Barclays_US_Credit_Alpha_Not_behind_the_curve_but_timely

This document 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 recommendations offered in this report.Please see analyst certifications and important disclosures beginning on page 42.US Credit AlphaNot behind the curve, but timelyWe discuss our best ideas in investment grade and high yield,study the latest NAIC modeling results in CLOs, investigate Ally'sperformance in ABS, and analyze non-QM convexity risk in MBS. US Credit AlphaOverview. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3While it remains too early to declare a soft landing, Chair Powell instilled confidence in marketsby claiming that a 50bp cut was an appropriate recalibration of policy, rather than a sign offundamental deterioration. Credit reacted positively and should continue to perform wellagainst a constructive technical backdrop. Investment GradeTop Catalyst Ideas: Waiting is the hardest part. . . . . . . . . . . . . . . . . . . . . . . 5We expect spreads to tighten marginally toward year-end, but there's a lot hanging in thebalance. Uncertainties about the macro environment and growth, along with US elections,should keep investors on their toes. We identify 12 catalyst-driven opportunities for alphageneration in the months ahead.High YieldBest Ideas: "Brat Summer" comes to an end. . . . . . . . . . . . . . . . . . . . . . . . 13We present our fundamental team's top 26 long/OW and short/UW USD ideas. We broadlyexpect the HY Index to trade sideways going into the election and have a bias for Bs over CCCsgiven that CCC risk/reward is now less compelling. Credit style factors and  fundamental callstogether can drive alpha.Leveraged Loans and CLOsMucho modeling by the NAIC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22The NAIC modeled 1,871 discrete BSL CLO deals represented in the life sector through tenscenarios as it works toward calibrating new capital charges for the asset class. We aggregatethe results by rating and conclude that any adjustment to charges could be most punitive totranches rated BBB and below.FICC ResearchCredit Research20 September 2024FOCUSBradley Rogoff, CFA+1 212 412 7921bradley.rogoff@barclays.comBCI, USDominique Toublan+1 212 412 3841dominique.toublan@barclays.comBCI, USCompleted: 19-Sep-24, 22:04 GMT Released: 20-Sep-24, 10:30 GMTRestricted - ExternalSecuritized CreditABS: Ally analysis. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28We investigate the performance of Ally's ABS trust and the broader US prime auto ABS market. Securitized CreditResidential Credit: Revisiting negative conv