J.P. 摩根-美股-信贷策略-信贷市场展望与策略：美国高级策略与CDS研究-2019.5.2-34页.pdf

North America Credit Research02 May 2019 Credit Market Outlook&StrategyUS High Grade Strategy&CDS ResearchUS High Grade Strategy&Credit Derivatives ResearchEric Beinstein AC(1-212)834-Paul Glezer(1-212)270-Pavan D Talreja(1-212)834-Sheila Xie(1-212)834-J.P.Morgan Securities LLCSee 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 aware that the firm may have a conflict of interest that could affect the objectivity of this report.Investors should consider this report as only a single factor in making their investment High Grade StrategyHigh Grade bond spreads rallied 12bp in the first half of April to 139bp and remained there for the past two weeks.Last month was positive news on US growth as GDP came in at 3.2%compared with much weaker estimates earlier in the quarter.Corporate earnings also have come in better than expected(though not strong)with EPS growth of 0.5%y/y on the quarter so far,compared with-2.0%expected at the start of earnings season in early April.Supply was in line with expectations at$92bn last month and is down 6%y/y.This has brought net supply down by 18%y/y.The slowdown in supply has been driven by Financials,and they have outperformed Financials partly on the back of this.The cost of FX hedges for Euro and Yen-based investors has risen recently,but not for Taiwan based investors.Based on TRACE data overseas demand for USD credit is running near the 2018 level,following a strong Jan-Feb.The 20s30s spread curve suggests that 20yr bonds remain cheap despite the message given by analyzing 20s30s benchmark curves.Credit DerivativesCDX HY has outperformed most credit and equity indices since its roll last month.CDX.HY index is trading rich versus HY bonds,iTraxx Crossover and the Russell 2000.However,CDX.IG and CDX.HY are trading in line.Trading activity has picked up significantly in the CDX.IG 3y and 10y indices.CDX.IG 10y index is one of the three most traded linear instruments in HG credit after CDX.IG 5y index and LQD.The CDX.IG S31 senior mezzanine tranche has underperformed while the junior mezzanine tranche has outperformed in the recent rally.This provides attractive relative value opportunities to position for a mild index selloff.Additionally,the CDX.IG senior mezzanine tranche appears as a more attractive long than the CDX.IG index.We discuss an option trade to position for CDX indices trading range bound over the coming weeks without taking risk in a large selloff.Trade TrackerSince our last publication,our Trade Tracker is up$7,715.Over the last twelve months,performance is up by$720,174(+4.3%ROI/+19.8%IRR).Chart of the week:HG bond spreads rallied 12bp earlier last month and remained flat since thenSource:J.P.Morgan100120140160180200Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-19Mar-19JULI Spreadbp2North America Credit Research02 May 2019Eric Beinstein(1-212)834- Table of ContentsSummary and Outlook.3The High Grade Week Ahead.12Credit Derivatives.17Trade Tracker.24High Grade Analytics.25Sector recommendations.25JULI sector statistics and performance.28Credit Derivatives Analytics.29HG CDS-bond basis across buckets.29Previous Featured Articles.30US Economic Calendar.313North America Credit Research02 May 2019Eric Beinstein(1-212)834- Summary and OutlookHigh Grade bond spreads rallied 12bp in the first half of April to 139bp and remained there for the past two weeks.Over the month HG bond yields were down by 3bp to end the month at 4.01%.In April there was positive news on US growth as GDP came in at 3.2%compared with much weaker estimates earlier in the quarter.Corporate earnings also have come in strong with EPS growth of 0.5%on the quarter so far,compared with-2.0%expected at the start of earnings season in early April.Supply was in line with expectations at$92bn last month and is down 6%y/y.This has brought net supply down by 18%y/y.The slowdown in supply has been driven by Financials,and they have outperformed Financials partly on the back of this.Exhibit 1:HG bond spreads rallied 12bp earlier last month and have been flat since thenSource:J.P.MorganEarnings 2/3 of the way through the reporting season are not strong but are beating low expectationsEPS results in 1Q have strongly surpassed expectations and revenue results have beaten too,but to a much less extent.With 364 of 499 S&P500 companies having reported,76%have surpassed expectations for EPS growth and 56%have done so for revenue.The actual EPS outcome is running at a rate of 0.5%increase in 1Q19 vs 1Q18 and revenue growth is coming in at 5.0%over last year.Over these 4 quarters US nominal GDP growth increased by 5.1%.There has been a headwind with oil prices averaging$63.66/bbl in 1Q19 vs$67.20/bbl in 1Q18,a 5%decline.Overall,US companies have grown EPS significantly slower than nominal GDP growth,but just not as much behind as analyst had estimated going into the quarter.For Revenue the y/y growth stands at 5.0%,which matches nominal GDP.Exhibit 2:US Nominal GDP growth in 2019 is expected to slow Source:J.P.Morgan100120140160180200Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-19Mar-19JULI Spreadbp4.65.45.55.25.14.44.24.20.01.02.03.04.05.06.01Q182Q183Q184Q181Q192Q193Q194Q19Nominal GDP(%change over year ago)%4North America Credit Research02 May 2019Eric Beinstein(1-212)834- 1Q19 was another solid quarter for the US bank sector,as the majority of companies reported results that came in ahead of estimates.On the positive side,revenue was higher both QoQ and YoY,net interest income was higher YoY,and capital and credit quality both showed little signs of deterioration.However,the 1%YoY increase in net revenues was below the 4 6%YoY growth reported during the four quarters of 2018,net interest income and margins declined QoQ,and trading revenues remain pressured.Higher net interest income has driven top-line growth for U.S.banks during the current rate-hiking cycle,but may no longer be a tailwind for the sector if rates remain low and the curve remains flat.That said,concerns about the macro environment were alleviated as management teams repeatedly reiterated that they are not seeing signs of economic slowdown.See Kabir Caprihans Quarterly Checkbook report for more details(link).Exhibit 3:Revenue growth for S&P500 companies is expected to be modest in 2019Exhibit 4:EPS growth for S&P500 companies is expected to stay low for most of 2019Source:J.P.Morgan,I/BES data from Thomson Reuters RefinitivMay has been the most active supply month of the year.We estimate about$70bn M&A funding in the remainder of 2QThe market is focused on May supply,and this is logical as May is historically the most active supply month of the year.Over the past four years May supply has averaged$147bn,and spreads have widened by 5bp on the month.This compares to average monthly supply across all months of$99bn and spread being unchanged on average over the same four year time period.Exhibit 5:The 4yr monthly average issuance peaks in May at$147bnExhibit 6:HG bond spreads have widened by 5bp in May on averageSource:J.P.Morgan,Dealogic7.3%5.0%5.5%8.3%8.4%9.5%8.6%5.1%5.0%4.1%4.5%5.9%0.0%2.0%4.0%6.0%8.0%10.0%1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19S&P 500 Sales Y/Y GrowthEstimates15.3%12.3%8.5%14.8%26.6%24.9%28.4%16.9%0.5%1.6%1.9%8.4%0.0%5.0%10.0%15.0%20.0%25.0%30.0%1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19S&P 500 Earnings Y/Y GrowthEstimates123951208914790958411898943010610011492020406080100120140JanFebMarAprMayJunJulAugSepOctNovDec4yr Avg Gross Issuance(2015-2018)2019 Gross Issuance$bn90-7-653-66-2-551-21-5-2-12-25-20-15-10-5051015JanFebMarAprMayJunJulAugSepOctNovDec4yr Avg JULI Spread M/M 2019 JULI Spread M/M bp5North America Credit Research02 May 2019Eric Beinstein(1-212)834- There has been$412bn of HG corporate bonds issued YTD.This is down 6%y/y from$436bn in YTD 2018.M&A-related issuance is$45bn YTD,which is 11%of gross supply.Last year at this time$74bn of M&A funding had already been issued,including$40bn from the CVS-Aetna deal,so the y/y decline in overall issuance can be attributed to less M&A funding in 2019.We estimate a current backlog of$116bn of M&A funding for deals already announced but which have not yet issued their bonds.Of this,we estimate that$68bn will come in the remainder of 2Q.If this proves correct that would leave$48bn to come in 2H19 from deals we currently know of.If several of the large deals expected to fund in 2Q come in May then it would not be difficult to see supply this month approach the 4yr May average supply of$147bn.Our full year M&A supply forecast is$200bn.The sum of what has already been issued plus the estimate from announced deals is$161bn.This leaves just$39bn to reach our forecast,and there are seven months to go,so this seems achievable.However,there are often two or three quarters between deal announcement and funding,so we are not uncomfortable with$200bn full year estimate at this point.Exhibit 7:YTD M&A-related supply is$45bn.We estimate$116bn of funding for announced but pending deals to come in the remainder of 2019Source:J.P.MorganFor Financials the pace of issuance in 2019 has been well below recent run-rate levels.YTD USD supply is at$149bn,35%of our FY forecast.Supply consists of$63.6bn of debt from US banks(39%of our 2019 forecast),$49.5bn from Yankee banks(26%of forecast)and$12.4bn from finance companies(39%of forecast).For comparative purposes,YTD USD issuance for Financials was at$193bn on May 1,2018 and$200bn in 2017.The current year measured pace of issuance points to funding needs that are more manageable going forward.Overall we remain comfortable with our full year 2019 issuance forecast of$1.05tr.This is down 7%from$1.13tr in 2018.YTD we are down 6%so on track to this outcome.Lower yields and lower spreads do argue for some upside risk to the supply forecast,but Financial supply is running about 25%below last year at this time,so this may provide some offset.275221143223451163805010015020025030035020152016201720182019Remaining M&A to ForecastAnnounced but Pending M&A related issuanceActual M&A related issuance19%$bn23%11%20%19%6North America Credit Research02 May 2019Eric Beinstein(1-212)834- Exhibit 8:YTD,$412bn of HG bonds have been issued.We expect$633bn to come in the remainder of 2019 to reach our FY19 estimate Exhibit 9:We expect less net supply for 2019.$110bn of net new supply has already been issued.We expect$243bn to come Source:J.P.Morgan,DealogicThree Fs:Fed,FX hedging and Foreign demandThe focus this week was on the Fed and how much their statement would focus on the solid trend in growth or the undershooting of inflation.The market was disappointed in the tone of the note and press conference,which didnt suggest that the Fed was considering a rate cut.FX hedging costs rose for Euro and Yen based investors on the back of the Fed decision.The cost of a 3m FX hedge for Euro investors rose by 15bp QTD to 3.17%.This is the highest since mid-December.For Yen based investors the cost rose by 10bp QTD to 2.91%.This figure has been more range bound this year but is near the more expensive end of the range,excluding a couple of short term spikes.As a result of these moves USD credit has become more expensive compared to both Euro and Yen credit.In the short end for European investors(1-3yr tenor)USD credit is 32bp more expensive than Euro credit,up from 16bp more expensive a month ago,after incorporating the cost of the FX hedge.In the 7-10yr tenor USD credit is 59bp rich to EUR,up from 47bp rich 1 month ago.Similarly for Yen based investors USD credit is 27bp more expensive then Yen credit after the hedge,up from 11bp more expensive 1 month ago.This is comparing 5yr credit in USD vs Yen,including the FX hedging costs.Exhibit 10:3m JPY FX hedging cost have increased YTDExhibit 11:USD credit vs Yen credit has become more expensive,including the cost of the FX hedgeSource:J.P.Morgan412633 692 740 914 946 1,023 1,171 1,181 1,254 1,127 1,045 -200 400 600 800 1,000 1,200 1,400201020112012201320142015201620172018 2019FGross IssuanceRemainder of Forecast$bn110243 302 357 529 512 529 628 654 614 462 353 -100 200 300 400 500 600 700201020112012201320142015201620172018 2019FNet IssuanceRemainder of Forecast$bn-350-340-330-320-310-300-290-280-270Nov-18Dec-18Jan-19Feb-19Mar-19Apr-19May-193m JPY FX hedge,annualized,bp-50-30-10103050Nov-18Dec-18Jan-19Feb-19Mar-19Apr-19May-19US HG-Yen HG Corp Yld Pickup(Rolling 3m Rates Hedge),bp7North America Credit Research02 May 2019Eric Beinstein(1-212)834- Exhibit 12:3m EUR FX hedging cost have spiked recentlyExhibit 13:USD credit has become more expensive vs Euro credit,after the FX hedgeSource:J.P.MorganIn 1Q,the 3m FX hedge annualized costs for Taiwanese investors fell by 78bp to 2.24%,which was the lowest since March 2018.In 2Q so far,the 3m FX hedge costs have risen by 19bp to 2.43%,still near the lower end of its YTD range(2.24%to 3.09%).Exhibit 14:3m TWD FX hedging cost have become less expensive YTDSource:J.P.MorganBased on TRACE data overseas demand for USD credit is running near the 2018 rate now after a strong Jan-FebOvernight selling has picked up in April after a slowdown in March due to decreased realized yields for overseas investors buying US HG after the cost of hedging,regulatory changes abroad,and fiscal calendar related timing.Dealers net sold$99mn/night during overnight hours in 2Q so far compared to$49mn/day in March and$189mn/day early this year.In January and February strong overseas demand was evident,but in March and April the average has slowed to a similar pace as most of 2018.-370-350-330-310-290Nov-18Dec-18Jan-19Feb-19Mar-19Apr-19May-193m EUR FX hedge,annualized,bp-60-50-40-30-20-10010Nov-18Dec-18Jan-19Feb-19Mar-19Apr-19May-19USD-EUR Yield Pickup(3m FX hedge)USD cheapEUR cheap-241-350-300-250-200-150-100-500Jan-14Jan-15Jan-16Jan-17Jan-18Jan-19TWD/USD 3m FX Hedge Cost,Annualized,bpMid-Year 2019 Forecast8North America Credit Research02 May 2019Eric Beinstein(1-212)834- Exhibit 15:After a strong start to the year the data from TRACE on overnight net dealer selling has moderated to be similar to last years pace over the past two monthsSource:J.P.MorganYTD USD issuance by European issuers is$70bn,up 14%y/y from Jan-Apr 2018.It appears on track to be near last years full year outcome of$216bn.This represents 17%of overall HG bond issuance.European Financials issued$28bn and Non-Financials issued$42bn of USD bonds.In contrast US company issuance in Euros is relatively flat y/y over the same period.However,it is very strong compared to full year 2018.The overall Euro supply from US issuers is$42bn YTD,which isonly slightly below the$51bn issued in all of 2018.Of the$30bn that has been issued to-date by US companies in Euros,$28bn has come from Non-Financial companies and$14bn from Financial issuers.Exhibit 16:YTD European issuance in USD increased 14%y/y to$70bn,mostly led by Non-Fin