Opportunities through the market cycle
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1 Summit Series Forums 2017 Opportunities through the market cycle Darrin Smith, CFA High Yield Portfolio Manager Randy Woodbury, CFA Investment Grade Portfolio Manager
2 Key takeaways We are not as late in the credit cycle as many people fear Investors may be well compensated for constructing portfolios with structural carry advantages. Down-capital-structure securities are one of those options 2
3 Are we really in the late stages of the credit cycle?
4 What does late cycle actually mean and look like? Strong credit metrics, trending better cycle top Strong but weakening credit metric trends Weak credit metrics but on an improving trend Source: JP Morgan CREDIT CYCLE cycle bottom Weak credit metrics which continue to trend down 4
5 Is a recession imminent? 70% Probability of a Recession 60% 50% 40% 30% 20% 10% 0% US Recessions Average Recession Probability Signal Level 1 5 As of 24 August 2017 Source: Principal Global Investors 1 We define a recession signal as a reading above this line. The line is the long term average.
6 Have default rates picked up yet? LTM default rate Based on number of issues LTM upgrade-to-downgrade ratio Based on par amount 6 As of September 2017 Source: Citi Research
7 Are financial covenants worsening? U.S. cov-lite loan issuance ($billion) European cov-lite loan issuance ( billion, cov-lite as share of institutional debt %) 7 As of September 2017 Source: Citi Research
8 Have corporate profit margins turned? 33 High Yield Margins Investment Grade Margins Mar 98 Mar 00 Mar 02 Mar 04 Mar 06 Mar 08 Mar 10 Mar 12 Mar 14 Mar 16 8 As of 30 June 2017 Source: BofA Merrill Lynch, JP Morgan
9 Are leverage and interest coverage cracking? Investment grade net leverage Investment grade interest coverage 9 As of 12 July 2017 Source: JP Morgan
10 Are leverage and interest coverage cracking? U.S. high yield net leverage U.S. high yield interest coverage 10 As of September 2017 Source: Citi Research
11 Is access to capital more difficult? CCC price vs trailing 12-month default rate Federal Reserve senior loan officer survey 11 As of September 2017 Source: Citi Research, Moody s
12 What opportunities are available in such a split environment?
13 The case for banks: Liquidity and capital Cash on balance sheets Bank capital ratios have increased 13 As of 3 October 2017 Source: Barclays Research
14 The case for banks: Liquidity and capital 14 As of October 2017 Note: Reflects banks supervised by ECB Source: Imperial Capital, LLC
15 The case for banks: Nonperforming loans 15 As of October 2017 Note: Reflects banks supervised by ECB Source: Imperial Capital, LLC
16 16 Bank capital structure US$ Billions Outstanding 3,000 2,500 2,000 1,500 1, , Bank Capital Stack 19 Less risky More risky Covered Bonds Senior Unsecured Lower Tier 2 Legacy Tier 1 Preferred Contingent Capital Yield to-worst Description 0.35% Secured claim on a pool of assets plus a senior unsecured claim. To date, no covered bond in the market has ever suffered a loss. 2.66% Highest level unsecured claim. Non-deferrable. 2.96% Unsecured claim that is subordinated to senior debt. Non-deferrable form of regulatory required capital. 3.64% Legacy instruments that are deferrable and generally non-cumulative. Being phased out of regulatory capital due to low ability to absorb losses. 1.86% Perpetual instruments that count toward regulatory capital in the U.S. Deferrable and non-cumulative. 5.15% Instruments issued in different host securities with differing rank. All are written down or converted to equity at varying capital trigger levels. Additional Tier 1 securities have discretionary and mandatory coupon suspension language. As of 30 June 2017 Source: Principal Global Investors 1 Barclays Global Covered Bond Index; 2 Barclays Investment Grade Banking Senior Index; 3 Barclays Global Capital Securities Lower Tier 2 Index; 4 Barclays Global Capital Securities Tier 1 Index; 5 Bank of America Merrill Lynch Fixed Rate Preferred Securities Index; 6 Barclays Global Contingent Capital Index The potential yield increases associated with investing further down the capital structure may result in an increased level of risk
17 How high yield and investment grade utilize bank debt in this environment Yield difference between USD CoCos and U.S. single B s 17 As of February 2017 Source: Barclays Research
18 How high yield and investment grade utilize bank debt in this environment YTD total return AT1/LT2 spread ratio 18 As of 28 September 2017 Source: Barclays Research
19 Thank you
20 Important Information Unless otherwise noted, the information in this document has been derived from sources believed to be accurate as of October Information derived from sources other than Principal Global Investors or its affiliates is believed to be reliable; however, we do not independently verify or guarantee its accuracy or validity. Past performance is not necessarily indicative or a guarantee of future performance and should not be relied upon to make an investment decision. The information in this document contains general information only on investment matters. It does not take account of any investor s investment objectives, particular needs or financial situation and should not be construed as specific investment advice, an opinion or recommendation or be relied on in any way as a guarantee, promise, forecast or prediction of future events regarding a particular investment or the markets in general. All expressions of opinion and predictions in this document are subject to change without notice. Any reference to a specific investment or security does not constitute a recommendation to buy, sell, or hold such investment or security, nor an indication that Principal Global Investors or its affiliates has recommended a specific security for any client account. Principal Financial Group, Inc., Its affiliates, and its officers, directors, employees, agents, disclaim any express or implied warranty of reliability or accuracy (including by reason of negligence) arising out of any for error or omission in this document or in the information or data provided in this document. Any representations, example, or data not specifically attributed to a third party herein, has been calculated by, and can be attributed to Principal Global Investors. Principal Global Investors disclaims any and all express or implied warranties of reliability or accuracy arising out of any for error or omission attributable to any third party representation, example, or data provided herein. All figures shown in this document are in U.S. dollars unless otherwise noted. Indices are unmanaged and do not take into account fees, expenses and transaction costs and not available for direct investment. Probability of recession is based on a logistic regression model and is subject to error as observations may differ from their expected value. As with any statistical model it provides an estimate of future performance and results can vary. More information on the internal probability model is available on request Principal Financial Services, Inc. Principal, Principal and symbol design and Principal Financial Group are registered trademarks and service marks of Principal Financial Services, Inc., a Principal Financial Group company. Principal Global Investors leads global asset management at Principal 20
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