摩根士丹利-全球信贷：我们关注的内容-Global Credit：What Were Watching-20260928

MorganStanley

September28,202601:39PMGMT

GLOBALCREDITSTRATEGY

GlobalCredit:WhatWe'reWatching

Whatmovedthemarketslastweek?HigherratesvolamidresilientUSdata,hawkishFedrhetonic,higheroilprices,andcontinuedweaknessin

Francehaveweighedoncreditmarkets.Heavyissuanceaddedtothesoftness,withUSHYseeingitssharpestWoWwideningoftheyear.Thisweek'sUSpayrolldata(MSe:+65k)andEuropeaninflationprints(MSe:headline3.7%Y.core2.6%Y)willbeinfocus.

KeyRecommendations:ntheUS,weexpectelevatedyieldstosuppresssecureddatacenterissuanceandbroaderex-Alsupply,wilestrongAl

investmentdemandshouldkeephyperscaler-relatedfinancingresilient.Thatsaid,webelievecorporatedatacenterdebtissuanceislikelytobelessaffectedthanABSisuance,ascorporatefinancingstructuresoffergreaterfexibilitytooptimizeprojecteconomicsthroughpotentiallease

renegotiationspriortostabilization.WealsofavorUSBBloansfortheirattracivecarryandrelativeresilienceinthecurrentrateenvironment.WiththeFrenchBankCDSbasistoiTraxxSeniorFinancialsnowatthe2ywides,wecloseourtradeofbuyingFrenchBankCDSvs.iTraxxSeniorFinancials.However,withFrenchcorporatespreadsoverOATssillradingclosetocycletights,werefreshourscreenofrichestbondsonthismeasure.

USCredit:USIGspreadswidenedby4bplastweek,resultinginanexcessreturnof-0.3%.Thecreditcurvesawbroadbasedwideningacrosstenorswith3-5yrleadingthe,whileBBBsunderperformedacrossratings.MediaandTechunderperformed,whileservicesandenergyheldinbetter.HYspreadswidenedby26bp,resultinginexcessreturnsof-0.7%,withCCCsunderperformingacrossratings.Insuranceandmedia

underperformed,whiletransportandcapitalgoodsheldinbetter.Loanswidened2bp,translatingintoatotalreturnsof-0.02%fortheweek,

outperformingHY(-0.9%).ThewideningwasledbyBBloans.Fundflowswerestrongthisweek,withinflowsacrossIG(+$1.64bn),HY(+$0.55bn),andLoans(+S1.31bn).IGprimarypricedS43bnlastweek.HYsupplyreachedS16bnwhileLoanssawS11bninissuance.YTDsupplynowstandsat$1,813bn(+27%y/y)inIG,S247bn(-3%yly)inHYand$318bn(-11%y/y)inLoans.

EUCredit:EURIGcontinuedtounderperformthisweekwithspreadswideningby3bp,leadingtoexcessreturnsof-0.14%.Thecreditcurvebear-

fattened,whileBBBsunderperformedslightly.Autosandleisurelagged,whileenergyandtelecomsheldinbetter.EURIGfundsrevertedtoinlows,

risingto~$1.3bn(0.18%ofAUM)followingfourconsecutiveweeksofnetoutflows.Thisinflownumberwasliftedbytheadditionofanew$2.6bnfund

tothedataset-excludingthisfigure,EUIGfundswouldhavereportedS1.3bnofnetoutflows.Thatsaid,ETFscontinuedtoreportimprovingnet

inflowsaswell.EURIGbondissuanceslowedslightlytoE15bnlastweek,bringingYTDvolumestoC588bn(+3%yly).EURHYspreadswidened12bp

lastweek,resultinginexcessreturnsof-0.42%,withconcentratedinCCCs.Realestateandinsuranceunderperformed,while

capitalandconsumergoodsheldinbetter.EuropeanHYoutlowsslowedtoS117m(0.1%ofAUM).BothETFsandmutualfundsreportedsmallnet

outlows.EURHYsupplylastweekmaintaineditsmomentumatE7bn,leavingYTDvolumesatE111bn(-7%yly).

AsiaCredit:AsiaCreditspreadswidenedby2bpoverthelastweek,whileAPACCreditspreadswidenedby5bp.InAsiacredit,AsiaIG(+2bp)outperformedAsiaHY(+6bp).Similarly,inAPACcredit,HYspreadwidenedby10bpandIGspreadwidenedby4bp.

ListofRecentPublications:

CreditDerivativesStrategyBrief:CDXHYS47RollPreview

SecuritizedProducts&USCreditStrategy.DataCenterFinancng:FundngStabilizedAssetsinaHigherRateEnvironment

TMTCredit.CleanTechEnergy.Corporate/SecuritizedCreditStrategy:ProjectJupiterDriftsOffOrbit-TheGravityofForceMajeure

Global

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users.

AllinfomationasofSeptember25,2026,unlessotherwiseindicated.

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Foranalystcertificationandotherimportantdisclosures,refertotheDisclosureSection,locatedattheendofthisreport.

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2

MORGAN

STANLEY.RESEARC.H

GlobalCredit:WhatWe’reWatching

September28,2026

TableofContents

KeyRecommendations3

GlobalCreditOverview

GlobalCreditSnapshot10

PerformanceAcrossAssetClasses11

GlobalCreditPercentileRanges12

USCreditLong-TermSpreadsandYields13

EuropeandAsiaCreditLong-TermSpreads14

MacroSentimentIndicators15

CreditSentimentIndicators16

USandEUCredit

Yields,DollarPrices,andIndexQuality18

CurvePerformance19

GlobalCreditDemand20

GlobalCreditSupply22

DebtOutstanding23

MaturityWalls24

DefaultandRatingChanges25

Fundamentals26

CreditDerivatives/DTCCPositioning27

IGBest+WorstPerformers29

IG5-10YCarryandRollDown35

PerformanceacrossCapitalStructure37

SectorPerformance39

Credit/EquityScreen41

AsiaCredit

AsiaCreditDemand46

AsiaCreditSupply47

AsiaMaturityWallandDefaultRate48

AsiaDebtOutstanding49

3

KeyRecommendations

MorganStanleyMORGANSTANLEYRESEARCH

GlobalCredit:WhatWe'reWatching

September28,2026

SupplyOutsideAISectorstoRemainMuted;WeLikeBBLoansforCarry

Positiverealyieldsshouldcontinuetosupportdemandfrominsurersandoverseasinvestors,eveniftheFeddeliversfurtherratehikes,whileimprovingcorporatefundamentalsprovideanadditionaltailwind.Al-relatedissuanceislikelytoremainrelativelyinsulatedfromthemacrobackdropgivenstronginvestmentneeds,butissuanceacrossthebroadermarket

shouldremainsubduedaselevatedfinancingcostscontinuetoweighonnon-AIborrowers(seeReassessingtheFed'sRatePath:WhattheShiftMeansforMarkets).

Hikingcyclestypicallysupportloaninflowsgivenfloating-rateexposure.WefavorBBloansforcarryandrelativeresilience,whileremainingmindfulofindex-levelsoftwareconcentration.ElevatedfundingcostsshouldcontinuetopressureCCCissuers.

Loaninflowshaveacceleratedoverthesummerasyieldsrose;welikeBBloansforcarry

LoanCumulativeFundFlows

(2)

JanFebMarAprMayJunJulAugSepOctNovDec

Source:Lipper,Pitchbook,Bloomberg,MorganStanleyResearch

OutsideofAl-sectors,supplyhasbeenmuted;likelytoremainsoifratesareelevated

YTDIGHYSupply

(Sbn)250200150100

Ex-AI

-18%

0

IGYTD2025IGYTD2026HYYID2025HYYID2026

Source:Dealogic,Pitchbook,Bloomberg,FactSet,MorganStanleyResearch;Note:

EBITDAdatabasedoncurrentreportersasof8/7/26andrepresents80%ofuniverse

(Sbn)

1800

1500

1200

HY-4%

IG+29%

Ex-Al

900

300

600

MorganStanleyMORGANSTANLEYRESEARCH

GlobalCredit:WhatWe'reWatching

September28,2026

5

DataCenterFinancing:FundingStabilizedAssetsinaHigherRateEnvironment

HigherTreasuryyieldscouldslowissuanceofnewsecureddatacenter-backedcorporatedebtandaddtoexistingconstraintsaroundpoweravailability,labor,andpermitting,althoughhyperscaler-relatedfinancingshouldremainrelativelyinsulatedfromrates.CorporatecreditissuancemaybelessaffectedthanABSissuance,ascorporatefinancingstructuresoffergreater

flexibility.Issuerscanpotentiallyrenegotiateleasetermsbeforestabilizationtoimproveprojecteconomics.Dealsbackedbyhigher-qualitytenantsandmeaningfulamortizationmayhavetheABStake-outoption,potentiallyreducingborrowing

costsovertime.However,ifyieldsremainelevated,securitizedmarketsareunlikelytoprovidemateriallylowerfundingcosts,limitingthebenefitofanABSrefinancing.

ManyprojectsappearcapableofachievingABSrefinancingthresholdsovertime,withstabilizedLTVsof40-50%(<70%

threshold)andDSCRsabove1.35x.However,ABSmaybebettersuitedtoissuersseekingtooperatedatacentersoverthelongterm,whilecorporatedebtmarketsmayremainpreferableforissuerslookingforpotentialexitsoverthemediumterm.

WeseeapathfromLTCof>75%towards......LTVsbetween40%and50%

(%)MLA

SelectHYDeals:YTW(%)vs.LTC(%)

12.0%11.0%10.0%9.0%8.0%

7.0%6.0%5.0%

50%60%70%90%100%

Loan-to-Cost(%)

Source:Bloomberg,companyfilings,MorganStanleyResearch.Levelsasof9/22/26EoD.

SelectHYDeals:YTW(%)vs.LTV(%)

(%)ML

12.0%

11.0%

1Q26

10.0%9.0%8.0%7.0%

6.0%

5.0%

20%25%30%35%40%45%50%55%

4Q25

Loan-to-Value(%)

Source:Bloomberg,companyfilings,MorganStanleyResearch.Levelsasof9/22/26EoD.

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STANLEY.RESEARC.H

GlobalCredit:WhatWe’reWatching

September28,2026

EU–ClosingourBuyFrenchBankCDSvs.SelliTraxxSeniorFinancialsTrade

•Sovereignspilloverincreasinglypricedinbycredit:Weakfiscalfooting,adifficult2027budgetpath,election

uncertaintyandadeterioratingratingsoutlookhavebeenourkeyconcerns,withrisingratesgloballyfurtherexertingupwardpressureonFrenchsovereignspreads(seeAComprehensiveFrameworkAheadofFrenchElections).

•Aswearguedbackinthesummer(seehere,hereandhere),FrenchcorporatecredithadlaggedthewideninginOATs.

However,creditmarketshavebeguntoreactedmoreforcefullyinrecentweeks,withFrenchbanksCDSvs.SnrFinsnowat+19bp–the2-yearwides.

•Withmarketshavingpricedinmoreofthedownside,wetakeprofitonourtraderecommendationofbuyingprotection

onFrenchBankCDSversussellingprotectiononiTraxxSeniorFinancials,whichweenteredearlierthissummerat+4bp(seeWhatWe'reWatching,July6,2026).

•Despitetherecentmoves,theFrenchriskpremiumstillappearsmorepronouncedinOATs(tradingatthewidestlevels

since2012),withFrenchcorporatespreadsoverOATstrackingclosetothecycletights.Inthefollowingslides,weupdateourscreensoftightesttradingFrenchbondsrelativetoOATs.

RiskpremiuminFrenchbankseniorCDShascaughtupwiththerecentOATwidening

Frenchissuerriskpremium-PercentilesinceJun2024

100%

80%

100%100%100%97%100%

74%

60%

40%

0%

20%

10YOAT

Sovereign

SnrFins

SubFins

Corps

SnrFins

SnrNon-

Fin

CDS

CashBonds

Frenchvs.OverallIndexSpread

Source:Bloomberg,IHSMarkit,MorganStanleyResearch

ThebasisbetweenFrenchandoverallseniorfinancialshaswidenedsignificantly

FrenchBankSnrsvsiTraxxSnrFins,CDS(bp)

30

25

FrenchCDSwidetoindex

20

15

10

5

FrenchBanksvs.iTraxxSnrFin10YOAT(RH)

FrenchCDStighttoindex

0

-5

Jun-24Dec-24Jun-25Dec-25Jun-26

Source:Bloomberg,IHSMarkit,MorganStanleyResearch

105

100

95

90

85

80

75

70

65

60

55

50

45

40

MORGAN

STANLEY.RESEARC.H

GlobalCredit:WhatWe’reWatching

September28,2026

7

EU–SingleARatedFrenchcorporateswiththetightestspreadstoOATs

WeprovideascreenofFrenchcorporateswiththetightestspreadstoOATs.

SpreadtoOAT(bp)

15y+10-15y7-10y5-7y3-5y1-3y

SecuritySectorCompositeRtgYield(%)OAS(bp)CurrentΔJun-26

A

EDENFP13/806/18/29FinancialServicesA33.284-22-68

FRPTT25/809/14/28TransportationA22.94293-11

TTEFP03/407/12/28EnergyA12.973210-9

SUFP01/403/11/29CapitalGoodsA22.993511-7

DSYFP03/809/16/29Technology&ElectronicsA23.063812-10

ENXFP03/405/17/31FinancialServicesA33.0512-30-33

ACAFP3.38707/22/31BankingA13.2136-14-29

TTEFP13/810/04/29EnergyA13.0521-10-29

AIRFP21/810/29/29CapitalGoodsA12.9826-6-16

LRFP03/810/06/31CapitalGoodsA33.2241-4-21

LRFP17/807/06/32CapitalGoodsA33.2922-28-46

ARRFP11/201/17/33TransportationA33.5834-17-58

AIRFP23/804/07/32CapitalGoodsA13.2837-13-31

AIFP03/809/20/33BasicIndustryA23.4845-11-32

SUFP31/410/10/35CapitalGoodsA23.6445-25-36

MLFP33/805/16/36AutomotiveA23.7453-18-32

AIFP31/203/21/35BasicIndustryA23.5850-18-29

FRPTT05/801/18/36TransportationA23.8553-17-44

RTEFRA31/210/02/36UtilityA33.8959-13-39

ENXFP11/205/17/41FinancialServicesA34.1947-24-41

MLFP21/209/03/38AutomotiveA23.9447-23-38

TTEFP1.61805/18/40EnergyA14.1451-19-39

RTEFRA37/811/24/37UtilityA34.0161-11-39

LIFP33/409/30/37RealEstateA34.0170-2-31

RTEFRA11/809/09/49UtilityA34.4649-18-33

TTEFP3.85203/03/45EnergyA14.4666-8-36

ENFP53/806/30/42BasicIndustryA34.43867-28

SNCF07/802/28/51TransportationA14.648317-11

8

EU–BBBRatedFrenchcorporateswiththetightestspreadstoOATs

WeprovideascreenofFrenchcorporateswiththetightestspreadstoOATs.

SpreadtoOAT(bp)

15y+10-15y7-10y5-7y3-5y1-3y

SecuritySectorCompositeRtgYield(%)OAS(bp)CurrentΔJun-26

BBB

URWFP11/202/22/28RealEstateBBB12.9816-1-26

ENGIFP13/802/28/29UtilityBBB13.04295-18

VIEFP11/204/03/29UtilityBBB13.13317-24

SWFP104/27/29ServicesBBB23.213410-29

AKEFP03/412/03/29BasicIndustryBBB13.204113-20

RIFP07/810/24/31ConsumerGoodsBBB13.3644-3-33

BNFP0.5211/09/30ConsumerGoodsBBB13.20425-19

ORAFP35/811/16/31nsBBB13.375610-21

SGOFP17/803/15/31BasicIndustryBBB13.335410-21

VIEFP01/210/14/31UtilityBBB13.466216-25

BNFP3.07109/07/32ConsumerGoodsBBB13.45500-32

ENGIFP17/809/19/33UtilityBBB13.70603-40

ORAFP05/812/16/33nsBBB13.61613-27

EDF55/802/21/33UtilityBBB13.54646-25

VIEFP15/809/21/32UtilityBBB13.62577-41

ENGIFP110/26/36UtilityBBB13.8358-11-31

VIEFP61/811/25/33UtilityBBB23.6056-8-35

ORAFP37/809/11/35nsBBB13.8065-5-33

SGOFP35/808/09/36BasicIndustryBBB13.9668-4-38

FDJFP35/811/21/36LeisureBBB13.9769-3-35

ENGIFP13/806/21/39UtilityBBB14.1458-10-38

ORAFP33/405/13/38nsBBB14.0369-4-30

ADPFP21/810/11/38TransportationBBB14.1867-2-41

RIFP33/402/04/37ConsumerGoodsBBB14.10720-43

URWFP205/29/37RealEstateBBB14.08743-34

ORAFP41/811/13/45nsBBB14.4668-6-32

ENGIFP41/209/06/42UtilityBBB14.47812-37

URWFP13/407/01/49RealEstate