【出版时间及名称】:BARCLAYS-US CREDIT ALPHA-HOW CDS COULD HELP SOVEREIGNS-100312
【作者】:barc lays
【文件格式】:pdf
【页数】:30
【目录或简介】:
Overview .................................................................................................................................... 2
With year-end earnings season slowing and lower market volatility, attention has
turned toward financial markets reform proposals. Government officials across Europe
have been vocal about banning “naked” sovereign CDS in comments reminiscent of the
initial furor in the U.S. in the aftermath of the Lehman Brothers bankruptcy. As we have
stated, we believe banning “naked” CDS is equivalent to banning CDS altogether,
because it would paralyze any trading in the market.
Focus: Corporate Demand Deconstructed ........................................................................... 6
Retail and life insurers remain the key drivers of net corporate purchases, and we expect
both to remain active buyers, as allocations have further room to normalize. Demand
from private pensions may moderate from robust levels, but is unlikely to weaken
materially. We continue to view the technical backdrop as constructive for credit.
Investment Grade: Cash is Back (to the Tights)!................................................................ 11
The Credit Index is back to its January tights; however, we still believe that specific
single names within wider sectors—such as paper, home construction, and telecoms—
offer attractive value.
High Yield: A Rolling Index Gathers No Moss .................................................................... 17
The HY index will roll to series 14 on March 29. The new series intrinsic will be about
$1.31 cheap to its predecessor, and it will have one more financial name.
Leveraged Loans: Roll, Baby, Roll ......................................................................................... 20
The much-anticipated bullet LCDS contract and the LCDX14 roll are scheduled for April
5. The bullet contract and lower index coupon are also expected to alleviate some of the
negative convexity that plagues the LCDX product.
Structured Credit and Volatility: Cheap Protection against Widest HY Names............ 22
We outline a low-cost strategy to buy protection against the widest names in the 3y
HY.10 portfolio using the 3y HY.10 10-15% tranche, the HY.10 index, and the seven
widest names in the portfolio.