Portafogli e Strategie (investimento) Dal Flight to Quality all'HY: nove mesi "after-Lehman", is debt back ? (vol. V)

[Alobar]

SI FERMA LA MACCHINA DEGLI HIGH YIELD (M.Longo)

Interessante articolo di ieri sul Sole24ore:

 

[Imark]

Fitch si aspetta una stabilizzazione del default rate per le società rilevate mediante LBO in Europa negli anni scorsi, ma postula una nuova ondata di default a partire dal 2012-2013, causa strutture del capitale non sostenibili e debolezza della ripresa economica che potrebbe incidere sulla reale possibilità di attuare politiche di riduzione della leva finanziaria...

Peraltro il rating della gran parte di queste società resta molto basso, a livello B- o inferiore.

Fitch: European LBOs Still Face Medium-term Default Risk, Despite Signs of Stabilisation

15 Feb 2010 3:00 AM (EST)

Fitch Ratings-London-15 February 2010: Fitch Ratings says that default rates for European leveraged buyouts (LBOs) are expected to show some stabilisation in H2 2010. However, many credits still have unsustainable capital structures and, given the high level of low rated transactions, a second medium- to longer-term wave of defaults in the sector by 2013, when widespread maturities come due, cannot be ruled out.

"LBO business plans remain susceptible to the effects of a weak economic recovery, which could lead to stalled de-leveraging and heightened refinancing risks from 2012 onwards when many bullet repayment tranches will start to fall due," said Pablo Mazzini, Senior Director at Fitch's European Leveraged Finance group.

Given that the primary leveraged bank loan and securitisation markets are constrained to provide funding for leveraged borrowers, medium-term refinancing risk for existing borrowers remains high as they are unlikely to generate sufficient free cash flow to repay debt when maturities come due.

Debt amortisation for Fitch's portfolio of 293 privately shadow-rated leveraged credits will increase to a yearly aggregate average of EUR48bn between 2013 and 2016, from a more manageable EUR6.5bn in 2010. Fitch also estimates that average leverage multiples will remain high by end-2012 at 4.6x (senior)/6.1x (total). For the 157 credits rated 'B-*' and 'CCC*' leverage is expected to be even higher at 5.2x (senior)/7.2x (total).

In terms of credit performance, in the last 12 months to January 2010, the ratio of rating downgrades to upgrades declined gradually to 5.7x from a high of 15.9x in LTM at August 2009. Since September 2009, Fitch has recorded 89 affirmations (64% of all rating actions), 31 downgrades (of which 10 were consummated defaults) and 18 upgrades.

Positive rating actions were usually driven by a combination of resilient business models generating operating profits, which, combined with early debt redemptions, contributed net de-leveraging progress. Fitch reiterates that the market may bifurcate between resilient credits that continue to deleverage and those that do not, or do so more slowly (see the agency's latest European Leveraged Credit review, published in October 2009 and available at FitchResearch).

The share of low ratings remains high in Fitch's European leveraged credit portfolio, implying that legacy capital structures remain unsustainable in the medium- to long- term, notwithstanding recent operating performance stabilisation and the expectation of extended economic recovery. Out of 293 shadow-rated credits, 18.2% were rated CCC* (or below) at the end of January 2010, slightly down from 20.1% in September 2009.

The proportion of B-* rated (or below) remains at an all-time high of 61%.
LTM default rates as of end-Q409 were 7.5% by deal count (versus 1.8% in 2008) and 6.7% by debt volume (2.1% in 2008). Cumulatively, they were 9.3% and 8.7% respectively since the onset of the credit crisis in 2007.

Cumulative default rates are likely to rise to 15%-20% by the end of 2010 driven by the share of 'C*' and 'CC*'-rated credits (18 in total) as they are restructured. Fitch expects the rate of defaults to stabilise by end-2010, based on current expectations for the strength of the current economic recovery and potentially enhanced financial flexibility driven by heavy cost restructuring measures across most sectors.

Such stabilisation is also expected to be helped by timely equity investments from sponsors as they strive to alleviate short-term stresses on credits with proven business models.

The question remains whether greater volumes of new money will be required to fund LBO business plans post-recession and, crucially, if this additional funding will be reliant on successful discussions between senior creditors and often out-of-the-money mezzanine and junior debt providers.

Meanwhile, risk appetite has returned in the capital markets with record issuance of high-yield bonds (EUR29.3bn in 2009) and some prospective equity-raisings via IPOs. Notwithstanding the market risk inherent in such funding sources, Fitch warns that not all leveraged credits will necessarily be able to access the capital markets by virtue of their small size and/ or impaired financial performance in the wake of the recession.

 

[Imark]

Primi segnali di indebolimento del mercato HY USA rilevati da Fitch: numerose le nuove emissioni ritirate o ridimensionate, e molte anche quelle recenti che sono passate a scambiare sotto la pari sul mercato secondario...

Si è inoltre bloccato, come già segnalato, l'inflow di capitali nei fondi specializzati nei bond HY, con la forte inversione di tendenza registratasi nell'ultima settimana. Contestualmente, e non a caso forse, si è bloccato l'outflow da altre classi di fondi investiti in asset a minor rischio.

Fitch: Signs Point to Potential Slowdown in U.S. High Yield Market Following Strong Start

16 Feb 2010 11:08 AM (EST)

Fitch Ratings-Chicago-16 February 2010: The U.S. high yield market has remained strong during the first part of 2010 with new issuance exceeding $25 billion during the first six weeks of the year, but some potential warning signs are beginning to appear that could signal a reversal, according to Fitch Ratings.

Fitch notes that in recent weeks fund flows into high yield mutual funds have slowed significantly, several new issues have begun trading below their issue price in the secondary market, and numerous recent deals have been either downsized or pulled from the market altogether.

During the week ending Wednesday, Jan. 27, 2010, high yield mutual funds experienced the first outflow of funds dating back to mid-August 2009.

Although the outflow was small, it followed 22 consecutive weeks of inflows totaling in excess of $8 billion. During the subsequent week ending Wednesday, Feb. 3, 2010, inflows were just barely in positive territory before turning sharply negative (in excess of $1.0 billion) during the week ending Wednesday, Feb. 10, 2010.

Fitch believes these figures could be a signal that investors are beginning to consider the risk/reward trade-off to be less attractive in the high yield market, particularly given the specter of higher interest rates in the coming weeks.

In addition to high yield mutual fund outflows, the flow of money out of low-risk money market funds has begun to slow noticeably. As of Feb. 10, 2010, money market fund assets stood at approximately $3.2 trillion, according to the Investment Company Institute, down less than 3% from $3.29 trillion at the end of 2009, representing a noticeable slow down in outflows to other asset classes.

By comparison, money market fund assets stood at $3.84 trillion at the end of 2008. Fitch believes this also could be an indication that investors are becoming more risk averse in their investment behavior in recent weeks.

Fitch notes that several recently issued high yield bonds have begun trading below their issue price soon after clearing the market in recent weeks, an indication of softening demand. The frequency of this phenomenon has been increasing, with several new deals that priced during the week of Feb. 8, 2010, falling below the issue price within one or two days of pricing.

While most of these deals were not heavily oversubscribed and one was actually downsized, this could be a sign that investor appetite for high yield assets is beginning to wane.

An additional warning sign that the high yield market could be headed for a reversal is the increasing number of downsized or pulled deals. At least three deals were downsized between Jan. 20, 2010 and Feb. 9, 2010.

Although each of these deals was downsized by just $50 million, it was the first time the high yield market has experienced this occurrence in several months. Pulled deals have become even more prolific in recent weeks.

Beginning with the $1.75 billion issue by Energy Transfer Equity LP (ETE) on Jan. 22, 2010, the frequency of pulled deals has quickened in recent weeks. In fact, Fitch estimates at least five additional deals were pulled from the high yield market since the ETE deal was postponed, almost all citing unfavorable market conditions. Fitch also believes that numerous companies that were considering issues but had not yet announced deals have also put their issuance plans on hold.

The high yield market has had a significant run-up since the first quarter of 2009, with total returns in excess of 50% and total new issuance of more than $150 billion during 2009. But the warning signs that the market could be coming under pressure are increasing. The degree to which this occurs will be a function of the direction of interest rates, future economic news, and investor risk tolerance levels.

For additional information on the leveraged finance markets, Fitch publishes the Fitch Leveraged Finance Weekly every Friday. The Leveraged Finance Weekly is available on Fitch's web site at 'www.fitchratings.com'.

 

[Imark]

Di fino questa analisi di Fitch sul moltiplicarsi delle emissioni di bond HY senior secured, che spesso sostituiscono i leveraged loans delimitando l'esposizione bancaria sui temi speculativi. Mentre chi scrive è balzato velocemente alle conclusioni che il periodo corrente sia tempo guadagnato alle banche per allontanarsi dal rischio HY, Fitch si sofferma su altri aspetti del fenomeno, notando giustamente come l'emittente HY che emette bond senior secured guadagna tempo rispetto al problema di rifinanziarsi, ma non opera per risolverlo.

Infatti, i bond senior secured sono più costosi dei vecchi leveraged loans (e ciononostante le banche preferiscono stare fuori dal comparto piuttosto che incrementare il costo dei loans: altro elemento su cui riflettere...) e dunque la loro emissione rende più arduo il deleverage per gli emittenti HY.

Peraltro, emittenti il cui modello di business non mostri una certa stabilità anche in contesti congiunturali negativi sembrano ancora oggi tagliati fuori in Europa dall'emissione di bond HY senior secured. E cmq già nel prossimo futuro, secondo Fitch, solo quegli emittenti il cui impianto debitorio appaia sostenibile nel tempo,o che abbiano in carico soltanto debito senior secured generato in precedenza saranno presumibilmente in grado di rifinanziarlo.

Diversamente, gli altri emittenti HY saranno costretti a fare deleverage per facilitare il rifinanziamento di debito senior unsecured o subordinato e sperare che una crescita del risk appetite consenta loro di abbattere il leverage mediante IPO o cessioni di asset. Insomma, gli emittenti con le gambe più corte saranno costretti a fare il passo più lungo se non voglio vedersi preclusa la possibilità di rifinanziarsi, e confidare che la tolleranza al richio torni su livelli pre-Lehman.

Interessanti le considerazioni, già fatte qui da noi, che inducono Fitch a preferire in caso quegli emittenti HY che presentino contestualmente leveraged loans e bond HY senior secured (e quindi verso i quali permanga una esposizione del credito bancario) rispetto a quelli in cui i bond HY senior secured intervengano in mera sostituzione dei leveraged loans (per cui le banche si chiamano fuori). Anche perché i pacchetti di covenant di garanzia per i creditori possono essere differenti: quelli dei loans bancari normalmente basati su test trimestrali di conservazione di certi livelli nella metrica finanziaria dell'emittente, quelli dei bond HY senior secured non di rado basati sullo scattare di certe garanzie solo in caso intervenga il superamento di determinati parametri (sempre con riferimento ad elementi di metrica finanziaria dell'emittente: leverage, FFO o FCF/net debt ecc).

I primi sono considerati da Fitch idonei a garantire un recovery più elevato rispetto ai secondi, per cui la sostituzione di debito con maintenance based covenats con solo debito con incurrence based covenants può innescare riduzioni di rating da imputare a revisioni al ribasso del recovery atteso per i detentori di debito.

PS: interessanti molte cose nel report, a partire dalla tabella sull'ammontare di debito HY in scadenza nei prossimi anni, che da sola vale un'occhiata...

Fitch: Senior Secured Bond Issuance May Buy Time, But Not Mitigate Leverage

18 Feb 2010 4:11 AM (EST)

Fitch Ratings-London-18 February 2010: Fitch Ratings says in a report published today that the trend towards senior secured bond issuance represents a potential long-term funding alternative towards a more diversified investor base as well as a credit market of last resort for those borrowers in need of covenant headroom and maturity extension. However, such issuance will not necessarily resolve an issuer's leverage and could lead to a deterioration of certain credit metrics.

As some traditional senior secured bank lenders and collateralised loan obligation managers are constrained by legacy exposures, de-leveraging pressures, stricter lending criteria and funding issues, investors are reviewing whether senior secured bond issuance could provide a solution to Europe's several hundred billion Euro leveraged credit refinancing cliff.

"The issuance of senior secured bonds to refinance shorter-dated senior secured loans would certainly buy time for an issuer, but it does not in itself address the underlying issue of leverage," says Cecile Durand-Agbo, a Director in Fitch's Leveraged Finance group. "While near term refinancing risk may be addressed, free cash flow and interest coverage may deteriorate given the higher coupon of senior secured bonds - typically between 7-11% - compared to legacy peak-of-the-cycle floating rate senior loans priced at 250-350bps over LIBOR."

Not all European leveraged borrowers will be willing, or able, to accept the higher pricing and prepayment restrictions inherent in longer term fixed rate bonds. In fact, the initial wave of senior secured bond issuance has been concentrated mainly around legacy high yield issuers with proven business models through the worst of the recession, such as Virgin Media Inc. ('BB-'/'B'/Positive) and Smurfit Kappa Group ('BB'/Stable).

Fitch anticipates that in the near-term only leveraged issuers with accommodative capital structures or balance sheets with only senior secured legacy debt will be likely to attempt senior secured bond refinancing. Otherwise borrowers and their financial sponsor owners will have to focus on deleveraging towards primary market levels of leverage to facilitate a refinancing of outstanding senior and subordinated debt, or hope that risk appetite improves further in equity and credit markets such that there are more debt exit options available, including IPOs and/or strategic sales.

The report also addresses the rating impact of senior secured bond issuance and the key credit considerations. For example, the rating impact may be limited if the debt quantum does not change and particularly if the benefit of the reduction in short-term refinancing risk is counterbalanced by higher interest costs leading to lower FCF generation and slower deleveraging in the medium term.

Furthermore, in cases of structures where senior secured bonds and loans co-exist on an equal basis, it will be important for investors to examine the specifics of the security package granted to the two instruments (as there may be exclusions for the bonds), as well as voting and acceleration rights in relation to the security. However, unless the two instruments have materially and significantly different security packages, the agency is unlikely to assign differentiated Recovery Rates and instrument ratings.

This is largely because it is difficult to reflect such differentiation in the terms of the instrument through Fitch's Recovery Ratings, which represent a range of expected recoveries in bands of up to 20%.

In contrast, for issuers which replace senior secured loans in their entirety with senior secured bonds, and consequently the previously quarterly maintenance financial covenant tests are changed to incurrence-based covenants, this may negatively affect the recovery assumptions used in Fitch's recovery analysis, resulting potentially in a lower rating.

The full report, entitled "Senior Secured Bond Issuance: Buys Time, But May Not Solve The Problem of Leverage", is available on Fitch's website, FitchResearch.

 

[Imark]

Intanto le cartolarizzazioni USA come source di liquidità al sistema finanziario restano fuori gioco: prevista una leggera crescita dai modestissimi livelli del 2010, ma la macchina del debt is money rimane imballata.

Impressionante il dato dei downgrades effettuati lo scorso anno sulle tranche di CDO's...

Moody's Global CDO Outlook: expect more stable ratings, some new issuance in 2010

New York, February 23, 2010 -- A gradually stabilizing global economy, improving performance trends for most underlying assets, and the completion of Moody's efforts to bring ratings to a point of stability, will lead to less ratings volatility for most CDOs and derivatives in 2010, says Moody's Investors Service in its Global CDOs and Derivatives 2009 Review and 2010 Outlook.

However, ratings of CDO's linked to mortgage-backed securities will continue to face significant downward pressure in light of the continuing credit stresses in the RMBS and CMBS markets.

In the stabilized environment, new issuance may pick up modestly from the deeply depressed levels of 2009, particularly in the CLO and SME sectors, and will likely consist of less complex structures.

Rating Actions

"In view of the likelihood of a sluggish economy, below-potential growth, and still higher-than-average corporate default rates, we continue to see some pressure on the performance of assets backing most derivative sectors in 2010," says Moody's VP-Senior Analyst and co-author Jun Kim. "However, because of the extensive rating actions we have already taken in recognition of the likely deep recession and subsequent slow recovery, Moody's ratings of the liabilities issued from most CDO sectors are expected to exhibit more stability."

During 2009, primarily in rating sweeps, Moody's downgraded 9,812 tranches within 2,643 CDOs, affecting about 69% of all tranches and 76% of Moody's rated CDOs outstanding at the beginning of that year.

As Moody's model-projected global speculative default rate is expected to fall to 3.4% in December 2010, as compared to a rate of 13.0% in December 2009, the default rate of the corporate assets underlying most CDOs is anticipated to decline -- this will bolster the performance of the rated CDO notes. However, the fundamental rating outlooks continue to be more often negative than positive across the corporate sectors, an indication that the credit quality of the assets backing CDOs is likely to continue a downward drift overall.

Further, the residential and commercial real estate sectors continue to face significant credit stress. In particular, Moody's recently increased loss projections of a wide range of RMBS assets, especially in the 2005 vintage, and placed a significant number of RMBS securities on watch for downgrade. As a result, numerous structured finance CDOs with material exposures to RMBS assets are expected to be downgraded in the coming months.

New Issuance

In 2009, Moody's rated 53 global CDOs totaling around US$65.9 billion in rated liabilities. Both the number of transactions and rated volume were the lowest in more than a decade.

According to Moody's, while certain transactions were motivated by multiple drivers, the vast majority rated in 2009 were structured to optimize regulatory capital requirements, or to gain access to funding through repurchase programs or liquidity schemes set up by governments and central banks, meaning that these transactions were not actually placed with real money investors in the market.

"The dearth of new issuance in 2009 is hardly surprising against the year's economic backdrop: the worst recession since World War II heightened investor concerns about the credit-worthiness of structured finance assets as well as many corporate and financial entities, while extreme risk aversion in the credit markets persisted well into 2009," says Alexis Michon, Moody's AVP-Analyst and co-author of the paper.

The relatively high spread demanded by investors for liabilities, as compared to that earned on the underlying assets, does not currently provide returns adequate enough to stimulate real primary issuance.

However, this gap is expected to continue to close as the year progresses.

For CLOs in particular, a substantial need to refinance speculative-grade debt over the next few years may affect both credit performance and new issuance. Moody's expects new deals to reflect a clear desire on the part of investors to keep things relatively simple and to avoid unnecessary risk.

According to Moody's Kim, "CLOs that closed in 2009 and in Moody's transaction pipeline have tended toward the following characteristics: simple capital structures, low leverage, high proportion of senior secured loans, almost no ramp-up risk and shorter reinvestment."

 

[Imark]

Fitch fa il punto sulla situazione di tutti i comparti industriali europei in un'ottica di forecast 2010. Si va incontro ad una stabilizzazione, salvo che per i comparti della chimica a più basso valore aggiunto, il cartario, l'automobile e relativa componentistica.

C'è di tutto: dalla difesa alle società dell'acciaio, dall'automotive alla chimica ed alle costruzioni...

Lo lascio qui... di facile lettura...

 

[Imark]

In ulteriore miglioramento la situazione della liquidità dell'emittenza corporate speculativa USA misurata da Moody's a febbraio 2010, nonostante l'andamento stop & go del mercato primario per le emissioni HY USA.

Moody's: Despite Bond Market Blip, Speculative-Grade Liquidity Still Improving

New York, March 02, 2010 -- Although the high-yield bond market hit a few speed bumps in February, speculative-grade liquidity continued to improve, said Moody's Investors Service in its latest "SGL Monitor Flash" report.

Moody's Liquidity-Stress Index fell to 6.8% in February 2010 from 7.7% in January 2010, the 11th consecutive monthly drop since the all-time high of 20.9% last March. The index falls when corporate liquidity appears to improve and rises when it appears to weaken.

"Although some companies pulled bond offerings after spreads widened on concerns about the U.S. economy and European sovereign debt, access to credit remains intact," said John Puchalla, Moody's Vice President -- Senior Analyst. "Also, early signals of improving free cash flow and stronger cash balances have improved liquidity ratings for several companies."

SGL rating upgrades outpaced downgrades 10-1 in February, another reflection of improving liquidity among non-financial corporates. Moody's SGL ratings assess intrinsic liquidity over a 12-month time horizon.

Liquidity is improving as companies continue to refinance near-term bond maturities, bolster covenant cushions, and firm up cash reserves. "We're still seeing refinancings close and there is little evidence in liquidity ratings of a repeat of the 2007-2009 credit pullback," Puchalla said.

The tally of companies rated SGL-4, the bottom of the four-point SGL rating scale, fell to 36 in February, the lowest total since November 2007 and a 66% decrease from the peak of 106 in March 2009.

Moody's has published a monthly SGL Monitor since 2002 and now publishes the SGL Monitor Flash at the beginning of every month to provide investors with a first look at the latest liquidity data. The next SGL Monitor will be published later this month.

 

[dagoweb]

L'high yield fa venire l'acquolina

Morningstar - 08/03/2010 16:49:00
Il comparto è stato penalizzato da Cina, Usa e Grecia. Ma sta tornando la fiducia. Sono state settimane molto intense per le obbligazioni. Le notizie sulla stretta creditizia in Cina, quelle su possibili nuove restrizioni legislative al sistema finanziario da parte della Casa bianca ed infine il rischio di default della Grecia hanno scatenato le preoccupazioni degli investitori e reso il mercato dei bond molto volatile. Il risultato è stato che l'indice Citi WGBI del settore in un mese (fino all'8 marzo e calcolato in euro) ha guadagnato uno scarso 0,16%.
Ad essere particolarmente coinvolte da queste notizie sono state le obbligazioni high yield (titoli a cui le agenzie di rating danno il rating di BB+ o inferiore e quindi sono a maggior rischio e, di conseguenza, a più alto rendimento potenziale). "Il problema di questa classe di investimento è che è molto sensibile alle notizie peggiori", spiega uno studio di Kingman Penniman, presidente della società di ricerca sui bond KDP Investment Advisor. "Dopo un periodo di euforia, nel mese di febbraio, soprattutto a causa della Grecia, gli operatori sono tornati a cercare investimenti più sicuri. Sui mercati, questo fenomeno è conosciuto come risk aversion (avversione al rischio, ndr)".
L'indice Bank of America Merrill Lynch del comparto high yield è passato in territorio negativo a metà febbraio, dopo un rendimento del 57,5% segnato l'anno scorso. Mano a mano che i timori per un crollo della Grecia si sono attenuati, però, il paniere ha ripreso a crescere e adesso segna +2,5%. Il gap fra lo yield dei titoli ad alto rischio e quello dei più sicuri Tbond, secondo gli operatori, segnala che sta tornando un forte appetito per il rischio.
Per quanto riguarda i titoli di debito tradizionali, l'attenzione del mercato resta puntata su quelli greci. Gli investitori continuano a dimostrarsi interessati alle emissioni elleniche. Merito anche dell'incontro fra il primo ministro greco George Papandreou e il presidente francese Nichoals Sarkozy. Quest'ultimo ha voluto rassicurare il suo interlocutore sulla disponibilità dell'area Euro ad aiutare la Grecia nel suo piano di salvataggio che, secondo l'ultimo progetto presentato, prevede misure per risparmiare quasi 5 miliardi di euro.
Il rendimento delle obbligazioni greche a 10 anni è sceso di 2 punti base, arrivando al 4,69%, mentre quello del quinquennale è calato di 19 pb, arrivando al 5,82%. Allo stesso tempo lo yield sul bund a 10 anni (che fa da riferimento alle emissioni in Eurolandia) è arrivato al 3,18%. La differenza di rendimento fra le obbligazioni greche e quelle tedesche è scesa dopo l'incontro fra Papandereou e Sarkozy.

 

[Imark]

Aggiornamento sul default rate corporate, che risulta ancora in calo a febbraio. Globalmente, si passa dal 12,5% di gennaio all'11,6% di febbraio, con forecast di calo al 2,9% per dicembre 2010 e al 2,7% sui 12 mesi.

Negli USA si è passati dal 13,6% di gennaio al 12,7% di febbraio, con forecast al 3,3% a fine anno ed al 3% di febbraio 2011; in Europa dal 10,9% di gennaio al 9,7% di febbraio, con forecast di 1,7% a fine anno e leggera risalita a 2% a febbraio 2011.

Il forte calo pronosticato è frutto delle statistiche, in quanto con i mesi che verranno, il computo a fine anno e quello sui 12 mesi vedrà escludere dalla media i primi mesi del 2009, con il loro pesante fardello di default.

Mentre dunque il default rate si avvicina al proprio bottom di ciclo, più significativo è tenere d'occhio il distressed index, ossia la percentuale di debito HY il cui rendimento eccede in misura superiore al 10% quello dei titoli di stato di pari caratteristiche.

Tale indicatore, come già detto negli ultimi mesi, è infatti quello da guardare in quanto anticiperà l'andamento dei rendimenti nel comparto HY e dunque i prezzi sul mercato delle nuove emissioni ma anche - di conseguenza - sul secondario.

E qui si vede che il mese di febbraio, per il corporate USA, il livello del debito distressed è rimasto fermo a quota 16,5% a febbraio, sul medesimo livello toccato a gennaio.

Ove fosse confermato che l'attuale livello rappresenta un bottom di ciclo, dovremmo assistere contestualmente a fasi di temporanea chiusura del mercato primario e/o alla richiesta di rendimenti crescenti rispetto a quelli dei mesi scorsi per le nuove emissioni, così da concludere che questo ciclo dell'HY, iniziato a fine 2008 negli USA e a febbraio 2009 da noi in Europa, si avvia ad una graduale inversione.

Viceversa, una riduzione del livello di debito distressed già nel mese corrente dopo "l'allarme Grecia" di febbraio segnalerebbe una ripresa forte dell'appetito per il rischio, specie se si accompagnasse ad un buon numero di nuove emissioni HY a rendimenti crescentemente ridotti.

Segnalo a tutti che la liquidità circolante nel sistema e generata attraverso le cartolarizzazioni continua ad essere su livelli molto bassi e a non crescere negli USA (ed in Europa non credo le cose vadano molto meglio).

La misurate attraverso i livelli di CP indicati dalla FED al solito link, guardando in particolare a quella "asset backed". Come vedete sotto, il calo continua, seppure meno drastico di quello al quale si è assistito nel 2008 e nel 2009.

FRB: Commercial Paper Outstandings

La liquidità aggiuntiva è quella fornita dalle banche centrali attraverso i repo, il quantitative easing ed altre analoghe manovre, ma tale liquidità è destinata, nei prossimi mesi, ad essere gradualmente riassorbita.

Moody's: Global Default Rate Falls to 11.6% in February 2010

New York, March 04, 2010 -- The trailing 12-month global speculative-grade default rate fell to 11.6% in February, down from January's level of 12.5%, said Moody's Investors Service in its latest default report. A year ago, the global default rate stood at only 5.8%.

The ratings agency's default rate forecasting model now predicts that the global speculative-grade default rate will decline sharply to 2.9% by the end of this year and then edge lower to 2.7% by February 2011.

"The trailing 12-month default rate will likely decline rapidly over the next several months as the bulge of defaults that occurred in the first half of 2009 move out of the trailing twelve-month window," said Moody's Director of Default Research Kenneth Emery.

In the U.S., the speculative-grade default rate edged lower from January's 13.6% to 12.7% in February, while in Europe, the default rate among speculative-grade issuers fell from a revised 10.9% in January to 9.7% in February. At this time last year, the U.S. default rate stood at 6.5% and the European default rate was even lower at 2.8%.

Among U.S. speculative-grade issuers, Moody's forecasting model foresees the default falling to 3.3% by December 2010 and 3.0% a year from now. In Europe, the forecasting model projects the speculative-grade default rate will arrive at 1.7% in December 2010 followed by a small up-tick to 2.0% by February 2011.

Overall, only two of Moody's-rated corporate debt issuers defaulted in February, which sends the year-to-date default count to 10. Both of the February defaulters were based in the U.S. In comparison, there were 45 defaults in the first two months of last year.

Across industries over the coming year, default rates are expected to be highest in the Consumer Transportation sector in the U.S. and the Business Service sector in Europe.

Measured on a dollar volume basis, the global speculative-grade bond default rate fell from a revised level of 16.0% in January to 14.8% in February. Last year, the global dollar-weighted default rate stood at 7.0% in February.

In the U.S., the dollar-weighted speculative-grade bond default rate ended at 15.4% in February, down from 16.3% in January. The comparable rate was 8.0% in February 2009.

Moody's speculative-grade corporate distress index -- which measures the percentage of rated issuers that have debt trading at distressed levels -- came in at 16.5% in February, unchanged from the revised level in January. A year ago, the index was much higher at 49.0%.

In the leveraged loan market, only one Moody's-rated loan issuer - Penton Media, Inc.- defaulted in February. The trailing 12 month U.S. leveraged loan default rate fell from 11.4% in January to 10.9% in February. A year ago, the loan default rate stood at 4.5%.

Moody's "February Default Report" is now available -- as are Moody's other default research reports -- in the Ratings Analytics section of Moodys.com.

 

[Imark]

Mercato dei fondi obbligazionari HY USA privo di direzionalità... un paio di settimane dopo la settimana che ha segnato un'uscita record di capitali dal comparto, ecco che la scorsa settimana ha segnato una completa inversione di tendenza, con un afflusso record di capitali equivalente, in dimensioni, al deflusso di circa 3 settimane fa: in entrambi i casi si parla di 1 mld USD.

La sensazione è appunto di un mercato mosso alternativamente da sentimenti di euforia e di panico (la crisi greca aveva segnato il movimento di uscita record di capitali dal comparto), il tutto dettato da newsflow di corto respiro.

La lunga corsa dell'HY, in parallelo con l'equity, sovradimensiona le tensioni sul mercato, insieme con una liquidità che in parte è figlia delle maxiemissioni obbligazionarie che continuano a rovesciarsi sul mercato, ma in misura ancor più ampia è frutto dell'operato delle banche centrali.

Emerging, High-Yield Bond Funds Post Record Inflows (Update2) - BusinessWeek