美股信贷市场展望与策略美国高级研究

1、North America Credit Research09 May 2019Credit Market Outlook & StrategyUS High Grade Strategy & CDS ResearchHigh Grade StrategyThis week has been an unusual week due to weaker global markets and wider spreads, yet heavy HG bond supply and little total return volatility. We publishUS High Gr

2、ade Strategy & Credit Derivatives ResearchEric Beinstein AC(1-212) 834-4211eric.beinPaul Glezer(1-212) 270-8185paul.x.gPavan D Talreja(1-212) 834-2051pavan.taSheila Xie(1-212) 834-3036sheilJ.P. Morgan Securities LLCthis on Thursday without knowledge of how the China tradks and midnighttariff dea

3、dline will play out. Since the tariff surprise last weekend, bond spreadswidened about 5bp but yields have been stable. We believe the consensus that over time this will pass and the post May supply picture will be supportive of spreads again, but the path there is uncertain, and volatility markets

4、are reflecting this. Heavy M&A issuance this month is clearing the backlog, with few new dealsrecently. This week we published a note onand their heavy involvementwith US credit and volatility markets no near term concerns but ALMimbalances persist there, while their buying of USD credit appears

5、 to have slowed.Investors indicated they hade significantly more bearish in our survey thisweek. Note that it was taken in the midst of this weeks significant volatility.Credit DerivativesCredit derivatives have sold off in the broad market sell off this week. However, CDX indices have performed sli

6、ghtly better than the equity markets and major credit ETFs. The relationship between CDX.HY and CDX.IG has compressed inthe selloff, after equity volatility inpressing in the Jan-Apr rally. Credit volatility had lagged the selloff initially but has caught up since then. CDX.IGoptions are trading abo

7、ut in line with equity options while CDX.HY options are still relatively cheap. The cost of out-of-the-money puts has increased relative to the cost of other options. Furthermore, the cost of shorter dated options hasincreased at a faster rate than the cost of longer dated options. The gap between t

8、he premium/discount to NAV for HY TRS and HYG is currently around its narrowest level in 3 years. We discuss a trade idea to hedge against a further selloff.Trade TrackerSince our last publication, our Trade Tracker is up $11,465. Over the last twelve months, performance is up by $720,174 (+4.3% ROI

9、 / +19.8% IRR).Chart of the week: About half of the YTD M&A-related supply was issued in the past week350300250200150100500Remaining M&A to ForecastAnnounced but Pending M&A related issuance Actual M&A related issuance20%$bn23%19%19%3511%818420152016201720182019Source: J.P. MorganSee

10、 page 28 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 aware that thefirm may have aof interest that could affect the objectivity of this report. Investors should consider

11、 this report as only a single factor inmaking their investment 143223221275获取报告1、2、3、每周群内7+报告；当日华尔街日报、4、行研报告均为公开利归原作者所有，起点财经仅分发做内部学习。扫一扫 关注公号回复：加入“起点财经”群。North America Credit Research09 May 2019Eric Beinstein(1-212) 834-4211eric.beinTable of ContentsSummary and Outlook3The High Grade Wee

12、k Ahead9Credit Derivatives13Trade Tracker20High Grade Analytics21Sectormendations21JULI sector statistics and performance24Credit Derivatives Analytics25HS-bond basis across buckets25Previous Featured Articles26US Economic Calendar272North America Credit Research09 May 2019Eric Beinstein(1-212) 834-

13、4211eric.beinSummary and OutlookSo far it has been an unusual week with weaker global markets and wider spreads, but also heavy supply, relatively sanguine credit volatility markets and little total return volatility. We write this on Thursday without knowledge of how the Chinatradks and midnight ta

14、riff deadline will play out. It is hard to disagree with whatseems to be the consensus view that both sides have incentives to reach an agreementso thee will likely be supportive for markets in the end. The road to that e remains unclear, and a more significant market selloff if talks break downacri

15、moniously remains a risk.The timing of the sudden surprise on the trade negotiations was interesting from the perspective of HG credit. Credit spreads had stalled in mid-April after a strong run all year including 12bp of tightening in the first part of last month. The explanations for this stall, e

16、ven as equity markets continued to rally, include the decline in all in corporate bond yields, anticipation of heavy May HG bond supply, and valuation which appeared to offer little upside. These factors have already played out to some extent. HG bond yields are 9bp lower now than the average of the

17、 past 2 months and bond supply MTD is already $49bn with more M&A funding expected to push the figure near the historical average for May of $147bn. This average is based on the past four years, and over these four years HG bond spreads in May have widened by an average 5bp. Based on our recent

18、investor survey, more than half of our investors believe May issuance should come in slightly lighter than the four-year May average. MTD spreads are 4bp wider (as of EOD Wednesday), so one can argue that all the widening so far can be attributed to the supply calendar. While this is not right and c

19、learly the China news has been a negative, the extent of spread widening is very modest so far given the other catalyst for spread widening that have played out. As the exhibit below shows HG bond spreads are not at their 1m weakest level, while other major indicators are.Exhibit 1: Credit spreads a

20、nd yields are not at their 1m weakest levels, even as other markets are0%50%100%Note: CDX.IG and CDX.HY levels are as of Thursday 10am EST. 0% in the slider chart above depicts the weakest level in its respective 1m range, while 100% represents strongest level in the last month.Source: J.P. MorganSu

21、pply heavy as expected, with the pending M&A calendar falling quicklyHG bond supply MTD is $49bn and is on track to come near the recent May average of $147bn a month. This is being driven by M&A issuance with $39bn of M&A supply already issued this month, and a couple of other large tra

22、nsactions expected to fund soon. As of this morning, including only the deals that have already funded,3SectorCurrent 1m Ago Weakest Strongest1m RangeCurrent Level1m Ago LevelS&P 5002879289628782946JULI Spread143146146138JULI Yield4.01% 4.08%3.99%4.08%LQD vs Interp Tsy Spread (bp)156154156143CDX

23、.IG (bp)65606556CDX.HY ($)$106.4 $107.1$106.4$107.7CDX.IG 3m Implied Volatility45%40%45%39%CDX.HY 3m Implied Volatility34%31%34%29%VIX (pts)19.413.219.412.0North America Credit Research09 May 2019Eric Beinstein(1-212) 834-4211eric.beinM&A supply YTD stands at $84bn. Our list of announced but not

24、 yet funded M&A is now $81bn. Combining the issued and pending now comes to $165bn.At the start of the year we had $74bn on our pending M&A list. At the end of January, this figure stood at $113bn (including $5bn issued in Jan). Currently, it is at$81bn. The pace of new M&A announcements

25、 has slowed considerably. The previously announced deals are funding and new ones are not being added to the list at the same pace. Our full year M&A supply forecast is $200bn and it appears that it will be very front loaded in 2019.Exhibit 2: YTD M&A-related issuance is $84bn, and about

26、89; of which came from the deals that came to market recently350300250200150100500Remaining M&A to ForecastAnnounced but Pending M&A related issuance Actual M&A related issuance20%$bn23%19%19%3511%818420152016201720182019Source: J.P. Morgan, DealogicMay 2019 Investor SurveyWe conducted o

27、ur May investor survey this past week. Investor sentiment turned significantly more bearish compared to last month, as 51% of investors expressed a negative near-term spread outlook. This is the most bearish investors have been since November 2012. Consistent with this only 10% expressed a positive

28、view. This is a record low since June 2008. The survey was taken between Tuesday and Thursday in a period of high market volatility and a widening trend, which may have contributed to the very negative sentiment on spreads 1 month forward.The portion of investors with high cash holdings increased 6%

29、 to 13% this month, and those with low cash holdings declined 5% and moderate fell 1% m/m. The share of investors describing themselves as overweight fell sharply, down 27% to 25%.They moved to Neutral, with that category up 27% to 75%.We asked investors how much of a widening impact would they expe

30、ct if thetradks fail and result in higher tariffs with no obvious path to restartingnegotiations. All investors believe that spreads will widen, and majority said by atleast 10bp from the JULI spread of 143bp today. Specifically, 5% said 3-5bp wider, 15% voted 5-10bp wider, 45% said 10-15bp wider, 2

31、8% stated 15-20bp wider, and 8% chose 20bp or more of widening.We asked how much supply investors expect to come to market this month. 8% estimate less than $120bn, 55% said between $120bn-$140bn, 35% expect $140- 160bn, and 3% said more than $160bn.4143223221275North America Credit Research09 May 2

32、019Eric Beinstein(1-212) 834-4211eric.beinExhibit 3: The portion of investors with high cash holdings increased 6% over the month as those with low and moderate holdings declinedExhibit 4: Investors have not been this bearish since November 20126.01.5Cash indexOutlook index5.01.34.01.13.00.92.00.71.

33、00.52010-201020122014201620182012201420162018Source: J.P. Morgan, USD Credit and market risk: What has changed and what hasntWe published a note on Wednesday along with our colleagues in US Rates research that discussed the magnitude of, and risks posed by, the interconnectedness of U.S.andese marke

34、ts. See note here.has the second largest financialsystem, and largest insurance industry, relative to economic output among medium and large nations, and in contrast to other countries with a large current account surplus and stable exchange rates, the private sector has led the accumulation of fore

35、ign current assets rather than FX reserves. Life insurance companies have accounted for the bulk of this activity in recent years, most of which are funded by a mix of FX swaps, left unhedged, or managed with proxies which has generated a sizeable currency mismatch in their assets (70% USD) versus t

36、heir liabilities (20% USD).This has entangledese and U.S. markets to a much greater degree than therelative size of their economies or financial systems would suggest. Though we see no cause for immediate concern, because of its potential impact this makes a tailevent ina risk worth considering for

37、U.S. markets. The note quantifies anddescribes the impact on USD interest rate volatility, high-grade credit, and mortgagemarkets, as well as implications for the current monetary policy implementation framework in the U.S.Exhibit 5:stands out among other countries, particularly EM,Exhibit 6: The gr

38、owth in foreign assets inhas been dominatedfor the size of its banking and insurance assets as a % of GDPby the life insurance sector for most of the past ten years500%$1,000Change in life insurance overseas assets Change in FX reservesCumulative currency account surplusInsurance assets400%$800Bank

39、assets300%$600200%$400100%$2000%$001 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18Source: J.P. Morgan, BIS,FSC, BloombergFSC, Central Bank of China (), Haver Analytics,5FRA TWN CHF IRE DEN NED CHN SIN KOR BEL FIN JAP GER SWE AUS NOR SPA ITA AUT USA GRENorth America Credit Research09 May 2019Eri

40、c Beinstein(1-212) 834-4211eric.beinEarnings season recap updated table of revenue and EPS trends by sectorOur colleagues in Global Equity Strategy recently published its Q1 Earnings Season Tracker (link). 82% of 497 companies in the S&P500 have reported Q1 earnings: 76% beat EPS estimates, surp

41、rising positively by 6%. EPS growth is at +3% y/y.Overall positive earnings delivery is supported by Defensives, while Cyclicals' EPS growth is coming in negative this quarter. Topline delivery is healthy, with 57% of companies beating sales estimates. Overall growth is running at +5% y/y, and 7

42、 out of 11 sectors are printing positive growth.Exhibit 7: S&P 500 Historical/Current/Future Earnings Growth RatesSource: J.P. Morgan, BloombergExhibit 8: S&P 500 Historical/Current/Future Revenue Growth RatesSource: J.P. Morgan, BloombergUS Economic SummaryOur economists working assumption

43、on US-China trade policy has been a benign continuation of the status quo, with import duties left at existing levels indefinitely. Developments over the last 48 hours have heightened the risk that the next tranche oftariffs onimports, initially slated to go into effect earlier this year, will beimp

44、osed this Friday. This would raise the tariff rate on around $200 billion ofimports from 10% to 25%. If this were to go through, it could push upoverall PCE consumer price inflation for 2019 by 0.10.2%-point. It should also reduce 2019 GDP growth by around 0.2%-point. Our economists would expect the

45、 Fed to initially focus on the growth implication and look past the inflation impact,6Sector% Beating% MissingSalesSales Sales estimatesSales estimatesSurprisesy/y growthS&P50057%43%0%5%Energy Materials Industrials Discretionary Staples Healthcare FinancialsITCom. Services UtilitiesReal Estate46

46、%54%-2%-1%26%74%3%-3%45%55%0%3%63%37%0%3%59%41%0%1%70%30%1%17%54%46%0%3%68%32%0%-1%44%56%-1%13%54%46%-2%0%78%22%0%3%Ex-Financials & Real Estate Ex-Energy55%45%0%5%58%42%0%6%Sector% Beating% MissingEPSEPS EPS estimatesEPS estimatesSurprisesy/y growthS&P50076%24%6%3%Energy Materials Industrial

47、s Discretionary Staples Healthcare FinancialsITCom. Services UtilitiesReal Estate69%31%1%-25%70%30%16%-17%71%29%4%3%86%14%26%16%77%23%3%1%85%15%6%9%71%29%5%3%85%13%6%-4%81%19%11%16%58%42%2%5%74%26%2%6%Ex-Financials & Real Estate Ex-Energy77%23%7%2%76%24%6%4%North America Credit Research09 May 20

48、19Eric Beinstein(1-212) 834-4211eric.beinwhich should be a one-off price level development provided it doesnt get baked into inflation expectations. They are leaving their economic forecast unchanged for now, pending this weeks developments.One of the key uncertainties relating to trade policy is th

49、e degree of pass-through; in this case, how much of a higher tariff is borne by US consumers or importers in theform of higher prices versus how much is absorbed byproducers in the formof reduced margins. One of the consistent, and somewhat surprising, findings of last years trade war is that most o

50、r all of the higher tariff was passed through to US consumer and importers. Another finding of last years trade war is that US producers who compete with dutiable imported products tended to raise their outputprices. The 2018 trade measures did not have an easily identifiable impact on capital spend

51、ing through, e.g. uncertainty shocks, but that remains a downside growth risk relative to our economists baseline assumption.Read the full note here.EmploymentInitial claims declined 2,000 to 228,000 during the week ending May 4, disappointing expectations for a larger decline in todays report. The

52、level of claims now has been close to 230,000 in three straight weeks after coming out below 200,000 for back-to-back weeks early in April, and the claims data signal that conditions in the labor market have weakened somewhat lately (relative to very upbeat figures).Exhibit xx: Initial claims declin

53、ed 2,000 to 228,000 during the week ending May 4Exhibit xx: The ISM nonmanufacturing surveys headline composite fell from 56.1 in March to 55.5 in April70065wk averageISM surveyMarkit PMI60060500554005030045200401002009 2010 2011 2012 2013 2014 2015 2016 2017 2018 201907080910111213Source: Departmen

54、t of Labor, Markit, ISM, J.P. MorganThe labor market got off to a solid start in the second quarter; 263,000 jobs were created in April and the unemployment rate tumbled two tenths to a new cycle-low of 3.6%. The 0.2% gain in average hourly earnings was lukewarm, but a modest upward revision to the

55、March figure left the year-ago increase unchanged at 3.2%. The better news on labor supply has fully reversed itself recently, as the labor force participation rate fell another 0.2%-point last month to 62.8%. The main takeaway from the numbers is that growth is on solid footing and risks of a sharp

56、 slowdown appear limited. To be sure, our economists continue to expect GDP growth to step down to around 2.25% in Q2, though that is primarily a story about an inventory hangover.ISM non-ManufacturingThe ISM nonmanufacturing surveys headline composite fell from 56.1 in March to55.5 in April. The April reading disappointed expectations and was the lowest reported since August 2017. The ISM nonmanufa