信贷市场展望与策略：美国高级策略与CDS研究

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1、CreditMarketOutlook&StrategyUSHighGradeStrategy&CDSResearchNorthAmericaCreditResearch04April2019HighGradeStrategyHGbondspreadstightened2bpinMarchand3bpsofarinApril.YTDtheyare32bptighter,almostfullyunwindingthe35bpofwideninginNovember-Decemberlastyear.Thetechni

2、calpictureremainsverysupportivethankstolowyieldsgloballyandlightnetbondsupply.AsofMarchendtherewas$10.6trofglobalbondstradingwithanegativeyield.Thisisup14%YTD.In1Qgrosssupplywassimilarto1Q18butnetsupplywasdown28%,to$74bn.Thelasttwoquartershadlessnetsupplythanan

3、yquartersince3Q11.Theaveragematurityofbondsissuedin1Qwashigh,contributingtothesteepspreadcurves.FlowsintoHGbondfundshavebeenstrongYTD.Riskscomefromthecomingearningsseasons,ascreditandequitymarketshaveralliedevenasearningsexpectationshavebeendeclining.Andourindi

4、catorsofrecessionriskremainstubbornlyhigh.BBBshavelaggedsingleAs,andcreditcurvesaresteep,indicatorsthatinvestorsarecautiousonriskevenintherally.CreditDerivativesCDXindicesarenowtradingclosetotheirtightestlevelssinceOctober2018.However,themomentumhasslowedwithCD

5、Xindicestradingsidewaysrecently.CDX.HYhasmarginallyunderperformedCDX.IG.WebelievethisreflectsweaknessinthetailforCDX.HY.MostcreditindexproductshaveoutperformedtheirNAVintherecentrally.Ontheotherhand,HGsinglenameCDShavetradedmoreorlessinlinewithbonds,onaverage.T

6、heabsolutecostofoptionshasdeclined,especiallyforout-of-the-moneyputoptions.Webelievethisprovidesanattractiveopportunitytohedgeagainstaneartermselloffbytakingadvantageofthedeclineinimpliedvolatility.WindstreamCDSauctiontookplaceonApril3rdwiththefinalrecoveryrate

7、being29.5%.TradeTrackerSinceourlastpublication,ourTradeTrackerisdown$1708.Overthelasttwelvemonths,performanceisupby$842,174(+4.5%ROI/+22.6%IRR).Chartoftheweek:BBBsarelaggingAratedbonds.WebelievethisisasignofsomeinvestorcautionevenwiththestrongrallyunderwayBBBNo

8、n-FinsSpreadexEM,bpy=1.71x-22.17R²=0.78+2stddev1yrregression-2stddevANon-FinsSpreadexEM,bp230220210200190180170160150USHighGradeStrategy&CreditDerivativesResearchEricBeinst