20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 1 See last pages for disclaimer.

Credit Market Snapshot

Despite softer equities (STOXX Europe 600 down by 0.6%), European credit saw a solid session yesterday. The Main and the XO tightened by 3bp and 19bp respectively, with the momentum mirrored in cash. Oil & Gas credit felt the recent recovery in oil prices and spreads have tightened 2-3bp. Despite the massive decline in European car sales (76.3% yoy), the automotive and transport sector remained stable, with spreads tightening 3-5bp in the lower-beta and 10-15bp in the higher-beta names. Elsewhere in the credit universe, sectors performed roughly in line with the broad market. Corporate hybrids enjoyed another good day with the universe 15-30bp tighter, on average. The solid performance in the secondary market took place amid another strong primary-market-activity day, with EUR 4.75bn having been placed.

In equities, however, the strong start to the week lost momentum yesterday. In the absence of pivotal data releases – the better-than-expected ZEW survey results (the expectations component at 51 vs. expected 30) were not enough to lift sentiment – and amid renewed doubts about a

vaccine becoming available soon, soberness appears to have returned to stock markets. US stocks closed softer (S&P 500 down by 1% and Nasdaq by 0.5%), and also Asian markets are mixed; while the Nikkei is up by 1%, the CSI 300 is down by 0.5% and the Hang Seng is almost flat.

In terms of data and events, there is little to provide European credit with directional impulses, and we expect range-bound trading today. Event-wise, the Fed will release the FOMC minutes of its 28-29 April meeting today, when the committee voted unanimously to keep monetary policy unchanged and the post-meeting statement highlighted the “considerable risks to the economic outlook over the medium term” (20:00 CET). In terms of data, we expect European Commission consumer confidence to improve somewhat in May, to -20.0 from -22.7 (16:00 CET).

Dr. Stefan Kolek, EEMEA Corporate Credit Strategist (UniCredit Bank, Munich) +49 89 378-12495, stefan.kolek@unicredit.de

Investment GradeAUTOS

Auto markets EU passenger-car registrations in April down by 76.3%

Knorr Bremse (KNOGR)

Moody's revises outlook to negative

BANKS

Aareal Bank (AARB) Starts process to sell minority stake in Aareon

BCP (BCPPL) 1Q20 net income falls 77% on COVID-19-related provisions

High Yield

HIGH YIELD

Adler Pelzer (PELHOL)

S&P downgrades AP to CCC+ with stable outlook, provides some liquidity thoughts

Leonardo (LDOIM) Fitch changes outlook to negative on BBB- rating

thyssenkrupp (TKAGR)

Takeaways from conference call

Quick links Market Data Page Rating Actions Recent Credit Research Publications

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 2 See last pages for disclaimer.

Autos

EU passenger-car registrations in April down by 76.3% April sales decreased significantly given a full month of restrictions

The ACEA has reported that EU passenger-car registrations in April decreased by76.3% (YTD: -38.5%). This was the result of the first full month of COVID-19 restrictions beingin place and most showrooms across the EU being closed for the entire month.

Each of the 27 EU markets recorded double‐digit declines in April, but Italy’s and Spain’sendured the biggest losses, with car registrations falling by 97.6% (YTD: 50.7%) and 96.5%(YTD: 48.9%) respectively. Demand dropped by 61.1% (YTD: -31.0%) in Germany, while inFrance, it suffered an 88.8% (YTD: 48.0%) contraction in April.

In April/YTD 2020, the registration numbers of selected manufacturers were asfollows (EU+EFTA+UK): JLR -88.6%/-40.6%, FCA -87.7%/-48.0%, PSA -82.4%/-45.8%,Ford -80.7%/-47.8%, Daimler -80.1%/-37.9%, Toyota -79.6%/-27.9%, Renault -79.5%/-47.3%,VW -75.0%/-33.5%, BMW -69.7%/-29.6%, Volvo -68.0/-31.0%. The market-share winners inthe YTD 2020 were VW (+2.3pp to 26.4%), BMW (1.1pp to 7.3%), Toyota (+0.8pp to 4.9%),Hyundai (+0.6pp to 7.2%), Volvo Car (+0.3pp to 2.4%) and Daimler +0.2pp to 6.0%).

EUROZONE CONSUMER CONFIDENCE IS DOWN LTM PASS-CAR REGISTRATIONS DROP

Source: ACEA, Bloomberg, UniCredit Research

Other regions In April, light-vehicle sales in the US were down by 46.6% (YTD: -21.2%) yoy; in Japan, downby 30.4% (YTD: -14.1%); in Brazil, -76.8% (YTD: -27.1%); and in China, down by 2.3% (YTD:-35.1%).

A low point should have been reached in April

Given re-openings, which have started over the last few weeks, it is likely that April’sregistration numbers marked a low point in the coronavirus crisis in terms of market decline asa percentage yoy. For 2Q20, IHS expects to see a decline in global light-vehicle production of-45% and, for 2H20, a decline of -10.6% yoy. Moody’s global-light-vehicle-sales forecast for2020 is for -20.2%, LMC Automotive’s is for -22.3% and S&P’s is for -16.4%. For 2021,Moody’s, S&P, LMC Automotive and IHS expect to see a significant recovery, in particular for1H21.

Dr. Sven Kreitmair, CFA, Head of Credit Research (UniCredit Bank, Munich) +49 89 378-13246, sven.kreitmair@unicredit.de

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20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 3 See last pages for disclaimer.

Knorr-Bremse (Underweight) Event Moody’s revised the rating outlook on Knorr-Bremse (A2n/As) to negative from stable

following the worldwide spread of the coronavirus, which Moody's expects to slow down revenue in Knorr-Bremse's commercial-vehicle-systems segment by more than 25% and at the rail-vehicle-systems division by some 5%. Despite strong aftermarket activities, Moody's forecasts that Knorr-Bremse's revenue will shrink by around 15-20% in 2020, its profitability to weaken and Moody's-adjusted FCF to drop towards breakeven (EUR 270mn in 2019). The agency stated that Knorr-Bremse's rating could be downgraded in the event of 1. a prolonged erosion of the operating environment affecting profitability, including adjusted EBITA margin falling below 12%, 2. a shift in financial and liquidity policy leading to a significant reduction in the cash buffer, 3. adjusted retained cash flow/net debt below 50% or a more aggressive use of debt resulting in a permanent deterioration of credit metrics, with adjusted leverage remaining above 1.5xdebt/EBITDA and/or 1.0x net debt/EBITDA on a sustainable basis. As of 31 December 2019,Knorr-Bremse had sizeable cash and cash equivalents of EUR 1.85bn, as well as EUR 1.8bn of committed revolving credit facilities, of which EUR 1.2bn was undrawn. However, most of thesefacilities have short-term maturities of less than a year, which is unusual for a company in the A2rating category, according to Moody’s.

Expected development of credit profile/rating

For our comment on FY19 results, please refer to our Daily Credit Briefing, 11 March. For Knorr’s fact book May 2020, please follow this link. Knorr profits from its diversification, the oligopolistic nature of the rail-brake industry, in which it is the world leader with a 50% marketshare. In truck brakes, Knorr ranks second (42% share), slightly behind ZF’s Wabco. Inaddition, the company profits from its large 34% revenue share of the aftermarket business and as a result generated relatively high EBITDA margins of 18.8% in FY19.

KNOGR BONDS LESS VOLATILE THAN INDEX INCREASED LEVERAGE IN 2018-19

Source: Bloomberg, iBoxx, Markit, UniCredit Research

Name recommendation Given the potential for a one-notch downgrade and although the two KNOGR bonds havesome scarcity value, we are keeping our underweight recommendation for IG benchmarkinvestors at current spread levels, which leave no real upside potential. In addition, there is no rating upgrade potential given the company’s M&A risk and its EUR 876mn in current financial liabilities, which could lead to some refinancing. The KNOGR 21 and 25 bonds have bothbeen bought by the ECB under its CSPP.

Dr. Sven Kreitmair, CFA, Head of Credit Research (UniCredit Bank, Munich) +49 89 378-13246, sven.kreitmair@unicredit.de

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FFO adj./total debt adj. Net debt adj./EBITDA adj.

Total debt adj./EBITDA adj.

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 4 See last pages for disclaimer.

High Yield

Adler Pelzer (Sell) Event S&P has downgraded Adler Pelzer (AP; B2wn/CCC+s) to CCC+ with a stable outlook.

S&P said that AP can manage its near-term liquidity needs, but the buffer to absorb unexpected liquidity shocks remains limited. The rating agency understands that AP’s parent company, Adler Plastic SpA (not rated), has obtained commitments for up to EUR 40mn of additional bank lines, a meaningful share of which would be available to support AP. Pendingthe final allocation of this funding across the group, S&P has included EUR 20mn in its liquidityassessment for AP. We also understand from management that AP had about EUR 100mn of accessible cash as of 30 April 2020. S&P’s forecast for FFO of about EUR 20-30mn and the new funding from Adler Plastic sufficiently cover S&P’s estimated liquidity uses of about EUR 25mnof maintenance capex, EUR 15-25mn of short-term debt maturities and potential peak intra-year working-capital needs of up to EUR 50mn in the next 12 months. However, S&P thinks that AP’s reliance on uncommitted bank facilities (excluding the committed line associated with Adler Plastic) would present a risk if market conditions were to materially worsen compared with S&P’s current base case. The rating agency acknowledged that AP is striving to secure additional liquidity by tapping the funding schemes of public-sector banks, such as the KfW in Germany, or facilities that benefit from government support in the form ofguarantees, which according to our understanding could total up to EUR 70mn. This would further support the company's liquidity in the near term but would further increase its debt burden. S&P will review the effect on AP’s credit profile once the financing is closed and theterms have been made available to it. According to its management, AP was very proactive with regard to managing its working capital during March and April – such as with theaggressive collection of receivables – and is exploring further measures to preserve cash. In S&P’s liquidity calculation, it assumes some of these benefits will be partially unwound in the coming months as AP gradually resumes production.

Expected development of credit profile/rating

AP recently announced that the publication of its FY19 results has been delayed and is expected to occur around 30 June, as the COVID-19 crisis and government measures haveaffected its operations and have meant that the collection of information required to finalize the group’s annual financial statements had not been made available to management and itsauditors before the end of April. AP expects revenue in 1Q20 to be down by approximately 15%, but due to strong and proactive management actions taken immediately, it anticipatesits EBITDA as a percentage of revenue to be in line with that of 1Q19 (6.5%). For an overviewof the company’s structure, liquidity and our model, see our Euro High Yield & Crossover publication, 22 April.

Name recommendation We think that the information provided by S&P, that AP’s parent company is willing to support AP’s liquidity, is credit-positive. We are, however, surprised that AP’s 28.07% owner, FSI SGR SpA, was not mentioned as a potential source of liquidity for AP. For the time being, we are maintaining our sell recommendation on the PELHOL 24 bond, as long as there are no precise updates in terms of AP’s stand-alone liquidity situation. S&P calculated a recovery rate of 60% for the senior secured notes, and the PELHOL 24 bond is trading at a price of around 37.8/42.8.

Dr. Sven Kreitmair, CFA, Head of Credit Research (UniCredit Bank, Munich) +49 89 378-13246, sven.kreitmair@unicredit.de

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 5 See last pages for disclaimer.

Leonardo (Buy) Fitch changed the outlook on its BBB- rating on Leonardo (Ba1s/BB+s/BBB-n) from stable to

negative yesterday. According to the agency, the negative outlook reflects Fitch's view thatLeonardo's cash flows over the coming 12-24 months are likely to come under material pressure as a consequence of the COVID-19 pandemic, which should result in key credit ratios being outside itsdowngrade sensitivities beyond the short term. The agency assumes a broad global economic recovery in 2021, and as such Leonardo is likely to see a gradual return of its cash flow and leverageratios to levels that are in line with the present rating sensitivities, the agency said. A downgrade of the rating is likely, however, if the effects of the pandemic are more deeply negative than expected, or should the recovery be slower than expected.

Fitch’s rating is still one notch above those of Moody’s and S&P. We keep our buy recommendation on Leonardo bonds. Following years of portfolio optimization andrestructuring, Leonardo enters the current crisis with a strengthened business profile as wellas a solid balance sheet. While the company will be affected by a slowdown in demand in the civil side of its business, its defensive-related activities, which account for more than 80% of the group’s revenues, should prove more resilient and support the company’s operating performance. Leonardo further benefits from its strong order backlog (EUR 37bn, coveringtwo-and-a-half years of revenue) and an adequate liquidity position, which will be helpful inweathering the short-term market challenges.

Jana Schuler, CFA, Senior Credit Analyst (UniCredit Bank, Munich) +49 89 378-13211, jana.schuler@unicredit.de

thyssenkrupp (Sell) Following the presentation of its new strategy update yesterday, thyssenkrupp

provided some more insight on its plan during the day. The main takeaways were as follows: 1. on Steel Europe, management stressed that it is keeping all options open in thesearch for consolidation opportunities, i.e. including a complete sale (“there are no taboos”). COVID-19 has again demonstrated the need for consolidation in the European steel industryas it further deepens the structural challenges, i.e. increasing overcapacities. In addition, thecompany highlighted the transformation needs towards carbon-free steel production, which could create further options. Overall, thyssenkrupp believes that, in the current environment,the willingness of all stakeholders to talk about cooperation might be higher. In terms ofpotential candidates, management also indicated that a steel combination in Germany, i.e. with Salzgitter, could be one option. In this respect, we also note newswire reports yesterdaythat the state of North-Rhine Westphalia is considering taking a 25% stake in thyssenkruppwith a view to combine it with Salzgitter. Other potential consolidation candidates includeBaosteel, SSAB as well as Tata Steel again. 2. management again stressed its high confidence that the Elevator deal will be completed as planned (i.e. by the end of September),and 3. on the timeframe, management targets execution of the portfolio overhaul within two tothree years, while, however, noting that execution of disposals could be slowed down in thecurrent environment.

While the intended portfolio adjustments are reasonable and long overdue, execution risks are high, especially given the current situation. The cash-ins from the Elevator sale provide the company with good financial flexibility. However, we remain skeptical about its ability torestructure the business in a timely manner. In the current environment, we would prefer tostay away from restructuring stories. We would therefore use the recent strengthening ofbonds (which also benefitted from the company’s indication to repay debt along the maturityprofile) as an opportunity to sell, in particular the longer-dated maturities.

Jana Schuler, CFA, Senior Credit Analyst (UniCredit Bank, Munich) +49 89 378-13211, jana.schuler@unicredit.de

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 6 See last pages for disclaimer.

Banks

Aareal Bank (Marketweight) Event Press release

Aareal Bank (A3n/--/BBB+wn) said it had initiated the sale process of a significant minority stake in its IT subsidiary Aareon AG.

The bank has entered discussions with a select group of long-term financial investors to join forces with a partner in order to further strengthen Aareon's growth prospects. Aareal Bank intends to remain Aareon’s majority shareholder. The eventual sale of a minority stake is not yet certain and the process has an open outcome. One key criterion will be the potential partner's specific transaction and sector expertise in order to support Aareon's growth strategy, particularly in terms of stepping up M&A activity.

Expected development of credit profile/rating

We view the sale as credit neutral. Aareon is a key part of the bank’s strategy and we therefore see a sale of more than a minority stake as unlikely. Entering into a strategic partnership has been indicated before by management and there was shareholder pressure to sell a minority stake. Under its Aareal Next Level strategy, Aareal Bank expects Aareon to achieve a CAGR in revenue of 7-9% and an increase of EBITDA from EUR 64mn in FY19 to more than EUR 110mn over the medium term

On the one hand, Aareon is a key driver for the revenue and profitability of Aareal Bank. Asale of a minority stake will be negative for the profitability of the bank in the short term. On the other hand, a strong partner would enable the bank to accelerate its medium-term growth strategy, which would also profit value creation for Aareal Bank.

From a credit-investor perspective, we take comfort that the capitalization of Aareal Bank remains very solid, with a fully loaded CET1 ratio of 20.2%, up from 19.6% as of FYE 2019,reflecting mainly the dividend suspension and lower portfolio volume. The bank alreadyprovides guidance for a capital ratio of 14.2% including all Basel III finalized measures. Due to the pandemic crisis, we expect new commercial real estate business in general to bematerially negatively impacted, which will impact the profitability of real estate banks includingAareal Bank. The potential positive one-off from a sale of the minority stake might be used to offset a lower underlying FY20 profitability and to allow the bank to book adequate riskprovisions for the expected weakening of asset quality.

Name recommendation We maintain our marketweight recommendation on Areal Bank. The only benchmark senior EUR bond is the senior preferred bond AARB 0.375% 4/24 (--/--/A-wn), which has so far not tightened again and that we consider attractive. Outstanding subordinated bonds are close to their call dates. The EUR 300mn AT1 bond AARB 6.93% 4/21-perp (--/--/BBwn) was not called in April 2020 and its next call date is in April 2021. The call date of the EUR 300mnTier-2 bond AARB FRN 3/26 (--/--/BBB-wn) in March 2021 is approaching and it is difficult to assess the call likelihood at this stage. Given the uncertainties ahead, we view the senior part of the capital structure as the preferred option. Aareal peer Deutsche Pfandbriefbank has aless-vulnerable real estate financing portfolio, in our view, with a lower hotel and retail share, but spread levels are at a similar level.

Dr. Michael Teig, Deputy Head of Financials Credit Research, Senior Credit Analyst Banks (UniCredit Bank, Munich), +49 89 378-12429, michael.teig@unicredit.de

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 7 See last pages for disclaimer.

BCP (Marketweight) Event 1Q20 earnings presentation

BCP (Ba1s/BBs/BBn) reported 1Q20 net income of EUR 53.3mn, a decrease of 77% yoycompared to EUR 153.8mn reported in 1Q19, due to the adverse impact of COVID-19-related provisions, which totaled EUR 78.8mn.

Net interest income for 1Q20 was EUR 385.5mn, up by 6% yoy, as the favorable development of international activities was partly offset by the domestic performance. Net fee and commission income also recorded a positive development (up by 8% yoy) toEUR 179.8mn in 1Q20, benefitting from banking-related commissions and market-related commissions. Operating costs, excluding the effect of specific items, totaled EUR 276.9mn in 1Q20, recording an increase of 9% from 1Q19, mainly reflecting the impact of the consolidation of Euro Bank in the Polish subsidiary, Bank Millenium, and organic growth of the subsidiary itself.

The 1Q20 RoE was 2.4% (1Q19: 10.6%). The cost-income ratio stood at 47.9% (1Q19: 43.4%).

Asset quality: Impairment and provision charges amounted to EUR 201.8mn, of which EUR 78.8mn were related to COVID-19 and EUR 123.0mn in impairment charges and other provisions (including a EUR 12.7mn extraordinary provision booked for claims related to mortgage loans granted in Swiss francs by the Polish subsidiary). The NPL ratio further decreased over the past 12 months, from 6.9% to 5.0% as of 1Q20. The reported underlying cost of risk was 63bp (excluding COVID-19 related provisions), down 5bp from 1Q19.

Capitalization: The CET1 ratio declined by 20bp qoq to 12.0% fully implemented. This is well above the temporary minimum requirement of 8.83%.

Expected development of credit profile/rating

We view the results as credit negative. BCP’s net profit fell sharply in 1Q20, hit by provisions related to the COVID-19 pandemic. Revenue was roughly flat, while operating costs rose 10%. We see downside risks to the bank's credit profile, most importantly in terms of asset quality and profitability, as a result of Portugal's deteriorating operating environmentdue to the COVID-19 outbreak.

Name recommendation We maintain our marketweight recommendation on BCP. We currently do not have any recommendations on BCP’s bonds, but given current market conditions and spread levels, welike the senior non-preferred bond CXGD 1.25% 11/24 of its Portuguese peer Caixa Geral de Depositos. We see this bank in a decent position to face the impact of the crisis withadequate levels of capital, liquidity and efficiency. We also agree with the bank’smanagement that Caixa Geral de Depositos is now better prepared to face the potential impacts of an economic crisis compared to 2009.

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 8 See last pages for disclaimer.

SPREAD LANDSCAPE, PORTUGUESE BANKS

Tier-2: BCP vs. CXGD Senior non-preferred: iBoxx Banks vs. CXGD

Source: iBoxx, UniCredit Research

Tobias Keller, Credit Analyst (UniCredit Bank, Munich), +49 89 378-12960, tobias.keller@unicredit.de

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20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 9 See last pages for disclaimer.

Market Data Page IBOXX YIELD BY ASSET CLASS

current 1D 1W MTD YTD

Sovereigns 0.24 -0.04 -0.04 0.03 0.04

Germany -0.50 0.03 0.05 0.11 -0.19

SSA -0.02 0.00 0.00 -0.03 -0.03

Covered -0.08 0.01 -0.01 -0.01 -0.01

Non-Financials 1.24 0.00 0.06 0.15 0.78

Financials 1.44 -0.02 0.09 0.18 0.98

High Yield NFI 5.79 -0.11 0.00 0.07 2.72

Source: iBoxx, UniCredit Research

INTEREST RATE CURVES

current 1D 1W MTD YTD

Euribor 6m -0.26 0.02 -0.01 0.01 0.12

EUR Swap 2Y -0.28 0.01 0.02 0.06 0.01

EUR Swap 5Y -0.27 0.01 0.02 0.05 -0.16

EUR Swap 10Y -0.13 0.00 0.01 0.03 -0.34

USD Libor 6m 0.63 -0.03 -0.03 -0.13 -1.28

USD Swap 5Y 0.39 -0.02 0.04 -0.03 -1.34

USD Swap 10Y 0.69 -0.02 0.06 0.05 -1.20

Source: Bloomberg, UniCredit Research

ASW SPREAD CURVES BY ASSET CLASS CORPORATE IBOXX AND ITRAXX HISTORY

Source: iBoxx, UniCredit Research

IBOXX ASW SPREADS BY SECTOR

current 1D 1W MTD YTD

Non-Financials 144 -2.4 +4.6 +10.6 +90.2

Automobiles & Parts 218 -6.1 +7.1 +0.5 +144.1

Chemicals 127 -1.0 +3.8 +11.8 +87.2

Construction & Materials 167 -2.1 +1.7 +2.6 +114.3

Food & Beverage 110 -1.8 +4.1 +19.2 +74.4

Health Care 111 -1.5 +4.7 +14.6 +62.1

Industrial Goods & S. 155 -1.3 +5.5 +14.7 +93.5

Media 169 -1.3 +9.6 +19.6 +107.1

Oil & Gas 158 -4.6 -2.2 +3.3 +115.6

Personal & Household G. 127 -1.0 +4.3 +13.6 +72.0

Retail 160 -0.6 +5.3 +15.9 +103.8

Technology 102 -0.9 +8.6 +26.0 +69.0

Telecommunications 128 -1.8 +7.5 +17.7 +70.6

Travel & Leisure 205 -4.3 -3.9 +5.1 +161.4

Utilities 127 -2.0 +4.2 +7.9 +72.0

HY Non-Financials 533 -9.7 -2.7 +1.1 +225.6

Consumers 664 -11.3 +1.3 -14.0 +287.0

Energy 436 -11.3 -10.1 -7.3 +261.8

Industrials 520 -10.6 -3.0 -1.2 +187.9

TMT 441 -7.4 -3.6 +2.4 +175.3

Consumer Services 813 -14.1 +3.3 -15.0 +377.2

Construction & Materials 713 -10.0 -3.1 -13.3 +353.3

Consumers Goods 582 -10.2 -0.3 +2.6 +257.9

Financials 166 -3.6 +7.0 +12.0 +105.9

Source: iBoxx, UniCredit Research

IBOXX ASW SPREADS BY STRUCTURE/QUALITY

current 1D 1W MTD YTD

Non-Financials 144 -2.4 +4.6 +10.6 +90.2

IG Senior 136 -1.7 +5.3 +12.1 +87.1

IG Hybrids 317 -18.1 -11.9 -3.0 +167.8

AAA 50 0.0 +3.5 +15.8 +32.1

AA 71 -1.7 +4.1 +11.2 +55.4

A 108 -1.6 +4.2 +7.7 +72.5

BBB 176 -3.0 +4.9 +9.1 +106.2

BB 426 -10.7 -3.3 -9.1 +203.9

B 736 -8.2 +1.3 -16.8 +203.8

CCC 1074 -11.8 -3.0 +69.9 +85.7

Financials 166 -3.6 +7.0 +12.0 +105.9

IG Senior 146 -2.8 +6.7 +13.0 +98.3

IG LT2 245 -3.6 +7.7 +8.3 +151.5

AA 73 -1.1 +3.1 +3.5 +50.9

A 137 -3.7 +7.0 +14.4 +91.2

BBB 240 -4.4 +8.7 +11.9 +145.7

BB 514 -9.6 +7.6 -3.9 +260.9

B 902 -6.2 -1.2 +76.9 +412.8

CCC 1472 -11.4 +8.2 +32.1 +606.8

Source: iBoxx, UniCredit Research

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0 5 10 15 20

Sen

ior A

SW

(b

p)

mDur20

40

60

80

100

120

140

160

180

200

220

May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20 May-20

Spr

ead

(b

p)

iBoxx Non-Fin iTraxx Europe 5Y

iBoxx Fin Sen iTraxx Fin Sen 5Y

<date>

UniCredit Research page 10 See last pages for disclaimer.

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

ITRAXX 5Y ON THE RUN SPREADS

current 1D 1W MTD

iTraxx Main 82 -2.2 -2.2 +1.2

iTraxx Non-Fin 77 -4.6 -1.7 +1.9

iTraxx Fin Sen 99 -3.5 -2.9 -2.6

iTraxx Fin Sub 217 -9.9 -3.3 -1.2

iTraxx XOver 490 -10.1 -13.6 -1.5

Source: Markit, UniCredit Research

ITRAXX 10Y ON THE RUN SPREADS

current 1D 1W MTD

iTraxx Main 111 -1.6 -0.6 +4.5

iTraxx Non-Fin 108 -3.9 +0.3 +5.6

iTraxx Fin Sen 122 -3.4 -2.5 -1.0

iTraxx Fin Sub 231 -10.4 -1.7 +2.0

iTraxx XOver 519 -9.2 -17.7 -3.7

Source: Markit, UniCredit Research

INTRADAY HISTORY

Source: Bloomberg, Markit, UniCredit Research

5Y GOVERNMENT YIELDS

current 1D 1W MTD YTD

Germany -0.66 +0.01 +0.06 +0.10 -0.19

France -0.36 -0.02 +0.03 +0.11 -0.06

Italy 1.09 -0.05 -0.21 -0.05 +0.41

Spain 0.07 -0.06 -0.09 +0.03 +0.15

Austria -0.36 0.00 +0.04 +0.08 -0.02

UK 0.06 -0.02 -0.01 -0.03 -0.54

US 0.35 -0.02 0.02 -0.01 -1.34

Source: Bloomberg, UniCredit Research

10Y GOVERNMENT YIELDS

current 1D 1W MTD YTD

Germany -0.46 0.00 +0.04 +0.12 -0.28

France -0.02 -0.02 +0.01 +0.09 -0.13

Italy 1.64 -0.04 -0.26 -0.13 +0.22

Spain 0.64 -0.09 -0.15 -0.08 +0.17

Austria -0.07 -0.02 +0.01 +0.09 -0.10

UK 0.25 -0.01 0.00 0.01 -0.58

US 0.71 -0.01 0.05 0.07 -1.20

Source: Bloomberg, UniCredit Research

DATASHEETS & CHARTBOOKS

> Relative Value for Sub-Sovereigns & Agencies

> Relative Value for Covered Bonds (Excel)

> Corporates/Financials HG Trade Signal List

> The Euro IG Corporate Credit & Hybrid Chartbook (May 2020)

> The Unrated Corporate Bond Navigator (May 2020)

> The Euro High Yield Credit Chartbook (May 2020)

> The Financials and Bank Capital Chartbook (May 2020)

> The Covered Bond Chartbook

> The Sub-Sovereigns & Agencies Chartbook (May 2020)

> The Green Bond & ESG Chartbook (May 2020)

172.0

172.2

172.4

172.6

172.8

173.0

173.2

173.480.0

80.5

81.0

81.5

82.0

82.5

83.0

83.5

8:00 10:00 12:00 14:00 16:00 18:00CET

iTraxx Europe Series 33 Version 1 5Y Bund Future (RS)

10,875

10,925

10,975

11,025

11,075

11,125

11,175

11,225

11,275482.0

484.0

486.0

488.0

490.0

492.0

494.0

496.0

498.0

8:00 10:00 12:00 14:00 16:00 18:00CET

iTraxx Europe Crossover Series 33 Version 1 5Y Dax Future (RS)

<date>

UniCredit Research page 11 See last pages for disclaimer.

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

Rating Actions

Issuer Sector Agency Rating From To

Adler Pelzer (PELHOL) Consumers High Yield S&P Issuer Credit Rating B+ CCC+

Outlook STABLE STABLE

Akbank (AKBNK) Non-iBoxx Fitch Subordinated Debt Rating

B B-

Aktia (AKTIA) Covered S&P Outlook STABLE NEG

Alandsbanken (AABHFH) Non-iBoxx S&P Outlook POS NEG

Banco di Desio e della Brianza (BANDES) Covered Fitch Issuer Rating BBB- BB+

Outlook STABLE STABLE

Knorr Bremse (KNOGR) Automobiles & Parts Moody's Outlook STABLE NEG

Leonardo (LDOIM) Industrials High Yield Fitch Outlook STABLE NEG

Michelin (MLFP) Automobiles & Parts S&P Outlook STABLE NEG

OP Corporate Bank (POHBK) Non-iBoxx S&P Outlook STABLE NEG

Opel Finance (OPELFN) Non-iBoxx S&P Issue Rating NR NR

VakifBank (VAKBN) Non-iBoxx Fitch Subordinated Debt Rating

B B-

Source: Rating Agencies, Bloomberg, UniCredit Research

<date>

UniCredit Research page 12 See last pages for disclaimer.

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

Recent Credit Research Publications

Date Title Sector/Region Analyst

19 May 20 » Daily Credit Briefing Construction & Materials, Corporates, Health Care, Banks, Industrial Goods & Services

Jana Schuler, Dr. Sven Kreitmair, Jonathan Schroer, Gianfranco Arcovito, Dr. Silke Stegemann, Dr. Michael Teig, Dr. Stefan Kolek, Natalie Tehrani Monfared

» HY & Xover Update - GESTSM, IGT, LPLAYG, MATTER, SUNCOM, UPCB, PHARGR, TITIM, TKAGR, Earnings Preview

Corporates, Health Care Jonathan Schroer, Jana Schuler, Dr. Sven Kreitmair, Dr. Silke Stegemann, Gianfranco Arcovito, Holger Kapitza

» Sector Report - Handbook of German states 2020 Agencies & Subsovereigns, Governments, Banks

Matthias Dax

» Sector Flash - Green Bonds/ESG: COVID-19 boosts social-bond issuance

Agencies & Subsovereigns, Green Bonds

Julian Kreipl, Matthias Dax

» CSPP Update - Eighteen new bonds added under the CSPP and PEPP last week

Aerospace & Defense, Automobiles & Parts, Basic Resources, Chemicals, Construction & Materials, Cyclical Goods & Services, Energy, Food & Beverage, General Industries, Health Care, Industrial Goods & Services, Media, Non-cyclical Goods & Services, Oil & Gas, Paper & Packaging, Personal & Household Goods, Retail, Technology, Telecommunications, Tobacco, Travel & Leisure, Utilities

Holger Kapitza

18 May 20 » Daily Credit Briefing Utilities, Automobiles & Parts, Corporates, Banks, Insurance, Real Estate, Energy

Ulrich Scholz, Dr. Sven Kreitmair, Jonathan Schroer, Tobias Keller, Natalie Tehrani Monfared, Holger Kapitza

» HY & Xover Update - RCSRDS, FCAIM, PEUGOT, COFP, IGT, GAMENT, PTECLN, SCHMAN

Corporates, Automobiles & Parts Jonathan Schroer, Dr. Sven Kreitmair, Gianfranco Arcovito, Dr. Silke Stegemann, Dr. Stefan Kolek

» Sector Flash - ABS comeback issues Securitization Florian Hillenbrand

» The Covered Bond Chartbook Covered Bonds Julian Kreipl, Franz Rudolf

15 May 20 » Daily Credit Briefing Utilities, Chemicals, Automobiles & Parts, Corporates, Telecommunications, Media, Banks, Insurance, Energy, Industrial Goods & Services

Ulrich Scholz, Christian Aust, Dr. Sven Kreitmair, Jonathan Schroer, Jana Schuler, Dr. Michael Teig, Natalie Tehrani Monfared, Dr. Stefan Kolek

» HY & Xover Update - HPLGR, MCLAUT, MANTEN, Earnings Previews

Corporates, Automobiles & Parts, Health Care

Gianfranco Arcovito, Jonathan Schroer, Dr. Sven Kreitmair, Dr. Silke Stegemann, Jana Schuler, Dr. Stefan Kolek

» Sector Flash - Banks: Nordic banks feel combined pain of COVID-19 and plunging oil prices in 1Q20

Banks Tobias Keller

» Sector Flash - Pharmaceuticals: Resilient while working on a COVID-19 treatment/vaccine

Health Care, Construction & Materials

Dr. Silke Stegemann

» Sector Flash - SSA: Tax estimates for German states revised down sharply

Agencies & Subsovereigns Matthias Dax

Source: UniCredit Research

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 13 .

Legal Notices

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E 19/3

20 May 2020 Credit & Credit Strategy Research

Daily Credit Briefing

UniCredit Research page 14 .

UniCredit Research* Credit & Credit Strategy Research

Erik F. Nielsen Group Chief Economist Global Head of CIB Research +44 207 826-1765 erik.nielsen@unicredit.eu

Dr. Ingo Heimig Head of Research Operations & Regulatory Controls +49 89 378-13952 ingo.heimig@unicredit.de

Head of Credit Research Heads of Strategy Research

Dr. Sven Kreitmair, CFA Head of Credit Research +49 89 378-13246 sven.kreitmair@unicredit.de

Dr. Luca Cazzulani Co-Head of Strategy Research FI Strategist +39 02 8862-0640 luca.cazzulani@unicredit.eu

Elia Lattuga Co-Head of Strategy Research Cross Asset Strategist +44 207 826-1642 elia.lattuga@unicredit.eu

Financials Credit Research

Franz Rudolf, CEFA Head Covered Bonds +49 89 378-12449 franz.rudolf@unicredit.de

Dr. Michael Teig Deputy Head Banks +49 89 378-12429 michael.teig@unicredit.de

Matthias Dax Sub-Sovereigns & Agencies, ESG +49 89 378-13946 matthias.dax@unicredit.de

Florian Hillenbrand, CFA Securitization +49 89 378-12004 florian.hillenbrand@unicredit.de

Tobias Keller Banks +49 89 378-12960 tobias.keller@unicredit.de

Julian Kreipl, CFA Covered Bonds +49 89 378-12961 julian.kreipl@unicredit.de

Natalie Tehrani Monfared Regulatory & Accounting Service, Insurance, Real Estate +49 89 378-12242 natalie.tehrani@unicredit.de

Corporate Credit Research

Christian Aust, CFA Head Industrials, Oil & Gas +49 89 378-17564 christian.aust@unicredit.eu

Gianfranco Arcovito, CFA Telecoms, Technology, Gaming +49 89 378-15449 gianfranco.arcovito@unicredit.de

Sergey Bolshakov EEMEA Corporates & Financials +44 207 826-1772 sergey.bolshakov@unicredit.eu

Dr. Sven Kreitmair, CFA Automotive & Mobility +49 89 378-13246 sven.kreitmair@unicredit.de

Ulrich Scholz, CFA, FRM Utilities, Hybrids +49 89 378-41847 ulrich.scholz@unicredit.de

Jonathan Schroer, CFA Telecoms, Media/Cable +49 89 378-13212 jonathan.schroer@unicredit.de

Jana Schuler, CFA Industrials +49 89 378-13211 jana.schuler@unicredit.de

Dr. Silke Stegemann, CEFA Health Care & Pharma, Consumer +49 89 378-18202 silke.stegemann@unicredit.de

Credit & Equity Sector Strategy Research

Christian Stocker, CEFA Lead Equity Sector Strategist +49 89 378-18603 christian.stocker@unicredit.de

Holger Kapitza Credit & High Yield Strategy +49 89 378-28745 holger.kapitza@unicredit.de

Dr. Stefan Kolek EEMEA Corporate Credits & Strategy +49 89 378-12495 stefan.kolek@unicredit.de

UniCredit Research, Corporate & Investment Banking, UniCredit Bank AG, Am Eisbach 4, D-80538 Munich, globalresearch@unicredit.de Bloomberg: UCCR, Internet: www.unicreditresearch.eu C/CS 20/3

*UniCredit Research is the joint research department of UniCredit Bank AG (UniCredit Bank, Munich or Frankfurt), UniCredit Bank AG London Branch (UniCredit Bank, London), UniCredit Bank AG Milan Branch (UniCredit Bank, Milan), UniCredit Bank New York (UniCredit Bank, New York), UniCredit Bank AG Vienna Branch (UniCredit Bank, Vienna), UniCredit Bank Austria AG (Bank Austria), UniCredit Bulbank, Zagrebačka banka d.d., UniCredit Bank Czech Republic and Slovakia, ZAO UniCredit Bank Russia (UniCredit Russia), UniCredit Bank Romania.