尽管形势不明朗，可转换债券违约仍得到控制

Restricted - External U.S. Convertibles StrategyVenu Krishna, CFA+1 212 526 7328venu.krishna@barclays.comBCI, USJack Leung+1 212 526 8432jack.leung@barclays.comBCI, US Convert Defaults Should Be Held in Check. . . . . . . . . . . . . . . . . . . . . . . . . . 3Convert Default Exposure Contracts, Yet Watchpoints Remain. . . . . . . .5Convert Defaults Recede as Pandemic-Era Issuance Ebbs. . . . . . . . . . . . . 7Structural Flexibility Keeps Bond-only Converts Defaults PersistentlyBelow HY. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10U.S. overall convertible default trends since 2003. . . . . . . . . . . . . . . . . . . 112 FIGURE 1. Easing of trade tensions between Sino-U.S. has driven a broad rally in risk assets; however, downgrade of US sovereign ratingSource: Barclays Research, Bloomberg as of 05/21/2025FIGURE 2. On the back of trade war de-escalation Barclays’economists expect lower GDP Growth This Year…FIGURE 3. ... and one 25bp Rate Cut in ’25 and three in ’26Source: Barclays Research, BloombergConvert Defaults Should Be Held in CheckThe macro backdrop has shown signs of improvement, though uncertainties remain. The recenteasing in Sino-U.S. trade tensions has driven a broad rally in risk assets,liftingsentiment acrosscredit and equity markets. On the back of this deescalation, Barclays' economists have revisedtheir outlook and now expect the U.S. to avoid a recession. However, the Moody’s downgrade ofthe U.S. sovereign credit rating has reintroduced headline risk and raised questions aroundfiscal credibility, keeping investors cautious.Recent credit indicators suggest a continued environment of stability, though signs oftightening are reemerging at the margin. According to the Q1 2025 Senior LoanOfficerOpinionSurvey (SLOOS), banks moderately tightened underwriting standards for commercial andindustrial (C&I) loans, with 19% of lenders reporting net tightening, up sharply from 6% in Q42024. This marks the highest level of net tightening since Q3 2023, driven largely by a lessfavorable and more uncertain economic outlook. Loan demand weakened across mostcategories, with C&I loans showing the steepest sequential decline, pointing to a more cautiouscorporate borrowing environment. 3 sparked new concernsSource: Barclays Research, Bloomberg22 May 2025 FIGURE 4. Latest SLOOS points to a more cautious corporate borrowing environmentSource: Moody's, Bloomberg, Barclays ResearchThe risk backdrop within the U.S. convertibles market has also improved materially. Following anine-quarter stretch from Q2 2022 to Q2 2024 during which distressed exposure consistentlyexceeded 5% of the market, current default exposure has moderated to 3.5%. The prior periodof prolonged elevated distress (i.e. Q2 2008 to Q4 2009) lasted seven quarters and coincidedwith a sharp rise in defaults. While market-wide distress has receded, the combined face valueof credit-sensitive and distressed convertibles remains significant at $114 billion, orapproximately 41% of the total market, reflecting persistent bifurcation across issuer quality.Although this represents meaningful progress from prior stress levels, the high concentration ofstructurally weaker or lower-rated issuers reinforces the importance of active credit screeningas macro uncertainty continues.FIGURE 5. Combined exposure to credit sensitive & distressed segments remains significant0%10%20%30%40%50%60%Jun-18Sep-18Dec-18Mar-19Jun-19Sep-19Dec-19Mar-20Jun-20Sep-20Dec-20Distressed Converts % Face over overall ConvertsCredit/Rate Sensitive Converts % Face over overall ConvertsSource: Bloomberg, Barclays Research22 May 2025 Mar-21Jun-21Sep-21Dec-21Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23Mar-24Jun-24Sep-24Dec-24Mar-25May-254 FIGURE 6. Distressed convert exposure contracts, yet spread dislocation in select Tech and Industrials issuers underscores the need forNote: Distressed segment defined as convertible bonds trading < 60 centsConvert Default Exposure Contracts, Yet WatchpointsRemainAs of 2025 year-to-date, default exposure in the U.S. convertibles market, defined as bondstrading below 60% of par, stands at 3.5% of face value, down meaningfully from 6.0% at the endof the first half of 2024. The number of default-exposed securities has also declined to 22,compared to 36 in mid-2024, and remains well below the COVID-era peak of 50 securities inMarch 2020 and the all-time high of 254 during the 2008 financial crisis. 88% of the distressedsegment is currently trading below the 50% of par price range.Default exposure remains concentrated, with 55% of distressed face value tied to theInformation Technology and Industrials sectors, underscoring continued vulnerability amongselect growth and cyclical issuers. The “at-risk” universe, defined as bonds trading below parwith option-adjusted spreads above 1000 basis points, has contracted to 6% (~$16 billion in facevalue) from 12% last year (~$34 billion). While the