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【出版时间及名称】：barclays-EUROPEAN CREDIT ALPHA-Protecting against peripheral pain-100205
【作者】：barclays capital
【文件格式】：pdf
【页数】：44
【目录或简介】：
Strategic Market View: Dislocation, dislocation, dislocation 5
Volatility in the sovereign space continued to filter into credit this week despite positive
earnings and economic data. We recommend taking profits on our short senior
financials versus Main trade. This has overshot and we expect non-financials to play
catch-up. The sub/senior financials CDS ratio is also at recent lows. We recommend a
decompression trade on some of the most compressed European bank CDS.
European High Grade: Protection against peripheral pain 13
The repricing of corporate credit risk on sovereign concerns has taken place primarily in
CDS rather than cash. We believe there is now substantially more room for bonds of
corporates domiciled in weaker countries to underperform. We highlight switches that
reduce the sovereign exposure of cash credit portfolios.
US & European High Yield: Go short (Duration) 16
This week, we look at short duration opportunities in the US and European high-yield
markets in short maturity/early bond tenders, yield-to-call paper and negative basis
trades on short duration bonds.
Global lending standards: A farewell to tightening 24
We review developments in credit standards in the US, UK and euro area over the past
quarter, as well as supply and demand of credit and the drivers behind the changes.
Credit conditions for corporates have improved significantly, with the best readings
across all areas since 2007. Using our generalised cycle approach, we conclude that if
markets continue to improve there could be more upside in equity than in credit.
Credit at a glance 35
The high-yield space outperformed investment grade in another week of sovereign
induced volatility. Financials had the highest excess returns in January, while
Technology and Energy had the greatest total returns in the HY space.
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