JPM High-Yield and Leveraged Loan Morning Intelligence

Research evidence excerpt

JPM High-Yield and Leveraged Loan Morning Intelligence

look upbeat. High-yield bond yields and spreads rose 1bp and 4bp over the past week to 7.30% and

308bp, which are up 6bp and 2bp in July and are up 53bp and down 7bp YTD. For reference, spreads

touched a post-GFC low of 295bp on January 22nd and a YTD high of 373bp on March 30th. CCCs (-0.03%

w/w) underperformed BBs (+0.05% w/w) and Single-Bs (+0.06% w/w). And from a sector stance, Retail

(+0.34% w/w) and Financial (+0.31% w/w) outperformed the index whereas Consumer Prod. (-0.37%

w/w) and Technology (-0.23% w/w) underperformed.

Historical Credit Spreads

HY IG BBB BB B CCC HY/IG BB/BBB B/BB CCC/B

Current 308bp 81bp 98bp 188bp 324bp 868bp 227bp 90bp 136bp 544bp

YTD Change -7bp 0bp -2bp -15bp 1bp 111bp -7bp -13bp 16bp 110bp

12M High 373bp 95bp 116bp 243bp 404bp 873bp 279bp 133bp 161bp 549bp

12M Low 295bp 73bp 92bp 181bp 301bp 716bp 220bp 85bp 108bp 400bp

1 Yr Average 322bp 80bp 100bp 205bp 336bp 791bp 242bp 105bp 131bp 455bp

5 Yr Average 387bp 107bp 132bp 255bp 402bp 840bp 280bp 122bp 148bp 437bp

10 Yr Average 419bp 115bp 144bp 276bp 426bp 856bp 303bp 132bp 150bp 429bp

15 Yr Average 459bp 128bp 160bp 304bp 460bp 876bp 331bp 144bp 156bp 416bp

US Recession Average 971bp 252bp 355bp 568bp 901bp 1977bp 716bp 245bp 333bp 1076bp

US Non Recession Average 493bp 116bp 167bp 317bp 491bp 956bp 394bp 168bp 174bp 465bp

Post gfc low 295bp 73bp 92bp 181bp 292bp 557bp 214bp 81bp 93bp 198bp

All time low 251bp 73bp 92bp 159bp 228bp 398bp 163bp 22bp 18bp 166bp

% Above/Below 12M Avg. -5% 1% -2% -8% -4% 10% -6% -14% 4% 20%

% Above 12M Low 4% 11% 7% 4% 7% 21% 3% 6% 25% 36%

% Above Post-GFC Low 4% 11% 7% 4% 11% 56% 6% 11% 47% 175%

Source: J.P. Morgan

Note: Technical inflows include calls, tenders, maturities, and coupons.