美国信贷阿尔法策略：美联储降息在即

Fed cut in sight This week, we provide our top swaps in Yankee banks, discusswhy we favor noncyclicals over cyclicals in high yield, analyze20 years' worth of hybrid extensions, and update our intrinsicestimates for the CDX and iTraxx September 2025 rolls. 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 Labor market data are flashing amber, reinforcing our view for a September rate cut. Corporateactivity appears fine for now, buttariffsshould create headwinds in 4Q. With lower yieldsintroducing the potential for demand deterioration, valuations are asymmetric, and spreadsappear too tight. US Focus A history of hybrid extensions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Over the past two decades, $140bn of hybrid debt has been extended past the first reset. Wefind that extensions are highly correlated with hybrid-to-senior ratios. For non-bank hybridsspecifically, those with ratios of less than 2.0x at first call are extended 90% of the time. US Investment Grade Top swaps in Yankee banks. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 Recent beta compression hasleftthe Euro Yankee-Big 6 basis near the most compressed levelssince 2021, but on a ratio basis, there may be further room to run. Deregulation is more of a riskfor US banks, although (French) political risks could resurface. We highlight attractive swaps. US High Yield Cautious sector stance warranted. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 Spreads are flat year-to-date despite a later-cycle macro environment. Cyclicals haveunderperformed, although CCCs skew the magnitude materially. We expect thisunderperformance to continue as spreads widen into year-end and prefer noncyclicals. 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 35.Completed: 04-Sep-25, 22:17 GMTReleased: 05-Sep-25, 10:30 GMTRestricted - External US Credit Derivatives and Macro Another look at the CDX and iTraxx September 2025 rolls. . . . . . . . . . . . 28 We provide updated intrinsic roll estimates for the iTraxx and CDX indices. We see CDX.IG andCDX.HY at +4.6bp and +14bp ($0.03), and Main, SenFin, and Xover at +6.1bp, +5.8bp, and+13.2bp, respectively. Based on our estimates, Xover-Main and HY-IG will look compressed andMain-IG will look wide. US Credit Alpha Overview Labor market data are flashing amber, reinforcing our viewfor a September rate cut. Corporate activity appears fine fornow, buttariffsshould create headwinds in 4Q. With loweryields introducing the potential for demand deterioration,valuations are asymmetric, and spreads appear too tight. BradleyRogoff,CFA+1 212 412 7921bradley.rogoff@barclays.comBCI, US Dominique Toublan+1 212 412 3841dominique.toublan@barclays.comBCI, US Fed cut in sight Softlabor data reinforce our baseline for a September Fed cut, with nonfarm payrolls in focus.The latest batch of labor market data continues to point to a cooling jobs environment.JOLTS openings fell to their lowest level since early 2021, and ISM Services employmentdropped to 46.4—its third-lowest post-COVID print. ISM Manufacturing echoed the weakness,with employment at 48.5, and the 3m average of ADP payrolls has fallen to below 50k, downfrom 200k at YE24. These indicators follow a string ofsofteningsignals, including elevatedcontinuing claims and a downward revision to prior payrolls. Friday’s NFP will be key to confirmthe trend or not. Markets are now pricing in a near-certain Fed cut in September, with more thantwo cuts expected by year-end. Barclays Economics agrees (see September cut is the baseline,but the door is ajar). Leading activity indicators are firming up despite laborsoftness.Interestingly, whileemployment metrics have weakened, forward-looking demand indicators have held up well.Both ISM surveys showed a pickup in new orders, with Manufacturing new orders rising to 52.5and Services holding at 51.8. Regional Fed surveys are also constructive—most notably, thePhilly Fed’s expected new orders index printed at 38.2, near the top of its 10-year range. Thisdivergence between labor and demand suggests that while hiring may be slowing, corporateactivity and investment intentions remain intact, at least for now. Tariffscould become a more material drag in 4Q.The August 7tar