美国信用阿尔法：表层之下暗流涌动

Not that quiet beneath the surface SIGNATURE We discuss the industryeffectsof AI disruption, relative valueopportunities in banks in investment grade, LTV changes insoftwareleveraged loans, opportunities in the pre-pay gassector in municipals, and trades in derivatives and hybrids 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 The rally in IG and HY indices moderatedaftertwo weeks of strong performance, but beneaththe surface, parts of the market continue to move. With earnings in full focus, guidance and US Focus Positioning for AI Disruption (US Edition): Impacts across 40+ industries. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 We expect the AI narrative toshiftfrom industry-wide directionality toward greaterdifferentiationat the company level. Against this backdrop, we integrate insights from 40+ US US Investment Grade US banks lagging in €- and $-IG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 The underperformance of US banks versus European peers in both €- and $-IG markets leavesthem looking cheap relative to history. With issuance headwinds set to fade, we highlight 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 Barclays Capital Inc. and/or one of itsaffiliatesdoes and seeks to do business with companiescovered in its research reports. As a result, investors should be aware that the firm may have aconflict of interest that couldaffectthe objectivity of this report. Investors should consider this This research report has been prepared in whole or in part by equity research analysts basedoutside the US who are not registered/qualified as research analysts with FINRA. FOR ANALYST CERTIFICATION(S) PLEASE SEE PAGE 36 .FOR IMPORTANT EQUITY RESEARCH DISCLOSURES, PLEASE SEE PAGE 36 .FOR IMPORTANT FIXED INCOME RESEARCH DISCLOSURES, PLEASE SEE PAGE 37 .Completed: 23-Apr-26, 22:29 GMTReleased: 24-Apr-26, 10:30 GMT US Leveraged Finance SoftwareLTVs in focus. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 Thesoftwaresector remains under pressure across US leveraged finance. Loan-to-value ratioshave increased, and we construct a 2021 vintagesoftwareLBO model to parameterize thechange. We find that higher multiple/more leveraged LBO structures are more convex to Credit Derivatives and Macro An opportunity to reset hedges. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 Markets have rallied sharply as Middle East tensions have eased, pushing spreads and impliedvols back toward year-to-date lows. However, with complacency rising and several unresolved US Hybrid Capital Taking stockafterthe rally. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .27 Midstream hybrids have performed well since late February, reflecting the broader energycomplex's strength amid rallying oil prices during the war in Iran. We look for outliers in both US Municipals We take a closer look at the pre-pay gas subsector, which has barely recovered from the Marchsell-offand is still trading at attractive levels versus tax-exempts and corporates. We highlight a US Credit Alpha Overview The rally in IG and HY indices moderatedaftertwo weeks ofstrong performance, but beneath the surface, parts of themarket continue to move. With earnings in full focus,guidance and post-earnings supply are the key near-term BradleyRogoff,CFA+1 212 412 7921bradley.rogoff@barclays.comBCI, US Dominique Toublan+1 212 412 3841dominique.toublan@barclays.comBCI, US Not that quiet beneath the surface The rally in the IG and HY indices pausedaftertwo weeks of strong performance.IGtightened 1bp w/w, to 77bp, and HY was unchanged at 269bp. Both indices are at their tightestlevel in two months and trading around the 25th percentile of their 3m and 6m ranges. Webelieve they are likely to remain range-bound in the short term unless earnings or the Middle However, subsets of the indices are moving quite a bit.For instance, in HY, single Bsoutperformed BBs and CCCs,afterlagging for quite some time. The B-BB basis narrowed 4bpw/w, to 128bp, with Bs 2bp tighter and BBs 3bp wider on the week. The spread ratio contracted Similarly, in IG, Financials are trading wide to Non-Fins, adjusting for duration. That includes theBig 6, which are about 6bp wide vs. the intermediate industrials index, quite a large deviationfrom the strong 1y trend (more than 2 standard deviation from the 1y regression mean). US