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

[Imark]

Questo lo posto per intero, dato che riporta anche l'andamento del Merrill Lynch High Yield Master II Index. Lo spread rispetto ai Treasuries USA risulta calato al di sotto dei livelli toccati prima dell'acuirsi della crisi del debito greco, ed è pari a poco più di 6 punti percentuali.

Qualche analista pronostica un ritorno entro l'anno ad uno spread pari a 4 punti pct. Se si considera il basso livello di rendimento dei T-Bond, uno spread di questo tipo esprimerebbe un livello di rendimento assoluto per i bond HY inferiore rispetto a quello che si raggiunse all'apice della precedente fase di "appetito per il rischio" che si risolse nelle scoppio della bolla creditizia nel 2007.

Junk Bonds Pull Ahead as TXU, Freescale Soar: Credit Markets

March 12, 2010, 1:20 PM EST

By Caroline Salas and Pierre Paulden
March 12 (Bloomberg) -- High-yield, high-risk bonds are beating investment-grade debt for the first time this year as confidence in the U.S. economic recovery gains strength.

Speculative-grade notes returned 1.93 percent this month, bringing year-to-date gains to 3.63 percent, according to Bank of America Merrill Lynch index data. That compares with a 2.32 percent return in 2010 for investment-grade bonds. The junk index is being led higher by companies including Freescale Semiconductor Inc. and Energy Future Holdings Corp., formerly TXU Corp.

Lenders to the neediest borrowers are willing to accept the lowest relative yields since January as confidence in the global economy spurs Morgan Stanley to boost its growth estimate for 2010 to 4.4 percent from 4 percent. Speculative-grade credit rating upgrades by Moody’s Investors Service are poised to outpace downgrades for the second consecutive quarter, the first time that’s happened since 2006, Bloomberg data show.

“It’s a yield grab,” said Jack Iles, an investment manager at MFC Global Investment Management in Boston who helps oversee $4 billion in fixed-income assets.

The extra yield investors demand to own high-yield bonds instead of Treasuries has narrowed for nine straight days to 6.15 percentage points, the longest streak of spread tightening since August, Bank of America Merrill Lynch data show. The spread had widened to 7.03 percentage points on Feb. 12 from 6.39 percentage points in December on concern the fallout from Greece’s budget deficit, Europe’s biggest in terms of gross domestic product, would slow the global economy.

‘Bit of a Stumble’

“Risky assets took a little bit of a stumble from January to mid-February and that was by and large wrapped up with concerns over sovereign debt,” said Christopher Garman, president of Orinda, California-based Garman Research LLC. “Those concerns seem to have more or less faded.”

Emerging-market and high-yield bond funds each took in more than $1 billion in the week ended March 10, EPFR Global said, the biggest amount since the research firm began publishing weekly data on the sectors a decade ago.

Elsewhere in credit markets, Lyondell Chemical Co. seeks $2.25 billion of senior secured notes and a $1 billion six-year term loan, according to people familiar with the request. The Houston-based chemical and fuel company also wants a $1.75 billion asset-based revolving line of credit that will not be funded at closing, said one of the people, who declined to be identified because the discussions are private. Proceeds will be used to exit bankruptcy, another person said.

Fannie Mae

Fannie Mae sold $6 billion of debt, its biggest offering of benchmark notes since last April, as the company boosts borrowing and cuts holdings to fund about $130 billion of planned purchases of delinquent loans from the mortgage securities it guarantees. The 3-year debt from the government- controlled mortgage company yields 1.803 percent, or 31 basis points more than similar-maturity Treasuries, Washington-based Fannie Mae said in a statement.

CLP Holdings Ltd., Hong Kong’s biggest electricity supplier, plans to sell about $500 million of 10-year bonds today priced to yield about 125 basis points more than similar- maturity U.S. government debt, according to a person familiar with the matter.

U.S. commercial paper outstanding rose $11.2 billion to $1.14 trillion in the week ended March 10, after declining by $20.4 billion in the previous period, the Federal Reserve said on its Web site. Commercial paper, which typically matures in 270 days or less, is used to finance everyday activities such as payroll and rent.

Spread Narrows

The spread on corporate bonds over government debt fell yesterday to 158 basis points, or 1.58 percentage points, the lowest this year, from as much as 174 basis points Jan. 4, the Bank of America Merrill Lynch Global Broad Market Corporate Index shows. Yields averaged 4.044 percent.

Companies took advantage of the drop in spreads to sell more bonds. Corporate borrowers in the U.S. issued $36.4 billion of notes through yesterday, compared with $21 billion in all of last week, according to data compiled by Bloomberg. It was the most since the week ended Jan. 5, when $46.6 billion was sold.

Investment-grade companies in Europe sold 19.2 billion euros ($26.5 billion) of bonds this week, almost double the amount raised the week before, Bloomberg data show.

Bond Risk Falls

The cost to protect against defaults on U.S. corporate bonds declined to the lowest in eight weeks. The Markit CDX North America Investment Grade Index, which is linked to 125 companies, fell 1 basis point to a mid-price of 82.5 basis points as of 12:05 p.m. in New York, according to broker Phoenix Partners Group.

In London, credit swaps on the Markit iTraxx Europe index of 125 companies with investment-grade ratings fell 2 basis points to 73.75 basis points, the lowest since Jan. 18, JPMorgan Chase & Co. prices show.
The gauges typically fall as investor confidence increases.

Credit-default swaps pay the buyer face value if a borrower defaults in exchange for the underlying securities or the cash equivalent. A basis point is 0.01 percentage point and equals $1,000 a year on a contract protecting against default on $10 million of debt for five years.

Signs that the U.S. economy is improving are bolstering demand for speculative-grade securities, according to Martin Fridson, chief executive officer of money manager Fridson Investment Advisors.

‘Healthy Appetite’

“There is a healthy appetite for risk,” Fridson said. “There is a fading of concern over Greece and more upbeat economic numbers.”

Morgan Stanley expects “above-consensus global GDP growth,” raising the projection from December, “despite growth downgrades in Europe,” a weaker first quarter in the U.S. and “recent softening” in a China manufacturing index, the firm’s economists said March 10.

The Organization for Economic Cooperation and Development said March 5 its leading indicator, which signals the direction of the economy, reached the highest in almost 31 years in January.

The measure increased by 0.8 point to 103.6 from 102.8 in December, the Paris-based organization said. January’s reading was the highest since May 1979. Gains on the month were led by Japan, the U.S., Canada and Germany, the OECD said.

High-Yield Spreads

High-yield spreads will narrow to 4 percentage points by yearend as defaults plunge, according to Garman. Moody’s predicts the speculative-grade default rate will decline to 2.9 percent by the end of 2010 from 11.6 percent in February. The rate fell from 12.5 percent in January.

The worst-rated bonds are performing the best this month. Securities ranked CCC and lower have gained 2.77 percent while BB rated notes, the highest junk tier, have returned 1.81 percent, Bank of America Merrill Lynch data show. High-yield securities are rated below Baa3 by Moody’s and lower than BBB-by Standard & Poor’s.

Bonds of Freescale, the computer chipmaker bought by firms led by Blackstone Group LP, have climbed 5.36 percent on average and debt of Energy Future, the power producer taken private by KKR & Co. and TPG, has returned 4.27 percent, Bank of America Merrill Lynch data show. Austin, Texas-based Freescale is rated Caa2 by Moody’s and B- by S&P. Dallas-based Energy Future is rated Caa3 and B-, respectively.

New Issues

The bonds are rallying in part because the unthawing of the new issue market has given the riskiest companies the ability to refinance their debt, said MFC Global’s Iles.

“The reopening of the new issue market was huge for these guys,” Iles said. “The ability for companies like TXU to restructure even part of their balance sheet is much better than it was even six months ago.”
Lisa Singleton, a spokeswoman for Energy Future and Freescale spokesman Robert Hatley declined to comment.

Among high-yield borrowers selling debt this week were GMAC Inc., which sold $1.5 billion of 8 percent, 10-year bonds, and McLean, Virginia-based Alion Science & Technology Corp., which issued $310 million of 12 percent payment-in-kind notes that can pay interest in the form of added debt.
Insurance companies were the best performing industry in the Bank of America Merrill Lynch U.S. High Yield Master II Index with gains of 6.63 percent this month. Bonds of American International Group Inc., once the world’s largest insurer, have risen to the highest levels in 18 months after the New York- based company said March 1 it was selling AIA Group Ltd. to Prudential Plc for $35.5 billion.

Financial service company debt, the second-best performing sector, gained 3.64 percent and restaurant company bonds followed with returns of 3.13 percent, index data show.

 

[dagoweb]

Rialzi dei tassi a fine 2010?

Con cadenza periodica (l’ultimo aggiornamento è stato il 24 novembre) proponiamo ai nostri lettori un’analisi sulle aspettative dei mercati finanziari rispetto ai futuri movimenti dei tassi di riferimento da parte delle principali Banche Centrali


Articolo a cura di JCAssociati.it

Con cadenza periodica (l’ultimo aggiornamento è stato il 24 novembre) proponiamo ai nostri lettori un’analisi sulle aspettative dei mercati finanziari rispetto ai futuri movimenti dei tassi di riferimento da parte delle principali Banche Centrali, il cui ruolo, lo ricordiamo, è assolutamente rilevante soprattutto in un contesto di incertezza come quello attuale.
Se infatti gli effetti della crisi finanziaria dovessero essere ormai alle spalle (come alcuni indicatori sembrano segnalare), sarà necessario interrompere la politica di “quantitative easing” e le Banche Centrali dovranno procedere invece verso la cosiddetta “exit strategy”; ovvero verso la riduzione di liquidità e l’innalzamento dei tassi di riferimento, riducendo quindi eventuali pressioni inflazionistiche derivanti dalla ripresa economica.
Il timing d’azione però sarà di fondamentale importanza; se questa valutazione infatti dovesse essere errata, l’innalzamento dei tassi di riferimento potrebbe compromettere una ripresa economica già debole, innescando probabilmente uno scenario “giapponese” con crescita bassissima e deflazione.

Per gli investitori obbligazionari è di fondamentale importanza riuscire a prevedere il comportamento delle Banche Centrali al fine di definire la corretta posizione sulla curva dei tassi. L’attuale differenziale (molto ampio) tra tassi a lunga e breve scadenza, può determinare scelte d’investimento molto diverse tra loro, a seconda che in futuro si ritenga che tale differenziale possa aumentare o diminuire.

Come sempre, per identificare le aspettative del mercato relativamente al possibile comportamento delle Banche Centrali, utilizziamo i contratti future su Euribor, Eurodollaro e £ Libor. Questi contratti indicano quale dovrebbe essere il rendimento di un deposito bancario a tre mesi con partenza ad una determinata data futura.
Nelle tre seguenti tabelle riportiamo il rendimento attuale dei contratti future con scadenza trimestrale compresa tra marzo 2010 e marzo 2012 e i rispettivi differenziali coi rendimenti calcolati sei mesi fa.

* link alle tabelle (e all'articolo) :
Rialzi dei tassi a fine 2010?


Per tutti e tre i mercati, è evidente che le attese di rialzo dei tassi si sono ora concentrate per la parte finale del 2010, confermando uno “slittamento” che va avanti ormai da un anno. A inizio 2009 p.es. ci si attendeva i primi rialzi proprio in questi mesi (cioè a inizio 2010).
E’ inoltre evidente come il differenziale di rendimento sia decisamente negativo sia nel caso della Banca Centrale Europea, sia della Federal Reserve americana sia della Bank of England.
Nel caso della BCE questo slittamento è forse da ricondurre alle difficoltà relative alla crisi derivante dall’eccessivo indebitamento della Grecia, così come di altre numerose economie dell’Eurozona.
Nel caso di USA e (soprattutto) Regno Unito, la diminuzione delle aspettative di rialzo dei tassi di riferimento va soprattutto legato alle difficoltà delle rispettive economie domestiche.
In generale comunque, emerge un massiccio riposizionamento verso uno scenario di in crescita assai più lenta rispetto a quanto si riteneva qualche mese fa. Il mercato dei tassi quindi, non sembra credere molto ad uno scenario di ripresa, che invece appare più plausibile guardando all’andamento dei mercati azionari.
Paradossalmente più le aspettative sui tassi (e quindi i tassi stessi) continueranno a scendere, più questo potrebbe alimentare ulteriori rialzi sui listini azionari. Questa “divergenza” trai i due mercati potrebbe quindi continuare ad aumentare, finché uno dei due mercati sarà costretto a rivedere bruscamente le proprie aspettative e: o i tassi subiranno una brusca impennata, o i listini azionari soffriranno una forte correzione.

 

[Imark]

Se la scorsa settimana ha segnato un record nell'inflow di denaro verso i fondi obbligazionari HY USA, quella appena trascorsa ha anch'essa registrato un'esito positivo sotto questo profilo, ma soprattutto ha segnato un outflow record di denaro dai fondi monetari, i cui rendimenti sono sostanzialmente azzerati negli USA con i tassi allo 0,25%.

Da notare comunque come tale outflow non si sia tradotto in una crescita sensibile dei flussi verso i fondi specializzati nell'equity, verso la quale c'è ancora timore.

Bond Investors Are Feasting on Risk - Barrons.com

 

[Imark]

Un articolo del FT che pure menziona il recupero marcato dei bond HY rispetto al forte calo registratosi a febbraio...

High yield bonds are back in favour

By Henny Sender
Published: March 18 2010 02:00 | Last updated: March 18 2010 02:00

Anyone looking for evidence of a resurgence in the high yield bond market need look no further than Freescale Semiconductor.

Back in early February, in a troubled market, the highly leveraged semiconductor spin-off from Motorola was one of only a small number of companies to have successfully pulled off a high yield issue, raising $750m.

Market sentiment quickly worsened and in the 10 days that followed the bonds, like the rest of the sector, were badly hit with prices falling below par.

Freescale epitomises the types of companies tapping the high yield markets. It is poorly rated (B minus by Standard & Poor's) in a cyclical industry whose troubles are compounded by its exposure to the car industry and to its former parent, ailing Motorola.

Yet this month, its bonds have not just recovered, but are trading well above their issue price. The fact that the bonds of this poorly rated company have bounced back so quickly is an indication of just how far sentiment in the high yield (junk) bond market has improved.

"We were betting on a rally," says Jim Casey, head of high yield at JPMorgan Chase, which launched the Freescale bond. "The market had sold off too much, too quickly."

Across the sector, the high yield market has made a marked recovery, making it possible once more for highly-leveraged companies to refinance their debts and to push back the dates when at least some of their loans come due.

Last week alone, the spreads of high yield over US Treasuries fell 29 basis points to 637bp, having widened to almost 700bp in February.
"The market has totally regained its fire," says Steve Miller, who heads the Leveraged Commentary and Data unit of Standard & Poor's.

"Conditions within high yield continue to steadily improve," notes Peter Acciavatti in recent research for JPMorgan. "Inflows, new issuance and spreads have fully retraced mid-February's disruption and then some."
Upgrades in the sector are now comfortably outnumbering downgrades with S&P posting 39 upgrades of high yield bonds so far this year compared with 27 downgrades.

Defaults are also starting to decline. After peaking at the end of November at 11.2 per cent for all high yield issuers, for the end of February defaults came down to 10.38 per cent, according to S&P. It forecasts defaults will fall to 5 per cent by the end of the year.

With investors now returning to the market, bankers expect more deals. Despite February's dramatic downturn which saw rival companies such as New World Resources shelve high yield issues, high yield and leveraged loans new issuance so far this year is still well ahead of last year.

 

[negusneg]

Una conferma a ciò che molti di noi hanno ipotizzato: che dietro i rialzi attuali ci siano pesanti acquisti di investitori istituzionali, gli stessi che specularmente avevano provocato i ribassi passati con un notevole sell off.

Notevole la metafora di Buffett sul mercato delle obbligazioni societarie nel 2009: quando piove oro prendi un secchio, non un ditale...

U.S. Insurers Purchase Corporate Bonds in Market ‘Raining Gold’

By Sapna Maheshwari and Andrew Frye




March 19 (Bloomberg) -- U.S. insurers, holders of more than $2.2 trillion in corporate debt, bought the bonds at the fastest pace in five years in 2009, taking advantage of a market that Warren Buffett said was “raining gold.”
Insurers’ net purchases of corporate bonds climbed to $153 billion in 2009, with the greatest portion coming in the first quarter when yields were at their highest of the year, according to Federal Reserve data released last week. That compares with outflows of $59 billion in 2008, and accounts for the biggest inflows for the industry since $172 billion in 2004.
“It has paid off very nicely,” said Judy Greffin, chief investment officer for Allstate Corp., whose corporate-debt holdings swelled by 20 percent last year to $33.1 billion. “With the benefit of hindsight, I would have loved to have bought more.”
A corporate-debt rally helped insurers including MetLife Inc. and Prudential Financial Inc. to recover capital lost in the housing and stock market slumps of 2008 and early 2009. Life insurer inflows were more than eight times those of property- casualty companies in 2009. Buffett, the property-casualty industry’s most visible executive, lamented that he didn’t invest enough in the debt.
Corporate and municipal bonds “were ridiculously cheap relative to U.S. Treasuries” in early 2009, Buffett, Berkshire Hathaway Inc.’s chief executive officer, said in an annual letter to investors on Feb. 27. “Big opportunities come infrequently. When it’s raining gold, reach for a bucket, not a thimble.”

2009’s Returns

Returns on corporate debt including reinvested interest totaled 26 percent last year after an 11 percent loss in 2008, according to Merrill Lynch’s U.S. Corporate & High Yield Master index. Life insurers may spend as much as $100 billion on corporate debt in the next 18 months, Barclays Capital credit strategists Matthew Mish and Alex Gennis wrote in a March 12 report.
Allstate, the biggest publicly traded U.S. home and auto insurer, cut back on commercial real estate and municipal bonds to buy corporate bonds. Of the $100 billion portfolio managed by Greffin, almost a third was corporate debt as of Dec. 31.
“If you don’t like credit risk, you should not own our stock,” Tom Wilson, CEO of the Northbrook, Illinois-based company, said in an interview in August.
Insurers were joined in the market by mutual funds, which had $144 billion in inflows last year. Households and nonprofit organizations had $149 billion in outflows, and foreign banking offices in the U.S. had $156.9 billion of outflows, according to the Fed’s report. The Fed data for corporate debt includes some asset-backed securities.

MetLife

MetLife acquired corporate debt last year even as it wrote down the value of existing holdings. Its $358 million in corporate-debt impairments in the first quarter of 2009 accounted for almost half of the firm’s total credit-related writedowns in the period. The New York-based company had net losses in the first three quarters last year, and after each period CIO Steven Kandarian reiterated to investors that he was buying more corporate debt.
The extra yield investors demand to own U.S. corporate debt instead of Treasuries fell 520 basis points last year, a record rally in spreads, Merrill data show. Spreads were at 262 basis points as of yesterday, compared with 797 basis points a year earlier.
Life insurers, which can hold policyholder premiums for decades before paying claims, need to earn returns on those funds to pay workers, remunerate investors and ultimately satisfy customers.
Companies that were shut out of debt markets during the credit freeze returned to selling bonds in 2009 as demand strengthened. Firms issued $1.2 trillion of dollar-denominated bonds in 2009, according to data compiled by Bloomberg. That’s the most since at least 1999, and a 42 percent jump from 2008, when Lehman Brothers Holdings Inc.’s bankruptcy prompted investors to withhold debt financing.
“This trend could continue as long as this asset class makes sense,” said Rajeev Sharma, who oversees $1.4 billion of investment-grade debt at First Investors Management Co. in New York. “So far, corporate credit is still the asset class of choice.”

To contact the reporters on this story: Sapna Maheshwari in New York at [email protected]; Andrew Frye in New York at [email protected].
Last Updated: March 19, 2010 00:00 EDT

 

[negusneg]

[ame]http://www.youtube.com/watch?v=dge7_D72nqk[/ame]



Corporate Bonds Extend Longest Streak Since ’04: Credit Markets

By Pierre Paulden and Caroline Salas



March 31 (Bloomberg) -- Corporate bonds are rallying for the fourth straight quarter, the longest streak since 2004, extending a record advance as 72 percent of companies beat analysts’ earnings expectations.
The securities returned 2.6 percent this quarter through March 30, following a 16.3 percent gain in 2009, according to a Bank of America Merrill Lynch index. The extra yield, or spread, investors demand to own global corporate bonds fell 0.26 percentage point since year-end relative to benchmarks to 1.5 percentage points yesterday, the narrowest since November 2007.
Company debt rallied on signs the global economy is improving, with U.S. consumer confidence gaining in March and corporate defaults declining from record levels. Borrowing costs declined to the lowest since 2005, spurring $738 billion of bond issuance globally this quarter, a 27 percent increase from the final period of last year.
“We’ve certainly had a very good ride over the last 12 to 15 months, but there still is good value in corporate bonds today in select areas such as banking,” Mark Kiesel, global head of corporate bond portfolio management at Pacific Investment Management Co. in Newport Beach, California, said in a Bloomberg Television interview.
Debt ranging from leveraged loans to high-yield bonds to commercial mortgage-backed securities climbed in the past three months as the Federal Reserve’s zero-interest-rate policy prompted investors to seek riskier assets.
“Investors initially were only concerned about protecting their principal,” said Matt Freund, a money manager for fixed- income investments at San Antonio-based USAA Investment Management Co., who helps oversee $44 billion of assets. “Now that they’ve been reassured, they want spread product.”

Citigroup Prices CLO

Elsewhere in credit markets, the aircraft-leasing unit of American International Group Inc. sold $750 million of notes in a two-part reopening. Citigroup Inc. priced a $525 million collateralized loan obligation, the first new issue backed by widely syndicated debt in the CLO market since last March. Lyondell Chemical Co.’s $500 million term loan to help finance its exit from bankruptcy rose during initial trading.
International Lease Finance Corp., the Los Angeles-based AIG unit, sold $500 million of 8.75 percent notes due in 2017 and $250 million of 8.625 percent debt maturing in 2015, according to data compiled by Bloomberg.
The Citigroup deal, managed by WCAS Fraser Sullivan Investment Management LLC, was boosted from a planned $500 million, said a person familiar with the transaction who declined to be identified because terms aren’t public. The CLO refinances an existing fund, COA CLO Financing Ltd., and increases its size by more than 50 percent.

Lyondell Loans

Houston-based Lyondell’s loan, sold at a discount of 99 cents on the dollar, climbed as high as 100.75 cents, according to people familiar with the trades who declined to be identified because the transactions are private. It initially broke at 100.25 cents, the people said.
UBS AG arranged the term loan due in 2016 with an interest rate 4 percentage points more than the London interbank offered rate, with a 1.5 percent Libor floor, the people said. Three- month Libor, the rate banks charge to lend to each other, was 0.29 percent as of yesterday.
The cost to protect against defaults on corporate bonds was little changed, with the Markit iTraxx Europe Index on 125 investment-grade companies rising 0.75 basis point to 78.25, according to JPMorgan Chase & Co. prices at 10:32 a.m. in London.

Asian Default Risk

The Markit iTraxx Australia index rose 2 basis points to 85.5 basis points, according to Citigroup, while the Markit iTraxx Japan index increased 0.5 basis point to 114 in Tokyo, Morgan Stanley prices show. The Markit iTraxx Asia index of 50 investment-grade borrowers outside Japan increased 1.5 basis point to 96.5, according to Royal Bank of Scotland Group Plc prices.
In the U.S., the Markit CDX North America Investment Grade Index climbed 1.1 basis point to 86.3 basis points yesterday, according to Markit Group Ltd.
Investors use the default-swap indexes to hedge against losses on corporate debt or speculate on creditworthiness, and the swaps typically rise as investor confidence deteriorates.

Greece Credit Swaps

Greece credit-default swaps rose 2 basis points to 336 after the debt-ridden nation’s new seven-year notes dropped in their second day of trading. The yield on the securities climbed to 6.44 percent, from 6.27 percent yesterday and 6 percent when they were issued on March 29, according to RBS prices on Bloomberg. The price of the notes dropped to 97.03.
Credit-default swaps pay the buyer face value if a borrower defaults in exchange for the underlying securities or the cash equivalent. A basis point is 0.01 percentage point and equals $1,000 annually on a contract protecting $10 million of debt for five years.
Worldwide corporate bond sales for the first three months compare with $583 billion in the fourth quarter of 2009 and $1 trillion in the same period last year, Bloomberg data show.
Warren Buffett’s Berkshire Hathaway Inc. and Kraft Foods Inc. the maker of Oreos that’s buying Cadbury Plc, led the busiest day of the quarter in the U.S., as issuance reached $18.85 billion on Feb. 4.

Junk Bonds

Junk bond sales reached a record $42 billion worldwide in March, passing the previous high of $36 billion in November 2006, Bloomberg data show. Speculative-grade securities are rated below Baa3 by Moody’s Investors Service and lower than BBB- by Standard & Poor’s. The debt returned 5.61 percent through March 30, after gaining 60.6 percent last year, according to the Bank of America Merrill Lynch Global High Yield Index.
The bonds rallied as the percentage of speculative-grade companies defaulting in the prior 12 months fell to 11.6 percent in February, from a peak of 12.9 percent in November, Moody’s said March 4. The rate will fall to 2.9 percent by the end of this year, Moody’s said.
The S&P/LSTA US Leveraged Loan 100 Index gained 4.16 percent this year as companies sold junk bonds to repay their bank loans. That extended the record 52.2 percent gain in 2009.
Commercial mortgage-backed securities advanced 7.1 percent this quarter, according to a Bank of America Merrill Lynch CMBS index, after returning 27.9 percent in 2009.

Earnings Surprises

Bond returns are justified by corporate earnings, USAA’s Freund said. Companies in the S&P 500 Index beat analyst estimates 72 percent of the time in the quarter, the second- highest percentage for positive earnings surprises on record, Bloomberg data show.
Consumers in the U.S. gained confidence in March as the gloom over job prospects began to lift, indicating employment will be central to preserving the recent acceleration in spending.
The Conference Board’s confidence index rose to 52.5, exceeding the median forecast of economists surveyed by Bloomberg News, from 46.4 in February, according to figures from the New York research group.
“With signs of improvement in the labor market, confidence is more likely to be up than down in the next few months,” said James O’Sullivan, chief economist at MF Global Ltd. in New York, who forecast sentiment would pick up. “It’s still a low level of confidence.”

Rally Waning?

The rally in credit may be waning as expectations grow that the Fed will raise interest rates, undermining returns in fixed- income markets and prompting investors to shift money into equity funds, Bank of America Corp. strategists said in a March 26 note to investors.
“Such a shift in liquidity may well persist as yield levels in fixed income no longer provide for the equity-like return potential that debt once offered,” strategists led by Jeffrey Rosenberg in New York wrote in the report. That would leave “a less robust liquidity environment for debt.”
Corporate bonds offer opportunities for additional gains, even as economic growth may be hampered by governments withdrawing stimulus programs, Pimco’s Kiesel said. He recommends investors buy financial and emerging-market debt.
“You can still get 5 to 6 percent returns, which still look very attractive relative to other fixed income alternatives,” Kiesel said.

To contact the reporters on this story: Pierre Paulden in New York at [email protected]; Caroline Salas in New York at [email protected]
Last Updated: March 31, 2010 05:46 EDT

Bloomberg News

 

[Imark]

Ce la farà il sistema finanziario a gestire i 770 mld $ di leveraged loans in scadenza di qui al 2014 (dei quali 600 mld $ fra il 2012 ed il 2014) nonostante le difficoltà a cartolarizzarli tramite gli appositi veicoli societari (i CLOs) ?

Secondo Fitch sì, nel senso che fra rifinanziamenti (aiutati da una auspicata ripartenza delle cartolarizzazioni originata da un possibile appetito per i rendimenti, che riconduca i livelli dei loans cartolarizzati a quanto visto nel periodo "ante bolla creditizia"), accordi "amend & extend", emissioni di bond a ripagamento di loans, ripagamenti anticipati ecc., alla fine il gap dei loans non rifinanziabile dovrebbe essere gestibile senza innescare crisi sistemiche.

Per gli interessati, non troppo tecnico il testo, utili le tabelle sulle scadenze del debito che, lo rammento, è l'equivalente in termini di finanziamento bancario dei bond HY, ed è per la gran parte senior secured, come la gran parte dei bond HY di recente emissione.

Fitch Special Report: Bridging the Refinancing Cliff

22 Mar 2010 12:07 PM (EDT)

Fitch Ratings-Chicago-22 March 2010: While recent debt market activity has moderated a substantial portion of the refinancing risk over the next two years, it has not eased the pressure created by the $600 billion of leveraged loans expected to mature between 2012 and 2014.

As described in a report published today 'Bridging the Refinancing Cliff', various refinancing sources will likely be strained over the next several years. However, amend and extend agreements (A&Es), bond-for-loan takeouts, increased capacity within the leveraged loan market (including a revival of the collateralized loan obligations [CLO] market) and pre-payments (both mandatory and voluntary) are likely to absorb much of the demand for refinancing during this period.

'Taking these factors into account the refinancing cliff will be much flatter and more easily absorbed than originally anticipated,' said Darin Schmalz, Director, Fitch. 'Many of the perceived dangers created by the volume of refinancings can be averted.'

In particular, Fitch expects A&E volumes to continue to increase through 2014, allowing the market to redistribute loan maturities to a level more easily absorbed by traditional market sources. Fitch also expects the demand for capital could be catalyst for renewed CLO activity in the coming years. This CLO activity could contribute meaningfully to the supply of credit available for refinancing.

There are two key swing factors to Fitch's estimates. First, the degree of economic stability and associated risk of a double-dip recession will influence the size of the gap between the demand for and supply of credit available. Secondly, the trajectory of the equity market and associated expansion/compression of valuations could affect the willingness of lenders and the equity markets (IPO activity) to provide capital for refinancing.

Fitch believes that the market is likely to find a clearing price and terms at which much of the demand for credit can be satisfied. In general, Fitch believes market forces will work in favor of easing pressure created by the refinancing cliff that otherwise could result in an unparalleled spike in loan default volume.

[FONT=&quot]The full report 'Bridging the Refinancing Cliff' is available on the Fitch Ratings web site 'www.fitchratings.com'.[/FONT]

 

[Imark]

Settimane record per l'emissione di bond HY USA le ultime cinque e particolarmente le ultime due, con un volume di emissioni superiore agli 8 mld $ per ciascuna.

Il risultato è che, nonostante l'azzeramento del mercato delle nuove emissioni HY USA nella fase topica della crisi greca, a febbraio, questo trimestre si aggiunge a quelli record per le emissioni HY, che hanno totalizzato più di 50 mld $ di nuovi bond speculativi.

Per gli altri trimestri record (Q4/2006, Q2/2007 e Q2/2009, l'ultimo dei quali tuttavia faceva seguito ad una serie di trimestri di contrazione quando non vera e propria chiusura del mercato primario HY) il boom di emissioni ha segnato il turning point dalla fase di ritorno al debito a quella di movimento verso titoli meno speculativi, il Flight to quality.

A Fitch viene dunque spontaneo chiedersi se si sia in prossimità di una svolta, segnata dal rialzo dei tassi USA rispetto a livelli anomalmente bassi e guidata dal rialzo dei rendimenti sul T-Bond decennale, riportatisi negli ultimi giorni in prossimità del 4%.

Le ultime settimane, peraltro, hanno visto una ulteriorie contrazione degli spread fra HY e T-bond, a livelli non più distressed nemmeno per le classi di titoli HY di peggiore qualità. La situazione è ancora più seria se si considera che questo spread è artificiosamente ampliato dalla compressione dei rendimenti nella parte breve e media della curva generata da tassi ai minimi storici.

Fitch: Rising Interest Rates Could Threaten U.S. High Yield Issuance Levels

31 Mar 2010 10:46 AM (EDT)

Fitch Ratings-Chicago-31 March 2010: The U.S. high yield bond market has seen a surge in new issuance over the past five weeks as investor's thirst for yield has grown ever stronger on the back of improving economic data. After bottoming out at zero during the week of Feb. 15, 2010, driven by concerns over the fiscal crisis in Greece and potential for rising interest rates globally, new issuance levels have averaged $6.4 billion per week for the past five weeks and exceeded $8 billion for each of the past two weeks.

Over the same five week period, the average issue size of new issues has increased to $522.5 million for the week ending March 25, 2010, up from $436.7 million during the week ending Feb. 25, 2010. Through March 25, 2010, issuance for the year-to-date reached $56.3 billion, already setting a record for new high yield issuance in a single quarter. Although quarterly high yield issuance has exceeded $50 billion before, this level of issuance has generally not been sustainable in subsequent quarters. In fact, in the most recent three quarters when new issuance has exceeded $50 billion (4Q06, 2Q07 and 2Q09), the following quarter has seen declines of between 25.1% and 78.3%.


Fitch notes that while demand levels for new high yield debt issues remains strong, a sustained rise in interest rates could be problematic for the largely fixed-rate asset class. Recent economic reports showing an unexpected increase in home prices in January and improved consumer confidence boosted the yield on the benchmark 10-year U.S. Treasury Note to nearly 3.92% in recent days from 3.61% at the close on March 1, 2010, an increase of over 30 basis points (bps). This marks the highest yield level on the 10-year Treasury Note since June 2009. In addition, recent reports on consumer sentiment, initial jobless claims and durable goods orders are also pointing to signs of economic recovery.

As demand for high yield assets has increased and issuance has risen, the average yield on high yield bonds has declined and option-adjusted spread (OAS) has narrowed significantly in recent weeks. The yield-to-worst on the Merrill Lynch High Yield Master II Index declined to 8.36% at the close on March 26, 2010, an OAS of 580 bps over comparable U.S. Treasury issues. This compares to a yield-to-worst of 9.00% and an OAS of 666 bps at the close on March 1, 2010.

Fitch believes a further rise in interest rates could soften demand for high yield bonds as investors seek protection from rising interest rates in floating rate assets, equities or other asset classes. This could prove problematic for issuers, particularly weaker credits, who have upcoming refinancing requirements. Even if the high yield market remains willing to fund these marginal credits, the price of such funding could be significantly higher than previous or current levels, potentially putting pressure on free cash flows and straining liquidity levels.

For additional information related to this topic, see the Fitch Special Report entitled 'Bridging the Refinancing Cliff.' Fitch also publishes the Fitch Leveraged Finance Weekly every Friday. Both are available on the Fitch website at FitchResearch.

 

[Imark]

Il consueto punto mensile sul default rate, che sappiamo essere rapidamente declinante verso il minimo di questo nuovo ciclo della liquidità, partito nel post Lehman (nov-dic 2008) negli USA e pochi mesi dopo (feb-mar 2009) in Europa e sulla cui durata in molti si interrogano oggi, dopo che il movimento di flight to quality visto a partire da fine gennaio, con la crisi greca e di quella del Dubai, è stato bruscamente contraddetto all'emergere delle prime soluzioni da un forte ritorno verso i temi speclativi.

Per Dubai il solito accordo con le banche, ad oggi in fieri, più del tipo "delay & pray" che "amend & extend" nelle prime ipotesi, poi un po' meno maligno grazie al venire fuori di un po' di cash, fra quello apportato da Abu Dhabi e addirittura, per la prima volta dall'inizio della storia, di qualche soldo di tasca dello sceicco.

Per la Grecia l'emergere dell'aiuto fraterno, si fa per dire, dei paesi di Eurolandia.

Tenete conto tuttavia che anche il minimo di ciclo, prima della ripartenza del default rate, sarà ritardato rispetto al momento in cui il prezzo dei bond speculativi riprenderà a calare, come è successo nel 2007, quando la fuga dall'HY partì 6 mesi primi che il default rate facesse il proprio bottom, e 3 mesi prima che l'equity facesse il proprio massimo di ciclo.

Ciò detto, dove siamo oggi: i movimenti sono molto accellerati rispetto ad un ciclo normale, tant'è che da un picco di ciclo del default rate del Q3/2009 attorno al 14% globale ed USA (e poco sotto per l'Europa) siamo scesi rapidamente al 9,9% globale (forecast 2,8% fine 2010 e 2,4% Q1/2011) ed al 10,9% in USA (forecast 3,1% fine 2010) ed al 7,3% in EU (forecast 1,4% fine 2010)

Stranamente, per la prima molta da molti trimestri a questa parte, Moody's non rende noto nel bollettino diffuso pubblicamente (ma credo continui a rendere noto nei report a pagamento) il default rate a 12 mesi di USA ed Europa, il che, a voler commettere andreottianamente peccato, potrebbe significare che quei valori di fine anno (3,1% ed 1,4%) entrambi molto bassi ed al di sotto della media di lungo termine (che sta poco sopra il 4%) sia anche il bottom di ciclo.

A voi...

Moody's: Global Default Rate Ends at 9.9% in the First Quarter of 2010

New York, April 07, 2010 -- The trailing 12-month global speculative-grade default rate finished the first quarter at 9.9%, down considerably from a level of 13.0% at the end of 2009, said Moody's Investors Service in its latest default report. A year ago, the global default rate stood at 7.8%.

The ratings agency's default rate forecasting model now predicts that the global speculative-grade default rate will fall to 2.8% by the end of this year and edge lower to 2.4% a year from now.

"Defaults in 2010 will remain few and far between as long as the high yield debt markets remain wide open for business and the global economic recovery is maintained. The trailing 12-month default rate will also be under continued downward pressure as a result of the large number of defaults that occurred in the first half of 2009 moving out of the 12-month window," said Moody's Director of Default Research Kenneth Emery.

In the U.S., the speculative-grade default rate ended the first quarter at 10.9%, also down from 13.9% at the end of 2009, while in Europe the default rate fell to 7.3% from 11.6%. At this time last year, the U.S. and European default rates stood at 8.4% and 5.3%, respectively.

Among U.S. speculative-grade issuers, Moody's forecasting model foresees the default rate falling to 3.1% by the end of the year. In Europe, the forecasting model projects the speculative-grade default rate will decline to 1.4% by the end of the year.

Overall, a total of 16 Moody's-rated corporate debt issuers defaulted in 2010 year to date, of which six were recorded in March. In the first quarter of 2009, 90 companies defaulted. Of the 16 defaulters in Q1 2010, one was from Indonesia while the rest were by North American issuers (12 from the U.S. and 3 from Canada).

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 closed at 10.3% in the first quarter, down from the 16.4% level from the previous quarter. Last year, the global dollar-weighted default rate was at 10.7%.

In the U.S., the dollar-weighted speculative-grade bond default rate ended the first quarter at 11.3%. The comparable rate was 16.6% in the prior quarter and 11.9% a year ago.

Moody's speculative-grade corporate distress index -- which measures the percentage of rated issuers that have debt trading at distressed levels -- came in at 14.1% at the end of the first quarter, down from 19.5% in the previous quarter. A year ago, the index was much higher at 52.5%.

In the leveraged loan market, a total of 10 Moody's-rated loan defaulters were recorded in the first quarter, all by North American issuers (8 from the U.S. and 2 from Canada). Last year, 30 loan issuers defaulted in the first quarter. The trailing 12-month U.S. leveraged loan default rate ended the first quarter at 10.3%, down from 11.9% from last quarter but up from 5.2% a year ago.

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

 

[Imark]

Faccio presente anche che il dato dell'1,4% di forecast fine 2010 per il default rate EU è smentito in un dispaccio di Moody's del giorno successivo, in cui si parla di un 2,9%, senza tuttavia che si dia rettifica rispetto a tale indicazione...

Si enfatizza la circostanza per cui il dato annuo del default rate 2009 costituisca il record assoluto anche per l'Europa.

Moody's: European Corporate Default Rates Reached Record Level in 2009

New York, April 08, 2010 -- 2009 was a record year for European defaulters with 47 corporate issuers defaulting on € 24 billion of bonds and loans, said Moody's Investors Service in its eighth annual default study of European corporate bond and loan issuers. Of these 47 defaulters, 34 were rated by Moody's and they accounted for € 20.3 billion of the total volume.

"The European speculative-grade default rate increased sharply to 11.6% in 2009, far higher than the 2% rate experienced in 2008," said Kenneth Emery, Moody's Director of Corporate Default Research. However, Moody's forecasting model now predicts that the European speculative-grade default rate will decline sharply to 2.9% by the end of 2010.

Non-financial corporate defaults surged last year, with default volumes doubling in 2009 relative to 2008. In contrast to 2008, when banks and other financial institutions accounted for over 90% of default volume, the default volume in 2009 was evenly split between the finance and non-finance sectors. While total default volume was down 40% from the previous year, the default count was almost three times the 2008 count.

When looking at post-default trading prices of defaulted issuers, the average recovery rate in 2009 for European senior unsecured bonds was 31% compared to 35% for North American bonds. This is consistent with history, as North American recovery rates have tended to be modestly higher than European recovery rates at all seniority levels.

Historically, Moody's European ratings have outperformed North American ratings at separating defaulters from non-defaulters. For example, approximately 90% of all defaults have historically been captured in the riskiest decile of ratings in Europe, compared to 60% in North America over the same one-year horizon.

Moody's "European Corporate Default and Recovery Rates, 1985-2009," is now available -- as are Moody's other default research reports -- in the Ratings Analytics section of Moodys.com.