€IG vs Bunds: Stress-testing the risk-return advantage of credit

研报英文原文证据摘录

€IG vs Bunds: Stress-testing the risk-return advantage of credit

FICC Research

Credit & Macro Research

24 July 2026

European fixed income strategy

€IG vs Bunds: Stress-testing the SIGNATURE

risk-return advantage of credit

We illustrate how a low rate-spread correlation makes the

European Credit Strategy

risk-return of €IG better than for Bunds, even at prevailing Soren Willemann

tight spreads. With increased uncertainty around rate-spread +44 (0) 20 7773 9983 soren.willemann@barclays.com

correlations, we show that the €IG risk-return advantage still Barclays, UK

has a meaningful buffer. Melissa McCallum, CFA

+ 44 (0) 20 7773 3573

melissa.mccallum@barclays.com

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Rohan Khanna

+44 (0) 20 7773 0533

rohan.khanna1@barclays.com

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Why should you buy €IG credit at a 3.7% yield, if you can buy government bonds of the same

maturity at a 2.9% yield?

• Beyond the trivial observation that 'it pays you more money', there can be many reasons why

investors buy credit over government bonds even at tight spreads. One reason could be

regulatory; for example, matching requirements for an insurance company. Another is the

lack of access for some retail investors to buy government bonds.

• Here, we explore another angle: buying IG-rated credit, even at tight spreads, has superior

risk-return characteristics to buying government bonds - provided the correlation between