欧洲信贷战略 ： 新星主导将终结

DeutscheBankResearch Europe UnitedKingdom CreditStrategy EuropeanCreditStrategy Date 15April2024 RisingStarDominancetoend ThewaveofRisingStarshasnotonlycontinued,ithasacceleratedoverthelast6months.Withafewlargecapstructuresjoiningin,wehaveseenanother€32bnofformerHY-bondsjoiningIG-indicesandfurthercompoundingalreadyfavourabletechnicalsintheHYspace.Butthatshouldbeasgoodasitgets.WhiledwarfedbyRisingStars,FallenAngelvolumeshavealsopicked-up(€11bninthelast6m).AndthisiswithoutamajorcontributionfromRealEstatebonds,€8.4bnofwhichremainveryclosetotheHYthreshold. TherushofRisingStarshasalsoreducedthenumberofcandidatesthatweconsiderveryclosetobeingupgradedtojust€13bnandtheyarenowoutnumberedmorethan2:1byequivalentFallenAngelcandidates(€28bn).WhileanimprovingEuropeangrowthoutlookshouldhelpcorporatefundamentals,wedoubtthatthiswillbeenoughtoturnthetide.MorethanhalfofimminentFallenAngelcandidatesoriginateinUtilitiesorRealEstate-bothsectorswithmoretoloseinahigherforlongerinterestratesenvironmentthantogaininamildcyclicalupswing. WeexpecttheFallenAngel/RisingStarbalancetoturnfromatailwindintoamoderateheadwindincomingmonths.WithHYnetsupplyalsolikelytograduallypick-up(seehere)peaktechnicalsupportfor€HY-spreadsshouldbealreadybehindus.WehaveattachedourOutlook/RatingWatchadjustedlistofthetopFallenAngel/RisingStarcandidates. CemKeltek EuropeanCreditStrategist +49-69-910-48370 SteveCaprio HeadofEuropeanandUSCreditStrategy +44-20-754-16176 CarloGeatResearchAnalyst +44-20-754-59511 Distributedon:15/04/202414:17:06GMT DeutscheBankAG IMPORTANTRESEARCHDISCLOSURESANDANALYSTCERTIFICATIONSLOCATEDINAPPENDIX1.MCI(P)041/10/2023.UNTIL19thMARCH2021INCOMPLETEDISCLOSUREINFORMATIONMAYHAVEBEENDISPLAYED,PLEASESEEAPPENDIX1FORFURTHERDETAILS. 7T2se3r0Ot6kwoPa AnunwaveringwaveofRisingStars... RisingStarvolumeshavecontinuedtogrowthisyearandthe€13.1bninMarchevenmarkedthehighestmonthlyRisingStarnotionalwehaveonrecord.Thatwasmostlythanksto€8.6bnofCellnexbondsmovingtoIGwiththeAprilindexrebalancing(Figure1).ButevennowtherearetwoRollsRoyceBonds(€1.3bn)thatareearmarkedtomoveuptoIGwiththenextindexadjustment. FallenAngelsvolumeshavealsopickedupwithMarchmarkingthehighestFallenAngeltotalsinceMay'23.Alsothere,thingsweredrivenbyasingleissuerthoughwith€3.7bnofELObondsconstitutingtheentirecount.AndsimilarlytotheRisingStarbackdrop,thereiscurrentlya€500mnSAURbondalreadyearmarkedtomovetoHYatthebeginningofMay. Overallhowever,RisingStarsoutnumberedFallenAngelsbyfarandthatcontinuestobetrueforalmostanytimehorizonsincethebeginningof2022.In2022,RisingStarsoutpacedFallenAngelsby€17.4bn,2023sawan€12.9bnexcessofRisingStarsandytdwealreadystandat€13.6bn.Particularlyytdthishascompoundedanalreadyfavourabletechnicalbackdropfor€HYand(nexttoinflowsandstilllownetsupply)arguablyhelpedHY-spreadstokeepsomecomposuredespiteanincreasingnumberofdistressedissuers(seelastweek's€-CreditCotWformoreonthis). Figure1:RisingStarsstilloutpaceFallenAngelbutbothhavepickedup FallenAngel-RisingStarNotional;in€bn 5 0 -5 -10 -15 Jan-22Apr-22Jul-22Oct-22Jan-23Apr-23Jul-23Oct-23Jan-24Apr-24FallenAngelsRisingStarsFallenAngels-RisingStars Source:DeutscheBank,S&PGlobal/Markit *FallenAngel/RisingStarclassificationaccordingtoiBoxxindexrules ...andchangedFallenAngelDynamics Belowthesurface,thereisannoteworthytrendinFallenAngeldynamicshowever.Muchoflastyear'sFallenAngelconversationrevolvedaroundapotentiallyhugewaveofRealEstatenamesthatcouldnotbeabsorbedbytheHY-investorbase.ButaswesuggestedinAug'23thosefearshaveprovenlargelyoverblown.RealEstatenamesstillprovidedthemajorityoflastyear'sFallenAngelvolumes,butdowngradepressureinthesectorhaseasedsinceH2'23andthevastmajorityof thisyear'sFallenAngelsoriginatefromtheNon-Financialsspace(Figure2). RisingStarsweredrivenbylargercap-structures(e.gLufthansa,Cellnex)andstemmedfromavarietyofsectors.WhathasremainedarelativelyconstantdriverofRisingStarvolumeshoweverwereBanks,withthreeperipherallendersjoiningthepackinFebruaryandMarch(BancoBPM,BancodeSabadell,IccreaBanca). Figure2:FallenAngelswaveremainsbenignbutdynamicshavechanged 50 40 30 20 10 0 Jan-08Jan-10Jan-12Jan-14Jan-16Jan-18Jan-20Jan-22 Non-FinancialsFinancials 6mrollingFallenAngelNotional,cumulativetotalin€bn Jan-24 Source:DeutscheBank,S&PGlobal/Markit FallenAngeldeterminationbasedoniBoxxindexmethodologyandeligibility;augmentedbyICEBofA€corporateRealEstatebondsforissuesizes<€500m;RealEstateclassifiedasaFinancial NotmanyRisingStarcandidatesleftbehind Thereisaflip-sidetotheRisingStarboomhowever.Aswealreadyflaggedinour2024OutlooktheoverhangofRisingStarshadsignificantlyreducedthenumberofCandidatesveryclosetobeingupgradedtoIGbackthen.ButimminentRisingStarcandidates1stilloutstrippedtheirFallenAngelcounterpartsby€5bnbackthen.Thelatestwavehasacceleratedthetrendandshiftedthebalanceradicallyhowever.AlmostallRisingStarscamefromimminentupgradecandidateswehadidentifiedandwhiletherehavebeenafewnewadditions,thereareonly€13bnofthosecandidatesleft.Atthesametime,theIGnotionalmostexposedtoFallenAngelriskshasincreasedto€28bn(Figure