JPM High-Yield and Leveraged Loan Morning Intelligence

研报英文原文证据摘录

JPM High-Yield and Leveraged Loan Morning Intelligence

which narrows to 150bp when comparing to newly originated B3 BSL (140bp 2yr average). And $1.3bn of

BSL refinanced into PC in 2Q versus $4.5bn of PC into BSL. Meanwhile, we estimate the invested Direct

Lending market stands at $1.83trn with an additional $302bn of institutional dry powder. Peaking at

$235bn in 2021, Global PC Fund raising totals $132bn YTD after setting a low since 2019 last year

($173bn). The current LTM HY bond recovery rate including distressed exchanges is 32.9%, versus 25.1%

excluding distressed transactions. And the current LTM Loan recovery rate including distressed exchanges

is 37.9%, versus 32.7% excluding distressed transactions. Represented by a rolling 35-day portfolio of

newly issued bonds, HY new-issues are underperforming secondary for the first time in 17 years (+1.87%

vs +2.22%). Notably, a new-issue portfolio of HY bonds has posted an average annual return of 14.3%

since 2000, which is outperforming a secondary portfolio’s avg. annual gain of +7.6% by 672bp. We

estimate average cash balances for high-yield funds decreased 3bp q/q to 3.71%, which is 25bp above the

long-term average. And given July’s strong technical inflows, steady retail inflows, and lighter capital

market activity, we suspect cash balances could be around ~4%.

--Overnight Price Action: S&P Futures are down 90bp overnight with the NASDAQ sliding -1.7% amid a

sharp sell-off in semiconductor stocks (SOXX: -3%) and software names (IGV: -2%) amid concerns over

Hyperscalers AI CapEx and the sustainability of the AI rally. As well, the launch of Kimi K3 model by a

Chinese startup is also weighing on sentiment (link). Meanwhile, Brent climbs $2 to $86 and 10yr Treasury