JP 摩根-美股-信贷策略-美国信贷市场与策略：高级战略与CDS研究-321-34页.pdf
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North America Credit Research
21 March 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
eric.beinstein@jpmorgan.com
Paul Glezer
(1-212) 270-8185
paul.x.glezer@jpmorgan.com
Pavan D Talreja
(1-212) 834-2051
pavan.talreja@jpmchase.com
Sheila Xie
(1-212) 834-3036
sheila.xie@jpmorgan.com
J.P. Morgan Securities LLC
See page 32 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 af
fect the objectivity of this report. Investors should consider this report as only a single factor in
making their investment decision.
www.jpmorganmarkets.com
High Grade Strategy
The Fed’s dovish surprise is a positive for all risky assets, but the resulting decline
in UST yields makes it less of a positive for HG credit. How much of their pivot
has been driven by weaker expected growth remains to be seen. We believe HG
bond spreads will widen by year-end, driven by less supportive growth, weaker
corporate earnings, and increased concerns about corporate leverage. That said,
near-term technicals are supportive with bond supply coming in below last year
and HG bond fund inflows increasingly strong. Gross supply is trending down
more than 5% in 1Q with one week to go, and net supply is down about 35%
thanks to higher maturities. Mutual fund/ETF flows for HG bond funds in
February were strong at $17.7bn. This was the strongest inflow month in over a
year. However, demand from overseas investors has slowed recently with some
profit taking evident recently. BBB short-end bonds are relatively more attractive
for spread investors compared to A rated long-end bonds from a risk and return
perspective. We upgrade Aviation to Overweight from Neutral.
Credit Derivatives
CDX.IG and iTraxx indices rolled this week. The CDX.IG Series 32 index roll
closed at 7.4bp on Wednesday, which was slightly rich to the roll fair value of
7.8bp. This was about in line with our expectations. CDX.IG options rolled lower
in implied volatility but marginally higher in daily spread breakeven. CDX.HY
Series 32 rolls on March 27. For the new HY series, there are seven name changes.
We expect the roll to trade about 11bp/6c cheap to the CDX.HY S31 version 3
index. CDX.IG is relatively more skewed toward lower rated names than the broad
HG cash market. HG CDS-Bond basis has narrowed recently, driven by the
outperformance of BBB rated bonds.
Trade Tracker
Since our last publication, our Trade Tracker is down $188. Over the last 12
months, performance is up by $947,940 (+4.7% ROI / +24.7% IRR).
Chart of the week: HG bond spreads are trading much tighter than a regression with 10yr UST
yields implies, but this regression has not been strong recently
Source: J.P. Morgan
y = -0.40x + 272.26
R² = 0.39
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6m Regression
UST Yield bp
JULI Spread bp
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