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€IG Q4 Credit Metrics

CREDIT MACRO

Credit metrics on Bloomberg Indices for Q4; €IG* Leverage for €IG corp's were little changed at 3.6* (vs. 3.5* last qtr).

  • Only notable sector was consumer cyclicals that de-levered from 3.8* to 3* (now at levels from 1Q22).
  • Coverage ratios fell by 2* to 9.6*.
  • Against $IG reported metrics (which are a tad cleaner given trimmed means vs. unadjusted for us) we do look worse given at historic peaks.
  • Hard to translate that directly to spreads - avg. cash price on both indices has moved in tandem (to ~93) but we've had vol in index maturity/duration - initially higher during Covid/rate cuts & now lower to 5.5/12.5yrs - hence cautions delving too far into cross-currency cash index comparisons.
  • On Equal tenor (3-5yr) comparisons (below) we see €IG trading even more wider to $IG (vs. historical).

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Credit metrics on Bloomberg Indices for Q4; €IG* Leverage for €IG corp's were little changed at 3.6* (vs. 3.5* last qtr).

  • Only notable sector was consumer cyclicals that de-levered from 3.8* to 3* (now at levels from 1Q22).
  • Coverage ratios fell by 2* to 9.6*.
  • Against $IG reported metrics (which are a tad cleaner given trimmed means vs. unadjusted for us) we do look worse given at historic peaks.
  • Hard to translate that directly to spreads - avg. cash price on both indices has moved in tandem (to ~93) but we've had vol in index maturity/duration - initially higher during Covid/rate cuts & now lower to 5.5/12.5yrs - hence cautions delving too far into cross-currency cash index comparisons.
  • On Equal tenor (3-5yr) comparisons (below) we see €IG trading even more wider to $IG (vs. historical).