The average credit quality of the issuers
From the industry structure it becomes obvious that the average credit quality of the issuers in the US investment grade market is lower than in the Euro corporate bond market. The current rating of the Euro market is A, whereas it is only A_ in the US market. Over the last 5 years this differential has fluctuated between 1 and 2 notches. This helps to explain the wider spreads generally observed in the US corporate bond market. Additionally, US corporate bond spreads have been substantially more volatile than their Euro peers. Especially in times of weak equity markets and rising implied equity volatility the US market tends to underperform.
This is due to the fact that lower rated bonds are usually closer to the default threshold. Therefore, the put option on the assets of the company is more sensitive to changes in equity price and volatility.