2025年5月市场流动性快照

Restricted - External Quantitative Portfolio StrategyVadim Konstantinovsky, CFA(v)+1 212 526 8290vkonstan@barclays.comBCI, US Note: Daily LCS are computed using a universe of the most frequently quoted bonds that do not undergo any model adjustments, some bonds in broad indices, which seeless market activity. Hence, Daily LCS tend to be lower than the monthly values reported in Figure 2. In this report, “index” refers to Bloomberg bond indices.Source: Unless stated otherwise, the source for all figures is Barclays Research.FIGURE 2. LCS for Various Markets, by Sector, %Asset ClassCurrent Month-1m-3m-6m-12m-24mUS IG Credit Index0.4790.5160.4160.4230.4650.622Industrials0.5410.5800.4340.4550.4780.561Utilities0.6000.6140.6090.6360.6440.753Financial Institutions0.3940.4510.3690.3400.3890.728Non-corporate0.3570.3550.3350.3500.4710.555Corporate0.4970.5400.4290.4340.4640.632US HY Index0.9110.9780.7680.8150.8941.078Industrials0.8960.9580.7560.8040.8821.039Utilities0.8190.8300.7050.7300.7980.870Financial Institutions1.0461.1590.8710.9161.0041.498USD EM Agg Index0.6280.6650.6070.6380.7250.870Non-corporate0.6360.6740.6100.6440.7410.860Industrials0.6240.6710.6130.6400.6780.881Financial Institutions0.5320.5380.5110.5220.5840.830EUR IG Credit Index0.3290.3560.2910.3340.3940.523Industrials0.3760.4160.3220.3930.4690.551Utilities0.3890.4180.3300.3920.4940.536Financial Institutions0.3210.3580.2910.3140.4050.642Non-corporate0.2800.2890.2540.2820.2900.371Corporate0.3530.3910.3090.3590.4430.590EUR HY Index0.9241.0210.7800.8491.0051.443Industrials0.9581.0740.8130.8720.9551.304Utilities1.0391.0820.8490.7740.8971.442Financial Institutions0.6860.7220.5980.7781.2121.930Global Covered Bonds0.2540.2700.2670.3040.1840.267US Convertibles0.7900.9620.6980.7210.8711.170US Leveraged Loans0.8911.0150.7070.7410.8301.2133 June 2025 FIGURE 3. Basic Index Statistics, by Sector3 June 2025Barclays | Quantitative Portfolio Strategy FIGURE 14. Pan Euro Credit, Country-level Statistics (top 10 by the number of bonds)FIGURE 15. USD Emerging Markets LCS, %Current-1m-3mLatin America0.7170.7580.790Corporate0.6720.7580.874Non-Corp0.7390.7570.749Asia-Pacific0.4330.4490.381Corporate0.4100.4030.331Non-Corp0.4410.4660.402Europe0.6010.6010.586Corporate---Non-Corp0.6020.6030.587Other0.6190.6230.609Corporate0.5830.5780.587Non-Corp0.6250.6310.613All0.5720.5880.563Corporate0.5360.5580.558Non-Corp0.5830.5970.565Region / Sector3 June 2025 FIGURE 22. Premium, Default, and Liquidity Components of US IG Credit Bonds OAS, January 2007 – May 2025FIGURE 23. TradeEfficiencyScore (TES) Buckets Statistics, US IG CorporatesTES# bonds# bonds %MV %AgeAvg issuesize, mnOAS, bpOASD11,09913.026.12.851,774927.3521,22814.619.93.991,199856.1636968.39.24.89992826.0046918.28.35.08892866.1857408.87.95.57800836.0567308.77.05.82711876.1077158.55.86.35623866.5186758.04.97.12553886.7896017.14.07.83506957.35101,24614.86.98.68439998.37FIGURE 24. LCS Quintiles: One- and Six-month Transition Rates and Average LCS, US IG Credit, %Current monthPrevious monthQ1 (0.134)Q2 (0.278)Q3 (0.451)Q4 (0.745)Q1 (0.142)90.28.71.00.1Q2 (0.300)9.473.017.00.5Q3 (0.490)0.415.969.913.6Q4 (0.799)0.00.411.675.9Q5 (1.350)0.00.10.610.56 months agoQ1 (0.129)80.815.73.00.5Q2 (0.254)27.349.020.63.0Q3 (0.400)1.827.849.918.2Q4 (0.654)0.22.917.254.0Q5 (1.143)0.10.21.923.63 June 2025 Note: At the beginning of the observation period (i.e., last month or six months ago), we sort index bonds into LCS quintiles and follow the quintile migration of bonds still inthe index at the end of the period. For example, a bond that was in Q3 six months ago but is in Q2 now is counted in the third row, second column of the six-month transitionmatrix. This approach means that while rows sum to 100%, columns usually do not.FIGURE 26. US Convertible BondsAvg LCS, %# Bonds% Mkt ValueAvg Vol, mnAvg DeltaProfileBalanced0.75817139.8%171.90.533Equity Sensitive0.4369633.6%138.00.788Credit/Rate Sensitive1.05116825.9%67.80.151Distressed9.427180.7%47.10.087Underlying Mkt CapSmall Cap1.52520520.3%43.10.315Med Cap0.79011625.2%118.10.530Large Cap0.51713254.5%245.10.585Credit QualityInvestment grade0.3873615.3%228.00.553Intermediate Grade0.80681.5%74.30.649Lower Grade8.35530.1%3.50.000Non-rated0.85640683.1%113.50.508FIGURE 27. Tradable Cash Credit Baskets (TCX) Scorecard; TE and TEV in bp, LCS in %USD CreditUSD Long CreditUSD CorporateEUR CreditEUR CorporateUSD EM CorpInceptionFeb-07Feb-07Feb-07Jun-10Aug-10Feb-12# of bonds503650484028RebalancingMonthlyMonthlyQuarterlyMonthlyQuarterlyMonthlyCurrent mo TE-29.419.6-92.7-8.0-8.239.9Avg. monthly TE0.23.2-0.90.1-0.6-0.4TEV443442142257Index Excess Ret Vol1442411608397176LCS0.3220.6480.1500.2120.2890.463Index LCS0.4790.9130.4970.3290.3530.6003 June 202510 Source: Bloomberg, Barclays ResearchFIGURE 34. US Corporate TCX and Index, LCS, %, February 2007 – May20250.00.51.01.52.02.53.0Feb-07Feb-09Feb-11Feb-13TCXThe USD Corporate TCX is a 50-bond portfolio of liquid bonds designed to track theexcess return of the U