166.2 740.5 574.3 23.04.20 153.7 18.12.19 FCAIM 3 3/4 03/29/24 Sen ASW FX BUY 89.6 380.2 -290.6 CLOSED 23.04.20 18.12.19 FCAIM 3 3/4 03/29/24 Sen ASW FX BUY 89.6 380.2 -290.6 CLOSED iBoxx NFI BBB 3-5Y Sen ASW FX SELL 69.7 192.2 122.5 23.04.20 Sample -168.1 18.12.19 FCA 5Y CDS - - - SELL 106.1 430.5 -324.4 CLOSED 23.04.20 18.12.19 FCA 5Y CDS - - - SELL 106.1 430.5 -324.4 CLOSED iTraxx Europe 5Y BUY 45.2 85.4 40.2 23.04.20 -284.3 8.11.19 LDOIM 1 1/2 06/07/24 Sen ASW FX BUY 100.7 298.9 -198.2 CLOSED 23.04.20 8.11.19 LDOIM 1 1/2 06/07/24 Sen ASW FX BUY 100.7 298.9 -198.2 CLOSED iBoxx NFI BBB 3-5Y Sen ASW FX SELL 75.2 192.2 117.0 23.04.20 -81.2 8.11.19 LDOIM 4 7/8 03/24/25 Sen ASW FX BUY 124.7 315.5 -190.8 CLOSED iBoxx NFI BBB 5-7Y Sen ASW FX SELL 87.8 190.2 102.4 23.04.20 -88.5 26.03.19 LDOIM 5 1/4 01/21/22 Sen ASW FX BUY 89.2 298.7 -209.4 CLOSED 23.04.20 FX = FIXED; FCAIM = FCA; LDOIM = Leonardo; IPGIM = Salini Impregilo; IGT = International Game Thecnology; PRYM = Prysmian; TITIM = Telecom Italia; SPMIM = Saipem; WINTRE = Wind Tre. Note: 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data
Intesa Sanpaolo Research Department 27 Credit Market Opportunities 3 September 2020
Investment recommendations CLOSED in the last 12 months: High Yield and Unrated - continue Date Bond/CDS Type Spread Rate Buy/Sell Entry level (bps) Current level1 Pick-up Status (bps) (pbs) 10.10.19 IGT 2 3/8 04/15/28 Sen ASW FX BUY 253.1 312.8 -59.7 CLOSED IGT 3 1/2 06/15/26 Sen ASW FX SELL 229.6 319.5 89.9 27.02.20 30.2 30.01.20 IGT 3 1/2 07/15/24 Sen ASW FX BUY 223.0 256.9 -33.9 CLOSED IGT 3 1/2 06/15/26 Sen ASW FX SELL 220.5 313.9 93.4 27.02.20 59.5 27.07.18 SPMIM 3 3/4 09/08/23 Sen ASW FX BUY 234.0 154.5 79.5 CLOSED 26.02.20 H13:50 20.11.19 ATLIM 2 7/8 02/26/21 Sen ASW FX SELL 119.2 219.0 99.8 CLOSED 24.01.20 H12:00 20.11.19 ATLIM 5 7/8 06/09/24 Sen ASW FX SELL 260.2 263.0 2.8 CLOSED 24.01.20 H12:00 20.11.19 ATLIM 4 3/8 09/16/25 Sen ASW FX SELL 275.2 239.0 -36.2 CLOSED 24.01.20 H12:00 16.05.18 MOBYIT 7 3/4 02/15/23 Sen ASW FX SELL 1005 2723 1719 CLOSED 05.11.19 13:30CET 1.08.19 FCAIM 3 3/4 03/29/24 Sen ASW FX BUY 145.4 100.8 44.5 CLOSED 1.11.19 1.08.19 FCAIM 3 3/4 03/29/24 Sen ASW FX BUY 145.4 100.8 44.5 CLOSED Non-Financials BBB 3-5Y Sen ASW FX SELL 72.7 80.5 7.7 1.11.19 52.3 16.05.19 TITIM 2 3/4 04/15/25 Sen ASW FX BUY 337.6 215.9 121.6 CLOSED TITIM 3 09/30/25 Sen ASW FX SELL 307.6 213.7 -93.8 10.10.19 27.8 13.06.19 IGT 3 1/2 06/15/26 Sen ASW FX BUY 349.6 234.0 115.6 CLOSED IGT 3 1/2 07/15/24 Sen ASW FX SELL 282.0 212.3 -69.7 10.10.19 45.9 26.03.19 LDOIM 4 7/8 03/24/25 Sen ASW FX BUY 195.2 147.9 47.3 CLOSED 10.10.19
FX = FIXED; FCAIM = FCA; LDOIM = Leonardo; IPGIM = Salini Impregilo; IGT = International Game Thecnology; PRYM = Prysmian; TITIM = Telecom Italia; SPMIM = Saipem; WINTRE = Wind Tre. Note: 1) "Current level" at closed date. Source: Intesa Sanpaolo Research elaboration of Bloomberg data Sample
28 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
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Distribution Method This document is for the exclusive use of the person to whom it is delivered by Banca IMI and Intesa Sanpaolo and may not be reproduced, redistributed, directly or indirectly, to third parties or published, in whole or in part, for any reason, without prior consent expressed by Banca IMI and/or Intesa Sanpaolo. The copyright and all other intellectual property rights on the data, information, opinions and assessments referred to in this information document are the exclusive domain of the Intesa Sanpaolo banking group, unless
Intesa Sanpaolo Research Department 29 Credit Market Opportunities 3 September 2020
otherwise indicated. Such data, information, opinions and assessments cannot be the subject of further distribution or reproduction in any form and using any technique, even partially, except with express written consent by Banca IMI and/or Intesa Sanpaolo. Persons who receive this document are obliged to comply with the above indications. Coverage policy and frequency of research reports The list of companies covered by the Research Department is available upon request. Intesa Sanpaolo SpA aims to provide continuous coverage of the companies on the list in conjunction with the timing of periodical accounting reports and any exceptional event that affects the issuer’s operations. In the case of a short note, we advise investors to refer to the most recent company report published by Intesa Sanpaolo SpA’s Research Department for a full analysis of company profile/strategy, risks, and recommendation methodology. Research is available on Banca IMI’s web site (www.bancaimi.com or www.intesasanpaolo.com) or by contacting your sales representative. Credit Research Publications in Last 12M The list of all recommendations on any financial instrument or issuer produced by Intesa Sanpaolo Research Department and distributed during the preceding 12-month period is available on the Intesa Sanpaolo website at the following address: https://group.intesasanpaolo.com/en/research/RegulatoryDisclosures/archive-of-intesa-sanpaolo-group-s-conflicts-of-interest0 Valuation methodology Banca IMI’s credit views are based on the expected trend of the company’s fundamentals. The view reflects the sector trend and the competitive scenario, the company’s financial strength, as well as its profitability outlook and competitive positioning. In our credit quality valuation, we consider management’s intention and ability to meet debt obligations, the company’s dividend policy and, in general, its attention to bondholders’ interests. Among key financial ratios, for those sectors where relevant, we assess the company’s ability to generate operating cash flow, its capacity to repay maturing debt through cash flow, its net interest coverage ratio and capital ratios. In the case of significant events, which could determine a change in our credit view, we may place our recommendation under review. This review does not necessarily imply a change in the credit view. Corporate credit view key Credit rating key Credit view Definition POSITIVE We expect an improvement in fundamentals over the next six months NEUTRAL We expect substantially stable fundamentals over the next six months NEGATIVE We expect a deterioration in fundamentals or visibility on fundamentals over the next six months SUSPENDED The credit view and investment recommendation for this company have been suspended as there is not a sufficient fundamental basis for determining an investment view. The previous credit view, if any, is no longer in effect for this company NOT ASSIGNED The company is or may be covered by the Research Department but no credit view and investment recommendation are assigned either voluntarily or to comply with applicable regulations and/or firm policies in certain circumstances.
Historical Credit View and Investment Recommendation Changes 2i Rete Gas - Historical Investment Recommendation (-1Y) 2i Rete Gas - Historical Credit View (-1Y) D at e Inv es t m ent Grade Senio r Uns ec ured Date Credit View 08-Apr-20 Hold A2A - Historical Credit View (-1Y) A2A - Historical Investment Recommendations (-1Y) Date SampleCredit View Date Investment Grade Senior Unsecured Acea - Historical Investment Recommendations (-1Y) Acea - Historical Credit View (-1Y) Date Investment Grade Senior Unsecured Date Credit View 14-May-20 BUY
ADR - Historical Credit Views (-1Y) ADR - Historical Investment Recommendation (-1Y) Date Credit View Date Investment Grade Senior Unsecured 24-Jan-20 Hold 17-Mar-20 Under Review 08-Jan-20 Sell ASPI - Historical Investment Recommendation (-1Y) Date High Yield Senior Unsecured 06-Aug-20 Hold ASPI- Historical Credit Views (-1Y) 15-Jul-20 Buy Date Credit View 25-May-20 Sell 24-Jan-20 Hold 15-Jul-20 Under Review 20-Nov-19 Sell Atlantia - Historical Investment Recommendation (-1Y) Atlantia- Historical Credit Views (-1Y) Date High Yield Senior Unsecured Date Credit View 24-Jan-20 Hold 17-Jul-20 Under Review 20-Nov-19 Sell
30 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Buzzi Unicem - Historical Credit View (-1Y) Date Credit View Buzzi Unicem - Historical Investment Recommendations (-1Y) 27-Mar-20 UNDER REVIEW Date Investment Grade Senior Unsecured CNH Ind. - Historical Credit View (-1Y) Date Credit View 07-May-20 UNDER REVIEW CNH Ind. - Historical Investment Recommendations (-1Y) 02-Oct-19 NEUTRAL Date Investment Grade Senior Unsecured Enel - Historical Investment Recommendations (-1Y) Date Investment Grade Senior Unsecured Enel - Historical Credit View (-1Y) 07-Aug-20 HOLD Date Credit View 07-May-20 BUY Eni - Historical Credit View (-1Y) Date Credit View Enel - Historical Investment Recommendations (-1Y) 24-Mar-20 NEUTRAL Date Investment Grade Hybrids 28-Oct-19 UNDER REVIEW Eni - Historical Investment Recommendations (-1Y) ERG - Historical Credit View (-1Y) Date Investment Grade Senior Unsecured Date Credit View EXOR - Historical Credit View (-1Y) ERG - Historical Investment Recommendation (-1Y) Date Investment Grade Senior Unsecured Date Credit View 19-May-20 Buy 12-Mar-20 Hold 25-Nov-19 POSITIVE FCA - Historical Credit View (-1Y) EXOR - Historical Investment Recommendations (-1Y) Date Credit View Date Investment Grade Senior Unsecured 06-May-20 NEUTRAL 26-Mar-20 HOLD 18-Dec-19 UNDER REVIEW
FCA - Historical Investment Recommendation (-1Y) Date High Yield Senior Unsecured 06-May-20 Hold Hera - Historical Credit View (-1Y) 18-Dec-19 Buy 01-Nov-19 Hold Date Credit View Hera - Historical Investment Recommendations (-1Y) IGT - Historical Credit View (-1Y) Date Investment Grade Senior Unsecured Date Credit View IGT - Historical Investment Recommendations (-1Y) Iren - Historical Credit View (-1Y) Date High Yield Senior Secured Date Credit View 19-May-20 BUY 30-Oct-19 NEUTRAL Iren - Historical Investment Recommendations (-1Y) Date Investment Grade Senior Unsecured Italgas - Historical Credit View (-1Y) 16-Sep-19 HOLD Date Credit View Italgas - Historical Investment Recommendations (-1Y) Kedrion - Historical Credit View (-1Y) Date Investment GradeSampleSenior Unsecured Date Credit View 28-Jul-20 BUY 31-Jan-20 NEUTRAL Kedrion - Historical Investment Recommendations (-1Y) Date Unrated Senior Unsecured Leonardo - Historical Credit View (-1Y) 31-Mar-20 BUY Date Credit View Prysmian - Historical Credit View (-1Y) Leonardo - Historical Investment Recommendations (-1Y) Date Credit View Date High Yield Senior Unsecured 11-May-20 HOLD 13-May-20 UNDER REVIEW Saipem - Historical Credit View (-1Y) Prysmian - Historical Investment Recommendations (-1Y) Date Credit View Date Unrated Senior Unsecured 27-Feb-20 UNDER REVIEW Sisal Group - Historical Credit View (-1Y) Saipem - Historical Investment Recommendations (-1Y) Date Credit View Date High Yield Senior Unsecured 27-Feb-20 HOLD 21-Feb-20 NEUTRAL
Intesa Sanpaolo Research Department 31 Credit Market Opportunities 3 September 2020
Sisal Group - Historical Investment Recommendations (-1Y) Date High Yield Senior Secured Snam - Historical Credit View (-1Y) 21-Feb-20 HOLD Date Credit View Telecom Italia - Historical Credit View (-1Y) Snam - Historical Investment Recommendations (-1Y) Date Credit View Date Investment Grade Senior Unsecured 13-Nov-19 NEUTRAL Telecom Italia - Historical Investment Recommendations (-1Y) Terna - Historical Credit View (-1Y) Date High Yield Senior Unsecured Date Credit View Terna - Historical Investment Recommendations (-1Y) Date Investment Grade Senior Unsecured Webuild - Historical Credit View (-1Y) 27-May-20 BUY Date Credit View Banca MPS - Historical Credit View (-1Y) Date Credit View Webuild - Historical Investment Recommendations (-1Y) 16-Jul-20 NEUTRAL Date High Yield Senior Unsecured 28-Feb-20 UNDER REVIEW MPS - Historical Investment Recommendation (-1Y) Date High Yield Subordinated Banca MPS - Historical Investment Recommendations (-1Y) 30-Jun-20 Hold 27-Mar-20 Sell Date High Yield Senior Unsecured 18-Sep-19 Hold MPS - Historical Investment Recommendation (-1Y) BPER - Historical Credit View (-1Y) Date Inv es t m ent Grade C o v ered B o nds 13-Mar-20 Hold Date Credit View 18-Sep-19 Buy 06-Aug-20 UNDER REVIEW
BPER - Historical Investment Recommendation (-1Y) BPER - Historical Investment Recommendations (-1Y) Date High Yield Subordinated 05-Aug-20 Hod Date High Yield Senior Unsecured 27-Mar-20 Sell 06-Aug-20 HOLD
Banco BPM - Historical Credit Views (-1Y) Date Credit View BPER - Historical Investment Recommendations (-1Y) 19-Jun-20 Negative Date Investment Grade Covered 11-May-20 Under Review Banco BPM - Historical Investment Recommendations (-1Y) Banco BPM - Historical Investment Recommendations (-1Y) Date High Yield Senior Unsecured Date High Yield Senior Unsecured Not Preferred 04-Mar-20 HOLD 04-Mar-20 HOLD Banco BPM - Historical Investment Recommendations (-1Y) Banco BPM - Historical Investment Recommendations (-1Y) Date High Yield Subordinated Date High Yield Hybrids 04-Mar-20 HOLD 04-Mar-20 HOLD 07-Feb-20 BUY 07-Feb-20 BUY Banco BPM - Historical Investment RecommendationsSample(-1Y) Unicredit - Historical Credit Views (-1Y) Date Investment Grade Covered Date Credit View 04-Mar-20 HOLD 04/06/2020 Negative 12-Nov-19 BUY 07/05/2020 Under Review
UNICREDIT - Historical Investment Recommendation (-1Y) UNICREDIT - Historical Investment Recommendation Date High Yield Subordinated Date High Yield Hybrids 04-Jun-20 Hold 13-Mar-20 Hold 08-Nov-19 Buy UNICREDIT - Historical Investment Recommendation (-1Y) UNICREDIT - Historical Investment Recommendation (-1Y) Date Investment Grade Senior not Preferred Date Investment Grade Senior Unsecured 13-Mar-20 Hold 13-Mar-20 Hold Unicredit - Historical Investment Recommendations (-1Y) Date Investment Grade Covered
Credit View allocations
32 Intesa Sanpaolo Research Department Credit Market Opportunities 3 September 2020
Intesa Sanpaolo Research Credit View distribution at July 2020 Number of Companies subject to credit views: 23** Positive Neutral Negative Total Credit Research coverage - last credit view (%) 13.0 69.6 17.4 of which Intesa Sanpaolo's clients* (%) 67 88 75 (*) Companies on behalf of whom Intesa Sanpaolo and the other companies of the Intesa Sanpaolo Group have provided corporate and investment banking services in the last 12 months; percentage of clients in each rating category; ** Total number of companies covered is 33. Investment recommendations Intesa Sanpaolo’s recommendations on the issuer(s) bonds or relative CDS are based on the following rating system: Investment recommendation Recommendation Definition BUY We expect the bond or CDS subject to the recommendation to outperform the reference index, sector or benchmark in a period up to six months HOLD We expect the bond or CDS subject to the recommendation to perform in line with the reference index, sector or benchmark in a period up to six months SELL We expect the bond or CDS subject to the recommendation to underperform the reference index, sector or benchmark in a period up to six months
Company-specific disclosures Intesa Sanpaolo S.p.A. and the other companies belonging to the Intesa Sanpaolo Banking Group (hereafter the “Intesa Sanpaolo Banking Group”) have adopted written guidelines ”Organisational, Management and Control Model” pursuant to Legislative Decree 8 June 2001 no. 231 (available at the Intesa Sanpaolo website, https://group.intesasanpaolo.com/en/governance/leg-decree-231-2001) setting forth practices and procedures, in accordance with applicable regulations by the competent Italian authorities and best international practice, including those known as Information Barriers, to restrict the flow of information, namely inside and/or confidential information, to prevent the misuse of such information and to prevent any conflicts of interest arising from the many activities of the Intesa Sanpaolo Banking Group, which may adversely affect the interests of the customer in accordance with current regulations. In particular, the description of the measures taken to manage interest and conflicts of interest – related to Articles 5 and 6 of the Commission Delegated Regulation (EU) 2016/958 of 9 March 2016 supplementing Regulation (EU) No. 596/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the technical arrangements for objective presentation of investment recommendations or other information recommending or suggesting an investment strategy and for disclosure of particular interests or indications of conflicts of interest as subsequently amended and supplemented, the FINRA Rule 2241, as well as the FCA Conduct of Business Sourcebook rules COBS 12.4 - between the Intesa Sanpaolo Banking Group and issuers of financial instruments, and their group companies, and referred to in research products produced by analysts at Intesa Sanpaolo S.p.A. is available in the "Rules for Research " and in the extract of the "Corporate model on the management of inside information and conflicts of interest" published on the website of Intesa Sanpaolo S.p.A.. At the Intesa Sanpaolo website, webpage https://group.intesasanpaolo.com/en/research/RegulatoryDisclosures/archive-of- intesa-sanpaolo-group-s-conflicts-of-interest you can find the archive of disclosure of interests or conflicts of interest of the Intesa Sanpaolo Banking Group in compliance with the applicable laws and regulations. Furthermore, in accordance with the aforesaid regulations, the disclosures of the Intesa Sanpaolo Banking Group’s conflicts of interest are available through the above-mentioned webpage. The conflicts of interest published on the internet site are updated to at least the day before the publishing dateSample of this report. We highlight that disclosures are also available to the recipient of this report upon making a written request to Intesa Sanpaolo – Equity & Credit Research, Via Manzoni, 4 - 20121 Milan - Italy.
Intesa Sanpaolo Research Department 33 Intesa Sanpaolo Largo Mattioli, 3 20121 Italy Intesa Sanpaolo Credit Market Opportunities 3 September 2020 London Branch 90 Queen Street – EC4N 1SA UK
Intesa Sanpaolo IMI Securities Corp. 1 William St. – 10004 New York (NY) USA Intesa Sanpaolo Research Dept. Gregorio De Felice - Head of Research +39 02 8796 2012 [email protected] Equity&Credit Research Giampaolo Trasi +39 02 8794 9803 [email protected] Credit Research Maria Grazia Antola Banking +39 02 8794 1114 maria.antola @intesasanpaolo.com Alessandro Chiodini Utilities +39 02 8794 1115 alessandro.chiodini @intesasanpaolo.com Melanie Gavin Telecoms, Industrials +39 02 8794 1118 [email protected] Maria Gabriella Tronconi Industrials +39 02 8794 1117 [email protected] Barbara Pizzarelli Research Assistant +39 02 8794 1116 [email protected]
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34 Intesa Sanpaolo Research Department