20150528-穆迪服务-Corporate_Yields_May_Set_New_Lows_in_the_Next_Upturn_28页_592kb

Moody's Weekly Market Outlook Summary

Core Content

This report from Moody's Capital Markets Research provides a detailed analysis of corporate yields and credit market trends in the context of economic recovery and potential future recessions. It outlines the historical patterns of bond yields and spreads, the impact of fiscal and monetary policy on Treasury yields, and the outlook for upcoming economic data releases in the US, Europe, and Asia-Pacific.

Main Points

Corporate Yields and Recovery Cycles

• Corporate bond yields may reach new lows during the next economic upturn.
• Historical data shows that the 10-year Treasury yield did not bottom until 29 months after the end of the last three recessions.
• The long-term Baa industrial company bond yield and the composite speculative-grade bond yield are expected to set new multi-decade lows in the next recovery.

Credit Market Metrics

• Credit Spreads:
  • Investment Grade: Year-end 2015 spread is expected to be under 144 bp.
  • High Yield: Recent spread of 450 bp could dip to 445 bp by September 2015.
• Defaults:
  • US HY default rate was 1.7% in April 2015, with an average of 2.9% in Q1 2016.
  • High-yield EDF (Expected Default Frequency) has risen to 3.39%, indicating increased default risk.
• Issuance:
  • US$ IG bond offerings are projected to grow by 12% to $1.260 trillion in 2015.
  • US$ HY bond issuance is expected to dip by -3% to $407 billion in 2015.
  • In 2014, US$ IG bond issuance increased by 0.9% to $1.129 trillion, while HY issuance dropped by -2.3% to $421 billion.

Economic Outlook

• The 10-year Treasury yield may have peaked at 2.89% in December 2013, suggesting the current recovery may be weak.
• A return to higher Treasury yields could trigger significant market disruptions, including a potential -10% equity market sell-off and a 100 bp increase in high-yield spreads.
• A low federal funds rate and high federal debt-to-GDP ratio are expected to be key factors in pulling the economy out of the next recession.

Fiscal and Monetary Constraints

• The US' high debt-to-GDP ratio (73%) may limit the scope for fiscal stimulus.
• The limited scope for future Fed funds rate cuts implies the 10-year Treasury yield may approach 1% following the next recession.

Key Information

US Economic Data Outlook

• GDP – First Quarter (Second Estimate): Forecasted to be -0.9%.
• University of Michigan Consumer Confidence – May Final: Expected to rise to 90.1.
• Personal Spending & Income – April: Forecasted to show 0.3% income and 0.1% spending growth.
• Construction Spending – April: Forecasted to grow 0.7%.
• ISM Manufacturing Index – May: Forecasted to be 51.9.
• Factory Orders – April: Forecasted to decline by -0.2%.
• Vehicle Sales – May: Forecasted at 16.9 million units.
• Trade Balance – April: Expected to show a deficit of -€44.3 billion.
• ISM Non-Manufacturing Index – May: Forecasted at 56.9.
• Productivity & Unit Labor Costs – First Quarter Final: Productivity is expected to fall -2.9%, while unit labor costs rose 6.0%.
• Employment Report – May: Forecasted to show 215,000 nonfarm payrolls and a 5.4% unemployment rate.

European Economic Data Outlook

• Greece: Faces a critical repayment deadline of €1.6 billion to the IMF on June 5, with continued uncertainty affecting the euro and government bond yields.
• France: Household consumption is expected to rise 0.5% m/m and 2.6% y/y in April, while producer prices are forecasted to fall -1.7% y/y.
• Spain: Government balance is expected to turn into deficit in April, but with a narrowing gap compared to the previous year. Real GDP growth is forecasted at 0.9% q/q.
• Italy: GDP growth is expected to be 0.3% in 2015Q1, with producer prices falling -2.2% y/y.
• Germany: Retail sales are forecasted to fall -0.2% m/m in April, while vehicle registrations are expected to increase 6% y/y. Unemployment rate is expected to remain at 6.4%.
• Euro Zone: Inflation is expected to rise to 0.2% y/y in May, while producer prices are forecasted to fall -2.1% y/y in April.

Asia-Pacific Outlook

• Specific Asia-Pacific data is not detailed in this summary, but the report notes that the region is part of the broader economic analysis.

Summary of Key Charts and Figures

• Figure 1: Highlights the high ratio of federal debt to GDP, which may constrain fiscal stimulus and put more pressure on Treasury yields.
• Figure 2: Suggests that the 10-year Treasury yield may approach 1% following the next recession due to limited scope for future Fed funds rate cuts.
• Figure 3: Indicates that the long-term Baa industrial company bond yield may break under April 2015's 4.45% low after the next recession.
• Figure 4: Suggests that the composite speculative-grade bond yield may set a new low following the next recession.

Conclusion

The report suggests that corporate yields are likely to set new lows in the next economic upturn, following a prolonged period of low Treasury yields. The historical pattern indicates that the 10-year Treasury yield may bottom after a significant delay, with the next cycle likely to see yields lower than the previous ones. The combination of fiscal constraints and limited monetary stimulus implies that the recovery may be supported by low interest rates rather than aggressive policy interventions. The report also emphasizes the importance of monitoring credit market indicators and the potential impact of economic data releases on market trends.