AxessPoint: BBB-rated corporate bond activity through the crisis

AxessPoint - BBB-rated corporate bond activity through the crisis image.jpg

Highlights

  • BBB-rated activity has grown substantially through 2020, rising from 32% to 37% of TRACE as of February 2021.
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  • During the crisis period, BBB bid-ask spreads rose more and remained elevated longer than other Investment Grade ratings.
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Overall growth in trace-reported activity

This universe of bonds with S&P ratings of BBB+, BBB, or BBB- appearing on TRACE in 2020 grew 6.5% vs 2019, to a new high of 11,353 unique CUSIPs. The total amount of outstanding debt on these bonds grew from $3.7T to $4.9T with the largest new issues coming from Pemex, AT&T, T-Mobile and AbbVie.

Volume Share of TRACE by S&P ratingVolume share of TRACE.jpg

BBB volume grew from $244.6B in February 2020 to $308.4B in February 2021 – a 26% increase YoY. This pushed its TRACE volume share by rating from 32.2% in February 2020 to 37.0% in February 2021, hitting a high of 37.9% in October 2020. Trade count grew by 14% from 494,327 to 564,381 and average trade size increased by 10% to $546k.

Comsposite+™ bid/ask spread by S&P rating

Bid/Ask spreads widened considerably across all ratings in March 2020, with BBB bonds hitting 8.73bps – higher than any other rating bucket. Although BBB bonds spiked higher than their counterparts, they recovered much more quickly than high yield bonds and dropped back down to pre-crisis levels within a year.CP Plus Spread Rating.jpg

Uncapped TRACE from MarketAxess

Using an intelligent mapping engine, the uncapped TRACE report has been linked to the original trade records as an add-on to the standard Corporates and 144a feed. This provides accurate trade-level information for transactions that were previously capped, going all the way back to the inception of the feed in July of 2002.

For questions or follow-up, email our data scientists at research@marketaxess.com.