美国_信用_阿尔法_过山车

Roller coaster Amid intense macro volatility, we provide updated thoughtson a variety of subjects in credit. We highlight views acrossinvestment grade, high yield, loans, CLOs, derivatives,hybrids, WBS. and CMBS. BradleyRogoff,CFA+1 212 412 7921bradley.rogoff@barclays.comBCI, US Dominique Toublan+1 212 412 3841dominique.toublan@barclays.comBCI, US US Credit Alpha Overview. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 This week'stariffannouncement brought some relief to a frenzied market. However, risksremain, with political and macro uncertainty still prevalent. Amid the ongoing volatility, weprefer long-end, higher-quality paper and see attractive all-in-yields in long-end single-As andBBs. US Focus Market structure: The Friday rush. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 In 1Q25, Friday trading for index-eligible IG and HY corporate bonds in the US hit the highestlevel since 2013, making up 18% of weekly volumes. This is likely due to rising volatility,prompting institutional investors to adjust positions on Fridays to hedge against potentialweekend swings. US Investment Grade Once bitten, twice shy. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 Tariff-relatedvolatility has sent markets spiraling in both directions over the past week, andspread volatility has reached its highest level since the regional banking crisis. Single-As haveoutperformed but still look attractive, particularly in the long end. We like Big 6 sub debt here. US High Yield High yield moved over 100bp wider in the week following "Liberation Day" and had relativelymuted participation in the"tariffpause" rally. We review which segments of the markets movedthe most and where valuations stand. Thisdocument is intended for institutional investors and is not subject to all of theindependence and disclosure standards applicable to debt research reports prepared for retailinvestors under U.S. FINRA Rule 2242. Barclays trades the securities covered in this report for itsown account and on a discretionary basis on behalf of certain clients. Such trading interestsmay be contrary to the recommendationsofferedin this report. Please see analyst certifications and important disclosures beginning on page 50 .Completed: 10-Apr-25, 22:16 GMTReleased: 11-Apr-25, 10:30 GMTRestricted - External US Leveraged Loans Siftingthrough the bathwater. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 Loans prices have fallen sharply amid therisk-offtone. Lower quality has underperformed. Weprovide a list of loans within the LL100 that have fallen more than 2pts this month that ouranalysts think provide attractive value. Global CLOs ETFs follow, not lead. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 CLO ETFs recorded $1.6bn of outflows in just the first three days of this week as redemptionsintensified. Overall USD ETF AUM is still only about 3% of US BSL CLOs outstanding. Whilepersistent outflows may become a driver for spreads, we think the segment is still too small tocause concern. US Credit Derivatives and Macro Lessons learned from previous CDX.IGsell-offs. . . . . . . . . . . . . . . . . . . . . 30 We take a look back at the largestsell-offsin CDX.IG over the past ten years to put the recentwidening in context and understand how the CDS-cash basis, the skew, and relative valueversus LQD and CDX.HY could evolve. US Hybrid Capital Beware of floating resets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 With the recent reduction in growth forecasts and consensus expectations for more Fed ratecuts, forward 3m SOFR curves have declined. We think it makes sense to either sell structureswith floating-rate resets outright or swap into fixed-to-fixed structures in the same issuer. US ABS Wholebiz whiz: 1Q25. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41 We continue to see limited value in the sector, especially given weakening fundamentals,though we like wider-trading QSR names. Restauranttraffichas deteriorated recently and couldslow further due to a weak economy and consumers pulling forward goods purchases. US CMBS Recession scenarios and musings. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 We provide five charts from CoStar, highlighting CRE performance during past downturns. Wealso share our thoughts on expected performance by property type. US Credit Alpha Overview This week'stariffannouncement brought some relief to afrenzied market. However, risks remain, with political andmacro uncertainty still prevalent. Amid the ongoing volatility,we prefer long-end, higher-quality paper and see attractiveall-in-yields in long-end single-As and BBs. BradleyRogoff,CFA+1 212 412 7921bradley.rogoff@barclays.comBCI, US Dominique T