JP 摩根-美股-信贷策略-美国信贷市场展望与策略：美国高级策略与CDS研究-7-31页.pdf
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North America Credit Research
11 July 2019
Credit Market Outlook &
Strategy
US High Grade Strategy & CDS Research
US High Grade Strategy & Credit
Derivatives Research
Eric Beinstein
AC
(1-212) 834-4211
Pavan D Talreja
(1-212) 834-2051
Sheila Xie
(1-212) 834-3036
J.P. Morgan Securities LLC
See page 29 for analyst certification and important disclosures.
J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aw
are that the
firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor i
n
making their investment decision.
www.jpmorganmarkets.com
High Grade Strategy
HG bond spreads have been range bound in July around the 140bp level. This
follows an 18bp rally in June. The YTD tightest level for the JULI was 138bp on
April 17 so we have basically returned to this. The range bound trend this month
reflects a balance between ongoing support coming from the expectation of Fed
rate cuts in 2H19, balanced by concerns about the slowing trends in corporate
results heading into the 2Q earnings reporting season. The recent rally has been
interesting with bullish and bearish signs. On the bullish side BBBs have rallied
in line with A rated bonds and credit curves have flattened. However, sector
spread dispersion remains high and implied option volatility is high as well.
Stubbornly high FX hedging costs combined with lower credit yields is limiting
some overseas demand, but low yields globally are supporting demand as well.
With lower yields comes higher dollar prices on bonds – impacting valuation
across the curve. We lowered our 2H19 bond supply forecast in our mid-year
outlook. We expect $400bn in 2H19, down from about $600bn in 1H19.
Credit Derivatives
CDX indices continue to lead the rally in credit markets. Both CDX.IG and
CDX.HY are trading close to their post crisis tights. However, the tail risk in
CDX.HY is more significant now compared to prior tights. Excluding the impact
of the weakest names, CDX.HY is trading at its January 2018 tights. ETFs have
lagged other credit index products. This is especially true for HYG as the rates
rally has weighed on the ETF spread performance relative to CDX indices. CDX
option volatility has lagged in the rally and continues to be high relative to index
levels. We discuss a costless hedge against a large selloff. Finally, Weatherford
International filed for bankruptcy last week. Based on current pricing, the
CDX.HY on-the-run index fair value price will increase 58c/ -13bp due to the
removal of Weatherford.
Trade Tracker
Since our last publication, our Trade Tracker is up $7,187. Over the last twelve
months, performance is up by $980,274 (+6.6% ROI / +33.9% IRR).
Chart of the week: Back to the YTD tights, almost
Source: J.P. Morgan
130
140
150
160
170
180
190
Jan-19 Jan-19 Feb-19 Mar-19 Mar-19 Apr-19 May-19 May-19 Jun-19 Jul-19
JULI spread
bp
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