Aggiornamento sull'andamento del default rate secondo Moody's: continua l'ascesa dei default verso il picco di ciclo, che sarà toccato - in base alle stime dell'agenzia - nel trimestre in corso, a seguito del quale si tornerà a scendere verso le medie storiche del default rate...
Globalmente, a fine settembre siamo al 12% (era al 10,6% alla fine del trimestre precedente), con un target di picco al 12,5% in questo trimestre ed un successivo calo nel prossimo anno. Negli USA a fine settembre siamo al 12,9%, contro l'11,5% di fine giugno, con target di picco al 13,5% in questo trimestre e calo nel prossimo anno. In Europa siamo al 9,3%, eravamo al 6,3% a fine giugno, andiamo a fare picco al 10,9% nel trimestre attuale per poi scendere nel prossimo anno.
Il distressed index, migliore anticipatore del futuro andamento dal comparto, è ulteriormente migliorato, scendendo al 28,1% a fine settembre contro il 36,3% di fine giugno.
Noto come ciò continui a significare tuttavia che fra 1/4 ed 1/3 degli emittenti HY hanno 1 possibilità su 2 di defaultare nel biennio prossimo, e faccio notare anche come il miglioramento di questo indice sia in rallentamento, e si esaurirà del tutto dovesse riprendere con una qualche consistenza un'aspettativa di rialzo dei tassi nei principali paesi occidentali...
Il drastico calo dei tassi ha soltanto contenuto fra la frana dei default impedendo che essa assumesse dimensioni colossali e diluendola nel tempo... ai primi movimenti al rialzo dei tassi, anche il distressed index tornerà a salire e riporterà verso l'alto il default rate....
Moody's: Default rate moves up but pace of defaults slows in recent months
New York, October 07, 2009 -- The trailing 12-month global speculative-grade default rate finished at 12.0% in the third quarter of 2009, up from a level of 10.6% in the previous quarter, said Moody's Investors Service in its latest monthly default report. A year ago, the global default rate stood at only 2.8%.
The rating agency's default rate forecasting model now predicts that the global speculative-grade default rate will rise to a peak of 12.5% in the fourth quarter of this year and then decline sharply to 4.5% a year from now.
"Moody's baseline model forecast for sharply declining default rates over the next year assumes a sustained modest economic recovery with the U.S. unemployment rate reaching a peak of 10.5% in 2010," said Moody's Director of Corporate Default Research, Kenneth Emery.
"The forecast is consistent with previous credit cycles where, prior to the 1991 and 2002 peaks, default rates declined to close to their long-run historical average of roughly 5% in the following 12-18 months," adds Mr. Emery.
The U.S. speculative-grade default rate ended the third quarter at 12.9%, up from 11.5% in the second quarter, while in Europe the default rate rose to 9.3% from 6.4%. At this time last year, the U.S. and European default rates stood at 3.2% and 0.7%, respectively.
In all, a total of 50 Moody's-rated corporate debt issuers defaulted in the third quarter, down from 89 in the first quarter and 83 in the second quarter. Last year, only 62 defaults were recorded in the first three quarters of the year.
Measured on a dollar volume basis, the global speculative-grade bond default rate closed at 18.1% in the third quarter, up from 16.5% at the end of the previous quarter. Last year, the global dollar-weighted default rate was much lower at 2.6%.
Among U.S. speculative-grade issuers, the dollar-weighted speculative-grade bond default rate ended the third quarter at 19.5%. The comparable rate was 18.4% in the prior quarter and 2.9% a year ago.
For U.S. speculative-grade issuers, Moody's forecasting model predicts that the default rate will peak at 13.5% in the fourth quarter before declining sharply to 4.4% by the third quarter of 2010.
Overall, the Automotive industry was the worst performer in the third quarter as seven companies in that sector defaulted. The Advertising/Publishing/Printing Media industry followed closely behind with six defaults. Across regions, 39 of the Q3 defaulters were based in North America while eight were from Europe. The remaining defaulters were domiciled in South America and Asia.
Across industries over the coming year, Moody's default rate forecasting model indicates that the Consumer Transportation sector will be the most troubled in the U.S. and the Durable Consumer Goods sector will have the highest default rate in Europe.
Moody's speculative-grade corporate distress index -- which measures the percentage of rated issuers that have debt trading at distressed levels -- stood at 28.1% at the end of the third quarter, down from 36.3% in the previous quarter. A year ago, the index stood at 26.8%.
In the leveraged loan market, a total of 19 Moody's-rated loan defaulters were recorded in the third quarter, sending the year-to-date loan default count to 94. All but one of the third quarter's loan defaulters were North American issuers. Last year, only nine loan issuers defaulted in the third quarter, all by North American issuers. The trailing 12-month U.S. leveraged loan default rate ended the third quarter at 9.9%, up from 8.8% in the previous quarter and 3.0% from a year ago.
Moody's "September Default Report" is now available -- as are Moody's other default research reports -- in the Ratings Analytics section of Moodys.com.
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