美股投资策略-信贷市场展望与策略：扩大到危险地带

North America Credit Research24 June 2022 Credit Market Outlook & StrategyWidening to the Danger ZoneHead of US Credit StrategyEric Beinstein AC(1-212) 834-4211eric.beinstein@jpmorgan.comJ.P. Morgan Securities LLCNathaniel Rosenbaum, CFA(1-212) 834-2370nathaniel.rosenbaum@jpmorgan.comJ.P. Morgan Securities LLCSilvi Mantri(91-22) 6157-3623silvi.mantri@jpmchase.comJ.P. Morgan India Private LimitedPavan D Talreja(1-212) 834-2051pavan.talreja@jpmchase.comJ.P. Morgan Securities LLCSee page 19 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.www.jpmorganmarkets.comHigh Grade Strategy HG bond spreads have widened over the past two weeks, nearing the 170bp peak that was also reached in mid March and mid May. Weaker growth data has been the most recent focus, with lower yields contributing to wider spreads on the week—and elevated rates volatility continuing to be the key driver ofnegative credit market sentiment. USD credit has become significantly more expensive for non-USD based investors recently, both due to a jump in FX hedging costs and a larger move higher in yields in Europe. The divergence in policy rates between the Fed and other DM central banks explains the hedging cost jump, which is unlikely to unwind soon. We continue to see and expect less foreign demand for US assets but offset by attractive yields spurring more demand from domestic investors—particularly insurance and pension funds—as well as much lower supply.  We do not expect corporates to buy back low dollar priced bonds. Uncertain market conditions argue for more liquidity not less; low $ priced bonds have low coupons and are often the cheapest source of long-term funding; there are negative tax implications; and these bonds usually trade tight to the issuers curve—all arguments against taking them out. That said, low $ priced bonds have convexity benefits and some have tail risk benefits in a change of control scenario, so there are reasons to own them, but buybacks isn’t one of them.Credit Derivatives CDX.HY spreads compressed relative to CDX.IG over the past few weeks, unwinding some of the decompression in May. Synthetics have outperformed relative to cash over the past week as credit derivative indices have traded sideways over the past week despite wider cash spreads. That said, we continue to believe synthetics are relatively cheap at current levels, and we expect the cash-synthetic relationship to normalize further. We discuss an overview of the credit ETF market and focus on recent developments such as growth of creditoptions and increased funding stress in the HY credit ETF market.Bloomberg economic surprise index at its lowest since Augus