Barclays_US_Credit_Alpha_Receding_pressure
VIP专享
This document is intended for institutional investors and is not subject to all of the
independence and disclosure standards applicable to debt research reports prepared for retail
investors under U.S. FINRA Rule 2242. Barclays trades the securities covered in this report for its
own account and on a discretionary basis on behalf of certain clients. Such trading interests
may be contrary to the recommendations oered in this report.
Please see analyst certifications and important disclosures beginning on page 18.
US Credit Alpha
Receding pressure
This week, we take a closer look at corporate bond demand
from Taiwanese life insurers in investment gradeandpresent a
basket of high yield bonds with attractive convexity
characteristics.
The US Credit Alpha will return on Friday, September 6, aer Labor Day weekend. We hope you
have a great rest of the summer.
US Credit Alpha
Overview. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Soer inflation and better retail sales signaled that concerns about the consumer might be
overblown, while also paving the path for the FOMC to begin cutting in September. Risk assets
continued to rebound this week as macro pressures eased.
Investment Grade
Taiwan buying remainssteady. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Taiwanese buying has been steady for most of this year, even though higher FX hedge costs are
aecting net yields. Buying has been focused on single-As and credits with steep curves. More
recently, those with more support from Taiwan have experienced less curve steepening.
High Yield
Convexity perplexity. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
High yield index duration has fallen to all-time lows asissuers keepbonds outstanding for
longer, and convexity is negative even though most of the index is trading at a discount to par.
We think high-quality bonds with positive convexity are attractive with rate cuts on the horizon
and recommend a basket of 16 bonds.
FICC Research
Credit Strategy
16 August 2024
FOCUS
Bradley Rogo, CFA
+1 212 412 7921
bradley.rogo@barclays.com
BCI, US
Dominique Toublan
+1 212 412 3841
dominique.toublan@barclays.com
BCI, US
Completed: 15-Aug-24, 21:26 GMT Released: 16-Aug-24, 10:30 GMT Restricted - External
US Credit Alpha
Overview
Soer inflation and better retail sales signaled that concerns
about the consumer might be overblown, while also paving the
path for the FOMC to begin cutting in September. Risk assets
continued to rebound this week as macro pressures eased.
Receding pressure
Risk assets broadly rallied amid positive data that once again eased fears of a consumer
pullback. US equities advanced 3.7% from last Friday's close. Credit markets were also
constructive,with CDX IG 5bp tighter and CDX HY 25bp tighter. Yields have retraced two-thirds of
the early August rate rally. UST 10y was close to unchanged on the week,but was as much as
12bp lower midday Wednesday,before turning sharply higher aer the retail sales release on
Thursday.
Blowout retail sales are easing concerns about the consumer. The strength in the US
consumer has been in question at dierent points throughout the hiking cycle in the past few
years, and data continue to surprise to the upside, this week being the most recent iteration (see
July retail sales). Headline retail sales jumped 1.0% m/m in July (consensus 0.4% m/m), with a
rebound in the motor vehicle component complementing another solid increase in the control
group (Figure 2).
Companies are signaling a more price-conscious consumer, despite strength in credit card
data. Using natural language processing (NLP) on S&P 1500 earnings calls, we find that
management teams are talking more frequently about a cautious consumer. But there has yet to
be any sharp pullbacks in credit card data, with positive growth in some discretionary
categories (see Narrative is changing, but is the data?). There is evidence of a slow move toward
lower price points, which was also present in WMT's earnings this week, which showed strength
from higher-income consumers.
Inflation is heading in the right direction,giving the Fed leeway to start the cutting cycle
next month.The July CPI report was weaker than expected when looking at just the headline
and core readings.Core CPI rose 0.17% m/m (3.2% y/y), which should be so enough to bolster
the FOMC's confidence that the disinflation process is on track(see Disinflation intact).Barclays
economists expect one 25bp cut in September, followed by two more over the rest of 2024.
Better jobless claims also helped ease concerns of broader economic deterioration. Initial
jobless claims were 227k, versus the consensus of 235k. While the beat was marginal , there has
been significant focus on labor market deterioration since the non-farm payrolls report two
weeks ago that sparked the market sell-o.
All eyes shi to the next NFP report in September. As the market shis focus from inflation
concerns to worries about growth, more attention has been given to labor reports and
incremental consumer checkups. The weakness in the JulyNFP was the straw that broke the
FICC Research
Credit Strategy
16 August 2024
CORE
Bradley Rogo, CFA
+1 212 412 7921
bradley.rogo@barclays.com
BCI, US
Dominique Toublan
+1 212 412 3841
dominique.toublan@barclays.com
BCI, US
16 August 2024 2
FIGURE 1. Weekly index changes FIGURE 2. Strong retail sales helped ease concerns about the US
consumer
Wednesday
Close
Last Week
Close
4-Week
Average
Corporate Index (bp) 100 102 98
CDX.IG 42 (bp) 55 58 54
HY Index ($ Price) 94.58 94.25 94.17
CDX.HY 42 ($ Price) 105.80 105.30 106.00
-1.2
-0.8
-0.4
0.0
0.4
0.8
1.2
Jul-23 Oct-23 Jan-24 Apr-24 Jul-24
% m/m Retail sales
Headline Control
Source: Bloomberg, Barclays Research Source: Bloomberg, Barclays Research
market's back earlier this month. We think heightened scrutiny will be paid to August payrolls
(September 6 release) to see if last month was a blip or a trend.
The negative spread/yield correlation is the biggest headwind for spreads to continue
recovering from the recent sell-o. While Thursday's data caused yields to rise and calmed
fears of broader economic weakness, any further negative surprises would likely cause yields to
drop further, which has been the largest headwind for credit demand in recent weeks,as the Q2
earnings season has been quite sound (see Earnings Scorecard). Lower yields have also brought
a spate of new issues, with another $30bn of investment grade bond supply, pushing August's
total above $80bn.
16 August 2024 3
Barclays | US Credit Alpha: Receding pressure
摘要：
展开>>
收起<<
ThisdocumentisintendedforinstitutionalinvestorsandisnotsubjecttoalloftheindependenceanddisclosurestandardsapplicabletodebtresearchreportspreparedforretailinvestorsunderU.S.FINRARule2242.Barclaystradesthesecuritiescoveredinthisreportforitsownaccountandonadiscretionarybasisonbehalfofcertainclients.Suc...
相关推荐
-
电子书-原则：应对变化中的世界秩序-506页免费
2024-03-10 193 -
电子书--长期的力量：如何构建可持续的价值投资盈利体系 (梁宇峰）免费
2024-04-10 201 -
电子书：底层逻辑 刘润免费
2024-05-07 112 -
电子书-《知识炼金术（个人版）》免费
2024-05-15 152 -
电子书-《美国家庭财富百年史（1900~2013）》免费
2024-05-15 587 -
电子书-《波士顿咨询工作法：精准发现问题》免费
2024-05-15 144 -
电子书-《财富引路人：成功基金经理的经济学解释及投资备忘录》-289页免费
2024-05-16 205 -
电子书-《自品牌：社交媒体时代如何打造个人品牌》-215页免费
2024-05-16 534 -
【恒生电子】2024金融科技趋势研究报告免费
2024-05-20 131 -
方正证券-电子行业专题报告--中国科技企业新估值体系的探讨-240613-总144页VIP专享
2024-06-13 241
作者：复利王子
分类：外资研报
价格：免费
属性：25 页
大小：1.5MB
格式：PDF
时间：2024-08-29
