美国信用阿尔法：极为罕见的转折

A very rare turn of events This week, we discuss hyperscaler financing needs, refreshour investment grade macro spread model, discuss trends inleveraged finance recovery rates, provide an outlook for CDS- BradleyRogoff,CFA+1 212 412 7921bradley.rogoff@barclays.com Dominique Toublan+1 212 412 3841dominique.toublan@barclays.com US Credit Alpha Overview. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Investment grade cash excess returns are negative for the past one and three months while highyield excess returns are positive - only thefifthtime in 25 years that such a combination has US Focus (A)I owe you: Framing hyperscaler financing . . . . . . . . . . . . . . . . . . . . . . . . 6 Hyperscaler issuance has overwhelmed the market, and the growth ofprivate/offbalance sheetfinancing is also adding pressure. Issuance is likely to slow from here, but the direction of supply US Investment Grade Modeling the macro. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 Our macro model suggests the index is trading at fair value. It is most sensitive to SLOOS andfund flows, and we provide a sensitivity table to these inputs. Despite tight valuations, spread US High Yield and Leveraged Loans Very varied recoveries. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 Distressed exchanges continue to grow in popularity, making recovery rate analyses morenuanced. Using a longer-term look-back period, recoveries from distressed exchanges are 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 its Credit Derivatives and Macro 2026 CDS-cash basis outlook. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 In 2025, European and US HY CDS outperformed cash, while CDX.IG outperformed marginallyand Main lagged. For 2026, we expect CDS to deliver stronger risk-adjusted returns than cashacross regions. For relative value, CDS should stay tight versus cash - except Main, which will US Securitized Credit 2026 outlook for CMBS supply and demand. . . . . . . . . . . . . . . . . . . . . . . . 47 CMBS issuance could increase about 23% in 2026, with a higher concentration in private labelproduct. We expect a 2026 net rise in agency CMBS to be readily absorbed by the existing US Credit Alpha Overview Investment grade cash excess returns are negative for thepast one and three months while high yield excess returns arepositive - only thefifthtime in 25 years that such acombination has occurred. We think IG can grind tighter into BradleyRogoff,CFA+1 212 412 7921bradley.rogoff@barclays.com Dominique Toublan+1 212 412 3841dominique.toublan@barclays.com A very rare turn of events It is exceptional to see negative excess returns in investment grade when high yield returnsare positive over both one- and three-month time frames.IG cash excess returns arenegative for both the past month and the past three months, at -0.13% and -0.10%, respectively. This is only thefifthtime in the past 25 years that markets have experienced such acombination. The others were in 2009, 2015, 2018, and 2024 (using monthly data). Note thathistorically, it is also uncommon to see negative excess returns in IG and positive returns in HY Investment grade cash is underperforming across the board, with high-quality industrialslagging the most (see Figure 2).The magnitude of and uncertainty about AI financing needs(see this week's focus article) have created headwinds for IG cash that have not been present in Overall, the IG cash index has underperformed pretty much all other credit asset classes overthe past month, including the macro IG instruments: LQD and VCIT (by 1bp and 2bp,respectively) and CDX IG (by 10bp beta adjusted for the 1-10y cash index). BBs have performed the best across ratings,while within IG, financials and cyclicals haveoutperformed and high-quality industrials have underperformed (Figure 2). BBs have tightenedby 4bp w/w and 21bp m/m. The BB/BBB spread ratio is the lowest since July, at 1.87x (using the1-10y indices to adjust for the duration mismatch). The HY/IG spread ratio is at 3.5x, near its five- The end of a government shutdown is usually a market positive, but October data mightnever be released.The longest government shutdownofficiallyended at 43 days. Historically, equities tend to riseaftera reopening. In the last three major shutdowns,1the S&P 500 gained an average of 4.3% and 7.4% in the one and three monthsafterward.Investment grade creditspreads were also tighter in the following one- and three-month periods, by roughly 5bp and 20bp tighter, respectively.2Data should start to be published in the coming weeks, but the White