2021-09-30-未知机构-信贷市场展望与策略_32页_1mb

报告摘要

North America Credit Research Summary (October 2021)

High Grade Strategy

Spread Tightening: U.S. high-grade (HG) bond spreads tightened 6bps in September, closing at 106bps, near the year-end target.
Supportive Factors: Higher U.S. Treasury (UST) yields attracted yield buyers, while HG companies reduced precautionary debt, improving credit metrics. Financial sector weight in the market provides stability.
Concerns: Valuations are tight (spread carry low), and risk/return outlook is unattractive despite positive momentum. Uncertainty remains around fiscal stimulus and global growth.

Credit Market Outlook

Valuation: Spreads at 106bps are near historical lows, with forward returns historically negative. Tight valuations suggest caution.
Drivers of Spread Widening: Potential policy normalization, supply chain issues, and consumer demand uncertainties pose risks.
Duration Risk: Historically, higher rates increase HG demand but hurt equities. Market remains range-bound, with cautious positioning in total return funds despite ETF inflows.

Trade Ideas

LQD Puts vs. HYG Puts: Sell LQD ETF puts funded by HYG ETF puts to hedge against duration risk. This strategy benefits from compressed valuations but requires rate stability.
Intrum Credit-Equity Trade: Exploit spread opportunity between credit and equity for Intrum, benefiting from convexity amid market volatility.

Credit Derivatives

CDX.HY Roll: New index (S37) trades wider than the old (S35), with modest increases in correlation.
Gamma Convexity: Optimize senior mezzanine tranches (e.g., CDX IG 6-12% contract) to capture large drawdowns at low cost.
Bearish Seagull: Buy out-of-the-money CDX.IG puts funded by a Bull receiver and Call to hedge against moderate selloffs.

Key Data

Spreads: JULI spread at 106bps (close to 105bps YE target).
Duration Strategy: ETF flows support HG bond strength, but duration risk is debated post-rate hikes.
Sector Views: Neutral stance on Energy, Healthcare, and Tech; overweight on Financials and Banks.

Market Themes & Flows

Institutional Flows: $4bn IG inflows, with ETFs driving most gains.
Supply Challenges: Net bond issuance lower due to debt repayment and operational improvements.

Conclusion

The market is valued near tight levels, with modest upside potential in a sideways environment. Focus on yield-oriented investments and credit hedge strategies amid uncertainty.

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