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
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1、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. M
2、organ 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. Morga
3、n 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 & A
4、siaIGiTraxx 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 Wed
5、nesday, 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-d
6、epth 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 (outri
7、ght 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
8、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 prov
9、ide 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 a
10、ware 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 sta
11、rt 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 ($
12、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
13、-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
14、 - 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 happ
15、en 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
16、.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
17、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 Markits methodology BBB- names with negative outlook are not considered IG.Figure 6: iTraxx Main 5y Spread DistributionFigure 5: iTraxx Main Ratings DistributionSource:
18、J.P. Morgan, Moodys, 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,
19、 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
20、 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 roug
21、hly 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,
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