全球-信贷策略-全球信贷衍生品：欧洲、北美、亚洲与新兴市场.docx

Global Credit Research19 March 2019European Credit Derivatives ResearchMoritz Duembgen AC(44-20) 7742-7956moritz.duembgenjpmorgan J.P. Morgan Securities plcDmytro Shelukhin, CFA AC(44-20)7134-2151dmytro.shelukhinjpmorgan J.P. Morgan Securities plcSaul Doctor(44-20)7134-1539saul.doctorjpmorgan J.P. Morgan Securities plcUS Credit Derivatives ResearchEric Beinstein AC(1-212) 834-4211eric.beinsteinjpmorgan J.P. Morgan Securities LLCPavan D Talreja(1-212) 834-2051pavan.talrejajpmchase J.P. Morgan Securities LLCEmerging Markets StrategyTrang Nguyen AC(1-212) 834-2475trang.m.nguyenjpmorgan J.P. Morgan Securities LLCJonny Goulden(44-20)7134-4470jonathan.m.gouldenjpmorgan J.P. Morgan Securities plcAmy Ho(1-212) 622 9364amy.hojpmchase J.P. Morgan Securities LLCJapan Credit ResearchHiroshi Uchino AC(81-3) 6736-7663hiroshi.x.uchinojpmorgan JPMorgan Securities Japan Co., Ltd.EuropeNorth AmericaEM & AsiaIGiTraxx Europe MainCDX.IGiTraxx Asia ex-Japan IGiTraxx Senior Financials-iTraxx AustraliaiTraxx Sub Financials-iTraxx JapanHYiTraxx CrossoverCDX.HY-Sovereigns-CDX.EMTable 1: Liquid CDS indices across the globeTrading on new Series begins on Wednesday, 20 March, except CDX.HY, which starts on Wednesday, 27 March.Source: J.P. Morgan.J. P MorganGlobal CDS IndicesEurope, North America, Asia and Emerging MarketsIn this note, we introduce the global family of CDS indices, coinciding with the current index roll. The report is aimed at current and prospective investors who want to gain a more in-depth understanding of the mechanics, trading, composition, rules and dynamics of CDS indices. iTraxx and CDX indices roll into their new "ontherim" series. Most indices start trading on Wednesday, 20 March 2019. CDX.HY rolls one week later on Wednesday, 27 March. CDS indices are liquidly traded (outright or via excess return indices) for the European and North American investment-grade and high-yield markets, the Asian and global Emerging Markets, as well as sovereign debt in emerging markets. The most liquid CDS indices in each region are listed in Table 1. We introduce the most liquid indices and describe their main characteristics, as well as the differences between the new “on-the-run” series and their predecessors in terms of maturities and composition. We also review rating and spread distributions of each index and provide our expectations for the spreads of the new indices. We provide composition tables for all indices, as well as the data and analytic tools available to J.P. Morgan clients.See page 63 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. jpmorganmarkets estimate the roll to open with around +lbp premium to FV, i.e. the new series to start trading slightly closer to its theoretical spread.Figure 3: Impact of client positioning on index roll - iTraxx MainY-Axis: Roll premium to fair value (bp), calculated as basis-to-theoretical of new index minus old index, averaged over 5 days following roll. X-Axis: Client positioning pre-roll ($bn), positive indicates clients are buyers of protection. Red line indicates current client positioning.4.03.0S20 S19 . S29 rS30!4S2714S22 S21S282.0S24S23S24S231.00.0-1.0-2.0-35-30-25-20-15-10-5051015Source: J.P. Morgan, DTCC. Client positioning as of Friday 8 March.Figure 4: iTraxx Main 5y Basis-to-Theoretical (bp)For each six-month period after a roll date (20-Mar & 20-Sep), we show the basis-to-theoretical of the "on-the-run" index minus the basis-to-theoretical of the previous series. 8 -The historical difference in the basis-to-theoretical of old and new indices is shown in Figure 4.6 -4- 2 - 4 - 6 - 8 -Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18Source: J.P. Morgan. 5-day moving average.Impact on curvesBased on our previously calculated expected spread changes between Series 31 andSeries 3(), we can calculate what we expect to happen to the index curves (Table 16). We expect the 3s5s and 5sl0s curves to be, respectively, 1.8bp and 4.4bp flatter in the new index.Table 16: iTraxx Main Curve ChangesSpreads in bpIndexSeries 30Curve Change (bp)Series 31DirectioniTraxx Europe3s5s30.6-1.828.7Flatter5s 10s47.5-4.443.1FlatterSource: J.P. Morgan. Spreads as of 15 March.Rating & spread distributionsBoth series load heavily on BBB-rated names with the average rating remaining unchanged at BBB+. The new series, however, will have higher weights in BBB+ and A- buckets with lower proportion of the names rated BBB, BBB-, and A (Figure 5). Note that all four names removed due to downgrades remain in the BBB- bucket and do not show up in the BB+ bucket since as per Markit's methodology BBB- names with negative outlook are not considered IG.Figure 6: iTraxx Main 5y Spread DistributionFigure 5: iTraxx Main Ratings DistributionSource: J.P. Morgan, Moody's, S&P; average of RefOb ratings.SSSeries 31 Series 3008V09L09V0W0 noziL87SOoi-0N00ZSource: J.P. Morgan. Spreads as of 15 March.In terms of spread distribution, with the departure of 4 fallen angels, all of which trade above 125bp, and the addition of 4 names that trade below 50bp, the new series has a higher proportion of names in sub-100 buckets (86% vs 82%) (Figure 6).Country CompositionBased on country-of-risk, iTraxx Main S31 has a similar geographic composition to S30, with 64% of names in both indices based in the UK, France or Germany. The new series, however, will be more concentrated in the UK (26.4%) at the expense of primarily France and Germany exposures.Figure 7: iTraxx Main Country Composition % of IndexSeries 31 Series 3025% -20% -Source: J.P. MorganOptionsWe typically find that, following the roll, the spread differential between two series remains roughly constant in absolute terms. In turn, this implies that basis point realised volatility between S31 and S30 is likely to be similar. The 8.6% spreadincrease for S31 relative to S30 implies that current 3M ATM iVol of 44.5% for S31 should fall by 3.5%pts to 41% (44.5%/1.086) for S31. In addition, we think that the removal of 3 out of 15 most volatile names in the index further justifies our estimate of lower implied vol in the new series.Table 17, Table 18 and Figure 8 detail the compositions and volatility differences between the two series.Table 17: iTraxx Main Most Volatile NamesDaily volatility over the past monthSeries 31Volatility (bp)Spread (bp)Included in S30Series 30Volatility (bp)Spread (bp)Included in S31TickerTicker1AUCHAN8.6213/AUCHAN8.6213/2KPN8.3117/KPN8.3117/3MTNA5.5164/MARSPE6.31704FRFP4.9135/MTNA5.5164/5GLENLN4.3140/FRFP4.9135/6RENAUL4.1112/GLENLN4.3140/7AALLN4.1112/SZUGR4.31288FUMVFH3.665/RENAUL4.1112/9BBVASM3.5105/AALLN4.1112/10H曰GR3.595/FUMVFH3.665/11DB3.3146/BBVASM3.5105/12LHNVX3.285/HEIGR3.595/13VW3.298/DB3.3146/14CMZB3.2108/CECGR3.317615DANBNK3.0129LHNVX3.285/Source: J.P. Morgan. Data as of 15 March.Table 18: iTraxx Main Average Spread (5y calendar maturity) and Standard DeviationSource: J.P. Morgan.Series 31Series 30Average (bp)6467Standard Deviation (bp)3539Average Single Name Volatility (%)28.2%28.2%Figure 8: iTraxx Main Implied VolatilityVolatility (%), Component Realised Vol is the volatility of the average spread of the underlying CDS. Traded Realised Vol is the volatility of the market traded index.70%60%50%40%30%20%10%0%02-Mar-1802-May-1802-Jul-1802-Sep-1802-Nov-1802-Jan-1902-Mar-19iTraxx S30 Component Realised VolatilityiTraxx S31 Component Realised VolatilityOn-the-run Implied VolatilityOn-the-run Realised VolatilitySource: J.P. Morgan.CompositionTable 19: iTraxx Europe Main Series 31 CompositionTickerSectorNameMoody'sS&PFitch5y Spread (bp)AIRFPAutos & IndustrialsAirbus SEA2 STABLEA+A-35AKZANAAutos & IndustrialsAkzo Nobel NVBaal STABLEBBB+ STABLEBBB+ NEG41AZNAutos & IndustrialsAstraZeneca PLCA3 NEGBBB+ STABLEBBB+ STABLE31MTNAAutos & IndustrialsArcelorMittalBaa3 STABLEBBB- STABLEBBB-STABLE157BALNAutos & IndustrialsBAE Systems PLCBaa2 STABLEBBB STABLEBBB STABLE58BASGRAutos & IndustrialsBASF SEA1 STABLEA STABLEA+ STABLE26BAYNGRAutos & IndustrialsBayer AGBaal NEGBBB STABLEA-STABLE70BMWAutos & IndustrialsBayerische Motoren Werke AGA1 STABLEA+ STABLENR55CONGRAutos & IndustrialsContinental AGBaal STABLEBBB+ STABLEBBB+ STABLE66DAIGRAutos & IndustrialsDaimler AGA2 STABLEA STABLEA- STABLE68DGFPAutos & IndustrialsVinci SAA3 STABLEA- POSA- POS34ENFPAutos & IndustrialsBouygues SAA3 STABLEBBB+ POSNR46AALLNAutos & IndustrialsAnglo American PLCBaa2 STABLEBBB STABLEBBB-104FRFPAutos & IndustrialsValeo SABaa2 NEGBBB NEGNR130SOLBBBAutos & IndustrialsSolvay SABaa2 STABLEBBB STABLEBBB POS62GLENLNAutos & IndustrialsGlencore International AGBaa2 POSBBB+ STABLENR131HEIGRAutos & IndustrialsHeidelbergCement AGBaa3 POSBBB- STABLEBBB-88LHAGRAutos & IndustrialsDeutsche Lufthansa AGBaa3 STABLEBBB- POSNR50LHNVXAutos & IndustrialsLafargeHolcim LtdBaa2 NEGBBB NEGBBB STABLE78LXSGRAutos & IndustrialsLANXESS AGBaa2 STABLEBBB STABLENR76MLFPAutos & IndustrialsCo Financiere Michelin SCmAA3 STABLEA- STABLEA-42CNHIAutos & IndustrialsCNH Industrial NVBaa3 STABLEBBB STABLEBBB-87RENAULAutos & IndustrialsRenault SABaa3 STABLEBBB NEGBBB STABLE108ROLLSAutos & IndustrialsRolls-Royce PLCA3 NEGBBB+ NEGA-80SANFPAutos & IndustrialsSanofiA1 STABLEAA STABLEAA- NEG29SGOFPAutos & IndustrialsCie de Saint-GobainBaa2 STABLEBBB STABLEBBB STABLE58SIEGRAutos & IndustrialsSiemens AGA1 STABLEA+ STABLEA25STERVAutos & IndustrialsStora Enso OYJBaa3 STABLENRBBB-STABLE76VLVYAutos & IndustrialsVolvo ABBaal POSBBB+ POSBBB+60VWAutos & IndustrialsVolkswagen AGA3 STABLEBBB+ STABLEBBB+93ABIBBConsumersAnheuser-Busch InBev SA/NVBaal STABLEA- *-BBB STABLE58ACFPConsumersAccor SANRBBB-STABLEBBB- POS58ADNAConsumersKoninklijke Ahold Delhaize NVBaal STABLEBBB STABLEBBB43AUCHANConsumersAuchan Holding SADIRNRBBB NEGNR212BATSLNConsumersBritish American Tobacco PLCBaa2 STABLEBBB+ STABLEBBB80BNFPConsumersDanone SABaal STABLEBBB+ STABLENR31CAFPConsumersCarrefour SANRBBB+ NEGBBB+ STABLE69CARLBConsumersCarlsberg Breweries A/SBaa2 STABLENRBBB+ STABLE31DGELNConsumersDiageo PLCA3 STABLEA- STABLEA-18ELTLXConsumersElectrolux ABNRA- STABLENR31CPGLNConsumersCompass Group PLCA3 STABLEA STABLEA- STABLE27HEIANAConsumersHeineken NVBaal STABLEBBB+ STABLENR27EXPNLNConsumersExperian Finance PLCBaal STABLEA- STABLENR36IMBLNConsumersImperial Brands PLCBaa3 STABLEBBB STABLEBBB81KERFPConsumersKering SANRBBB+ POSNR29RBLNConsumersReckitt Benckiser Group PLCA3 STABLEA- STABLENR44MCFPConsumersLVMH Moet Hennessy Louis Vuitton SENRA+ STABLENR20HENKELConsumersHenkel AG & Co KGaAA2 STABLEA STABLEA STABLE21NESNVXConsumersNestle SAAa2 NEGAA- STABLEAA-16NXTLNConsumersNext PLCBaa2BBB NEGNR112PHIANAConsumersKoninklijke Philips NVBaal STABLEBBB+ STABLEA- STABLE29RIFPConsumersPernod Ricard SABaa2 STABLEBBB POSBBB POS36TATELNConsumersTate & Lyle PLCBaa2 STABLEBBB STABLENR38SWFPConsumersSodexo SANRA- STABLENR34UNANAConsumersUnilever NVA1 STABLEA+ STABLEA+ STABLE16BPLNEnergyBP PLCA1 STABLEA-STABLEA42CNALNEnergyCentrica PLCBaal STABLEBBB+ NEGNR86EDFEnergyElectricite de France SAA3 STABLEA- STABLEA- STABLE56EDPPLEnergyEDP Finance BVBaa3 STABLEBBB- STABLEBBB-STABLE71SSELNEnergySSE PLCBaal STABLEBBB+ STABLEBBB+ NEG51Continued on next pageTickerSectorNameMoody's RatingS&P ratingFitch rating5Y Spread (bp)ENELIMEnergyEnel SpABaa2 STABLEBBB+ STABLEA- STABLE80ENGIFPEnergyEngie SAA2 STABLEA- STABLEA STABLE35ENIIMEnergyEni SpABaal STABLEA- STABLEA-STABLE55EOANGREnergyE.ON SEBaa2 STABLEBBB STABLEBBB+ *-29FUMVFHEnergyFortum OYJBaa2 NEGBBB NEGBBB STABLE61NTGYSMEnergyNaturgy Energy Group SABaa2 STABLEBBB STABLEBBB57IBESMEnergyIberdrola SABaal STABLEBBB+ STABLEBBB+43IGYGYEnergyInnogy SEBaa2 STABLEBBB STABLEBBB+ *-33NGGLNEnergyNational Grid PLCBaal STABLEBBB+ STABLEBBB STABLE42RDSALNEnergyRoyal Dutch Shell PLCAa2 STABLEAA- STABLEAA-30REPSMEnergyRepsol SABaal STABLEBBB POSBBB56EQNREnergyEquinor ASAAa2 STABLEAA- STABLENR21TOTALEnergyTOTAL SAAa3 POSA+ POSAA-22UUEnergyUnited Utilities PLCBaal STABLEBBB STABLEBBB+ STABLE59VIEFPEnergyVeolia Environnement SABaal STABLEBBB STABLEBBB STABLE35ACAFPFinancialsCredit Agricole SABaa2 POSA- STABLEA+64AEGONFinancialsAegon NVA3 STABLEA-NEGBBB+ STABLE69ALVGRFinancialsAllianz SEAa3 STABLEAA STABLEAA-22ASSGENFinancialsAssicurazioni Generali SpABaa2 STABLENRA-NEG89AVLNFinancialsAviva PLCA2 STABLEA- POSA STABLE63AXASAFinancialsAXASAA2NEGA STABLEA-STABLE42BACRFinancialsBarclays PLCBaa3 STABLEBBB STABLEA106BACREDFinancialsMediobancaNR STABLEBBB NEGBBB NEG137BBVASMFinancialsBBVABaa2 STABLEBBB+ NEGA-NEG100BNPFinancialsBNP Paribas SABaal STABLEA- POSA+ STABLE73CMZBFinancialsCommerzbank AGA1 STABLEA-NEGBBB+ STABLE104CSFinancialsCredit Suisse Group AGBaa2 STABLEBBB+ STABLEA-66DANBNKFinancialsDanske Bank A/SBaa2 NEGBBB+ NEGA NEG124DBFinancialsDeutsche Bank AGB