Portafogli e Strategie (investimento) Dall'High Yield al Flight to Quality ... (Vol. IV): Cash is King

[Imark]

Buona fede ? Non mi ricordare i cazzari del nord sono loro che mi hanno consigliato Ineos accidenti a me e a loro
Questa e' la lista delle loro raccomandazioni attuali.

E' da notare che non e' rimasto quasi niente dei titoli sui quali erano bullish appena pochi mesi fa', tutti spariti come i soldi di chi gli ha dato retta.

Selected recommendations

TDC €8.25% 2016 B1/B+ 84.50 11.45% B01272
Agrokor €7% 2011 B2/B 74.50 19.66% B02416
SIG €8% 2016 B2/B+ 70.50 14.38% B03553
SIG €9.5% 2017 B3/B- 46.50 25.05% B02612
Wind €9.75% 2015 B2/BB- 90.00 11.93% B00824
UnityMedia €8.75% 2015 Caa1/B- 88.50 11.44% B03047
UnityMedia €10.125% 2015 Caa1/B- 95.50 11.17% B01401
Eircom €-Floater 2016 B3/B- 47.50 21.05% B01553
Rexam €6.75% 2067 Ba2/BB+ 62.25 14.90% B02811
Fresenius €8.75% 2015 Ba1/BB 105.75 7.60% B04096
Fresenius $9% 2015 Ba1/BB 106.00 7.98% B04097
CWLN £8.75% 2012 B1/BB- 97.00 9.77% B70536

Il fatto è che qui dentro ci sono solo emissioni HY, che postulano un grado di tolleranza al richio molto elevata per chi ci è dentro. Da non dimenticare che loro hanno continuato a dare Buy anche su bond di società defaultate come Mechacrome sull'assunto che il bond fosse sottovalutato rispetto alle prospettive di recovery... se non fosse che da allora il valore del bond Mechacrome si è più che dimezzato.

Insomma, cose così...

 

[Imark]

Ennesima revisione al rialzo del default rate peak da parte di Moody's che prevede si raggiunga il 16,4% sia in US che worldwide entro il Q4/2009.

Anche la recente parziale riapertura del mercato HY non ha giovato a molti emittenti a rating più basso, che si troverebbero a pagare yield del 30% ove dovessero provare ad emettere nuovo debito, ed ammesso che trovino qualcuno che glielo compri.

Circa il 25% dei bond HY USA emessi scambia sotto i 40/100, secondo un recente report di Morgan Stanley.

U.S. junk bond rally bypasses riskiest companies
Tue Feb 10, 2009 10:18pm GMT

By Dena Aubin

NEW YORK, Feb 10 (Reuters) - A rally in junk bonds is opening funding to a handful of U.S. companies, but a credit freeze lingers for dozens of others, threatening to push bond defaults to Great Depression levels this year.

Even after junk bonds overall posted their best January performance in years, the weakest names are still being crushed with borrowing costs going through the ceiling as investors shun names at risk of default.

"It's not back to normal yet," said Andrew Feltus, portfolio manager at Pioneer Investments in Boston. "There's a lot of distressed issues out there and there's not that much demand for them."

Dozens of companies, ranging from General Motors (GM.N) to Rite Aid Corp (RAD.N), have bonds trading at yields of more than 30 percent, meaning they would have to pay about that much to sell or refinance debt.

Nearly one-quarter of all high-yield bonds are trading below 40 cents on the dollar as weak companies fight a deepening recession, Morgan Stanley said in a recent report.

If borrowing costs stay elevated, "high-yield companies will have trouble operating profitably, let alone refinancing themselves," Morgan Stanley said.

DEFAULTS QUADRUPLE

Bankruptcies have already surged as consumers reeling from layoffs and home foreclosures rein in spending, pushing corporate sales into a tailspin.

The worsening recession prompted Moody's Investors Service to raise its default forecast on Tuesday, with both the U.S. and global rates now expected to peak at 16.4 percent in the final quarter. That rate would top records set in the Great Depression, when the U.S. junk bond default rate hit 15.9 percent and the global rate peaked at 15.4 percent.

The global default rate has already quadrupled to 4.8 percent from 1.1 percent a year ago, Moody's said.

Rising defaults could counteract benefits of a bank rescue plan rolled out on Tuesday and a huge economic stimulus package approved by the U.S. Senate to ease the worst recession in 70 years.

Junk bonds for months have been pricing in massive defaults, with their yields surging to record highs relative to Treasuries. The spread between Treasury and junk bond yields has narrowed from a peak of over 2000 basis points but is still much higher than in the last two recessions, said Kenneth Emery, director of corporate default research for Moody's.

"The high-yield bond spread right now is still around 1600 basis points and in the previous two recessions it barely reached 1000 basis points and then quickly declined," he said. "The ability to get access to the capital market is extremely tight."

CONSUMER COMPANIES SHUNNED

U.S. junk-rated companies sold about $4.9 billion of bonds in January, more than the previous five months combined. But many of the sales were from higher-quality companies and they still had to offer double-digit yields.

Landry's Restaurants Inc (LNY.N), an operator of casual dining restaurants, last week sold bonds yielding more than 20.3 percent, the highest yield on any new junk bond since 2005, according to Thomson Reuters data.

"I think the market's just concerned about investing in any sort of consumer-based company," said Barbara Cappaert, analyst for high-yield research firm KDP Investment Advisors. "You have a lot of gaming companies, a lot of leisure companies trading at close to 15 to 20 percent yields," she said.

Gaming and leisure companies accounted for several defaults in 2008, including a bankruptcy filing by Tropicana Entertainment and a "distressed debt exchange" by Harrah's Entertainment. A distressed debt exchange is a type of debt swap counted as tantamount to a default by rating agencies because investors receive less than the par value of their bonds.

"You've flooded the system with money out there but the financial system is not on its feet yet," said Pioneer's Feltus. "That may not be necessary to have a broad high-yield rally but it sure would help."

 

[Imark]

Ecco il dispaccio di Moody's a commento delle stime sul default rate, che riporto per le info sull'Europa. Moody's prevede che si passi dal 2,4% di gennaio al 19,6% di novembre, quando secondo loro si toccherà il picco dei default in Europa a questo ciclo, per poi scendere al 19,3% entro gennaio 2010.

Se così fosse - ma, lo rammento, le agenzie non sono particolarmente brave in questo genere di previsioni - i bond HY tornerebbero ad essere valutabili in acquisto, con la selettività del caso, già in estate.... a me sembra troppo presto, e trovo anche inverosimile la salita in 10 mesi dal 2,4% al 19,6%.

Vedremo. Sugli altri dati non ripeto quanto già detto sopra, ma in sintesi negli USA siamo a gennaio al 5,2% in termini di default rate, contro il 4,5% del dicembre 2008...

Il distressed index comprende il 52,6% dei bond HY a gennaio contro il 54,7%, livello record, registrato a dicembre scorso.

[FONT=verdana,arial,helvetica]Moody's: European Speculative-Grade Default Rate to Peak in Q4'09[/FONT]

[FONT=verdana,arial,helvetica]New York, February 10, 2009 -- The European issuer-weighted speculative-grade default rate for the 12 months to the end of January 2009 was 2.4%, up from 2.0% at the end of December 2008, according to Moody's Investors Service. It is expected to climb to 19.6% in November and then edge lower to 19.3% a year from now. One year ago, the rate was 0.7%. [/FONT]

[FONT=verdana,arial,helvetica]On a global basis, Moody's speculative-grade default rate rose to 4.8% at end-January from a revised level of 4.1% at the end of last year. One year ago, the global default rate was 1.1%. The US default rate also increased in January, to 5.2% from a revised level of 4.5% one month previously. [/FONT]

[FONT=verdana,arial,helvetica]Moody's default rate forecasting model predicts that the global speculative-grade default rate will rise sharply for most of 2009, reaching a peak of 16.4% in November, and then falling slightly to 15.5% by January 2010, with the US rate hitting a peak of 16.4%, also in the final quarter, and then declining modestly to 15.6% in a year's time. [/FONT]

[FONT=verdana,arial,helvetica]"Rapidly deteriorating global economic conditions and the ongoing banking crisis signal a flood of corporate defaulters in 2009. Moody's now forecasts that roughly 300 rated corporate issuers will default this year, compared with 104 issuers in 2008 and only 18 in 2007," says Moody's Director of Corporate Default Research Kenneth Emery. [/FONT]

[FONT=verdana,arial,helvetica]Moody's model indicates that in Europe the durable consumer goods sector is likely to encounter the highest default rate in the coming year. In the US, the most troubled sector is expected to be consumer transportation. [/FONT]

[FONT=verdana,arial,helvetica]Moody's distressed index closed at 52.6% as at end-January 2009, slightly lower than the 54.7% level recorded at end-2008. [/FONT]

[FONT=verdana,arial,helvetica]Worldwide, a total of 22 Moody's-rated corporate issuers defaulted in January. Of these, 15 are based in North America (12 in the US and three in Canada), three in Europe and the remainder in other regions. This compares to a total of 23 defaults in the previous month and seven in January last year. [/FONT]

[FONT=verdana,arial,helvetica]As a percentage of dollar volume outstanding, the global speculative-grade default rate rose to 6.0% in January from a revised level of 5.8% in December. The corresponding European rate edged higher to 1.2% in January from 1.1% the previous month. [/FONT]

[FONT=verdana,arial,helvetica]In the leveraged loan market, a total of nine Moody's-rated issuers defaulted on loans in January. The trailing 12-month loan default rate among US leveraged loan issuers rose to 4.0% from a revised 3.5% in December[/FONT]

 

[Imark]

Non se la passano bene neanche i leveraged loans, finanziamenti erogati dalle banche per le operazioni di M&A e LBO e parenti stretti dei bond HY, rispetto ai quali tuttavia sono spesso - ma non sempre - secured.

Anche per questi il livello dei default è in netta salita, dallo 0,9% del Q4/2007 al 2,5% di gennaio 2009. Molti rifinanziamenti, anche nei segmenti più difensivi, verranno messi alla prova dall'esigenza di conseguire fatturati e margini operativi che li rendano appetibili come debitori prima del 2013, quando un flusso di debito da rifinanziare si riverserà sui mercati.

Ma la cosa più importante è che Fitch postula una stagione dei default per i leveraged loans molto dura nel biennio 2009-2010, con un default rate che potrebbe superare il 20% del totale, ed una seconda ondata di default che prolungherebbe la fase negativa dei leveraged loans (e dell'HY, di sponda) fino al 2012-2013 compreso.

Leveraged Finance/Europe​

Losses Mount for European Leveraged Loan Investors as Recession Bites​

​

​

The substantial deterioration in economic conditions across European markets since Q308 has affected the free cash flow generation of European leveraged borrowers across many sectors, placing additional pressure on their ability to service their debt obligations and to de‐leverage. ​

In addition, the current economic environment is characterised by declining asset valuations and a severe reduction in available financing for distressed borrowers, which has led Fitch Ratings to revise its recovery estimates for many leveragedborrowers downwards.​

Fitch expects pressure on stretched leveraged credits to continue through most of 2009 and into 2010, such that the recent accelerating trend towards stressed and distressed European leveraged loans is unlikely to
abate. ​

Indeed, defaults among credits in Fitch’ shadow‐rated leveraged credit portfolio are rising, to 2.5% at the end of January 2009 from 0.9% at Q407; however, the agency expects them to accelerate in the current year, given little headroom in debt service coverage, especially for the most cyclical sectors.​

Moreover, the agency warns that even non‐cyclical credits in defensive sectors that are otherwise proving resilient must nonetheless meet aggressive revenue and operating margin forecasts in time for refinancing before 2013, when maturities become due across the market. ​

Finally, while some credits will prove the viability of their business models, substantial market risks remain, as there is no visibility on how or when investor demand for leveraged loans and subordinated debt products will return in sufficient volume and pricing to support substantial refinancing requirements over the medium‐term.​

In light of the substantial and rapid deterioration in demand conditions, Fitch has observed sustained and widespread underperformance against original management forecasts on revenue and cash flow generation.
An increasing number of credits are also underperforming against Fitch’s own, more conservative forecasts, especially in those sectors that are closely correlated to the economic cycle, such as building/materials,
automobiles, certain chemicals, packaging, and broadcasting and media borrowers, which account for 54% of all issuers covered by the agency in its shadow ratings portfolio of European leveraged credits.​

At 31 January 2009, capturing financial reporting generally through October 2008, 52% of Fitch’s shadowrated portfolio of around 300 European leveraged loans were credits with Issuer Default Ratings of ‘B−*’ or below (for an estimated amount of EUR90bn in total debt, excluding any undrawn yet committed debt facilities), whereas the sub‐segment of ‘CC*’and below represented 10% of all shadow ratings. ​

This compares with 38% and 1% respectively in June 2007, at the outset of the credit crunch. The high proportion of low‐rated borrowers in Fitch’ shadow ratings portfolio reflects the pace of downgrades in the last 18 months, and in particular in Q408 when the agency recorded 28 downgrades, as a result of poor performance post September 2008, compared to only seven in Q407. ​

This rating activity has raised the annualised downgrades/upgrades ratio to 5.5x at the end of Q408 from 0.8x in Q407. In addition, while Fitch had a Stable Outlook on 60% of its current shadow ratings at end‐Q408, the increase in the proportion of ratings that are either on Negative Outlook or Rating Watch Negative (RWN) is noteworthy, rising to 31% from 9% in Q407, signalling the possibility of further negative rating action especially as Fitch’ own projections for 2009 and beyond may be adjusted further downwards, in light of the deterioration in global economic growth forecasts, reflected in the disclosure of expected poor Q408 and Q109 results.
​

Fitch expects negative credit trends to materialise primarily among cyclical industrials credits (48% of all shadow ratings in the sector are on Negative Outlook or RWN), especially in building/materials, auto parts, chemicals and certain manufacturing activities dependent on consumer end‐markets.

Other sectors vulnerable to the current economic cycle include telecommunications and media (32% of shadow ratings on Negative Outlook or RWN), primarily advertising‐related credits and some of the more highly leveraged and growth dependent cable names.

Finally, many retail, leisure and consumer products credits also remain vulnerable (21% on Negative Outlook or RWN); however, these sectors may vary due to the fragmented base of specific sub‐sectors, some of which are proving largely resilient or with strong “niche” characteristics in the current cycle, such as food and beverage, food and drug retail, “valueoriented” general retail, and healthcare/pharma segments.

To estimate future European leveraged loan default rates, the outstanding amount of total debt for the highest‐risk borrowers (rated ‘−’with a Negative Outlook or below, approximately EUR31bn) is set against
Fitch’ estimated shadow‐rated total debt outstanding of EUR275bn.

Consequently the agency estimates that leveraged loan default rates may rise to 10%‐15% in the next 12‐18 months, although cumulative defaults between the onset of the credit crisis in 2007 through 2010 could rise up to or even above 20%. Defaults are usually preceded by a breach of financial covenants, though current vintages, with looser covenant tests and enforcement language, will more likely default on the basis of insufficient cash and/or liquidity to meet current debt service or principal maturities.

Favourable maturity profiles mitigate cash flow pressures to some degree. Fitch estimates that for its shadow credits with Issuer Default Ratings of ‘+*’and below, approximately EUR3.8bn of debt (principally Term Loan As) in aggregate will be due for repayment in 2009, increasing to EUR4.8bn in 2010, EUR9bn in 2011, EUR9bn in 2012 and EUR21.5bn in 2013.

Since European leveraged borrowers will not generate sufficient free cash flows to repay debt, as even the less aggressive base‐case plans assumed refinancing of maturing loans, the significant (and increasing) degree of refinancing risk may lead to a second wave of defaults in 2012 and 2013, when many bullet tranches fall due.​

Meanwhile, those borrowers that need to restructure at this current point in the cycle will continue to find diminished availability of financing and fewer trade buyers with liquidity available for acquisitions. Deeply discounted equity markets, coupled with a meagre outlook for medium‐term sales and profit growth, will translate into lower enterprise value/EBITDA multiples.

Consequently, recovery rates will be lower for certain groups of creditors, increasingly reflecting liquidation‐based recoveries rather than going‐concern “consensual” restructurings. Moreover, to the extent the stakeholders can arrange a going‐concern restructuring, realising recoveries will take longer than initially assumed.

Therefore the agency expects to see more cases of insolvency as opposed to work‐outs, as already seen in Q408 in the cases of TMD Friction, Edscha, and Waterford Wedgwood.

Against this backdrop, and as part of its ongoing monitoring of shadow ratings, Fitch is adjusting downwards certain assumptions in its recovery analysis, especially for the credits and sectors subject to the combined
risks of declining demand and asset values.

While expected recoveries for junior debt (second lien and mezzanine) remain very low (generally in the ‘R6*’0‐10% range) ‐‐ a Fitch expectation which predates the credit crunch ‐‐ the agency’ selective and ongoing re‐assessment of recoveries across sectors is bringing the historically high recovery expectations for senior loans into the ‘R3*’category (51%‐70%), whereas precrisis the agency had estimated leveraged loan recoveries at the lower end of the ‘R2*’category (71 ‐ 90%).

Building/materials and chemicals are two examples of sectors that are more prone to exhibit even lower recoveries, often in the low to mid‐‘RR3*’category, depending on the proportion of senior debt in
the overall capital structure.

Notwithstanding prevailing trends and mounting evidence of poor performance in Q408, Fitch still expects that borrowers with stronger business models, notably in defensive and duopoly sectors, as well as
transactions structured on a more conservative basis after the onset of the credit crunch, will de‐lever substantially before debt maturities become due after 2012.

By then, existing creditors will be left assuming that both funding and risk appetite among traditional banking syndicates, surviving CLO and
Mezzanine fund managers and the high yield bond market will return in adequate size and offer acceptable pricing to refinance legacy borrowers.​

 

[Imark]

Le scadenze del debito HY da rifinanziare negli USA: 26 mld $ 2009, 44 mld $ nel 2010, 120 mld $ nel 2011.

Ci vuole molto ottimismo a concludere, con Moody's che il picco del ciclo dei default per l'HY USA sarà raggiunto già nel novembre 2009.

Ho idea che ci vorrà molto più tempo...

[FONT=verdana,arial,helvetica]Moody's: Refunding Needs and Risks to Increase Significantly in 2009[/FONT]

[FONT=verdana,arial,helvetica]New York, February 19, 2009 -- The debt maturities of speculative-grade companies will soar during the next three years and there is high risk that many will be unable to retire these obligations, according to a Moody's Investors Service study of 478 rated issuers in the U.S. [/FONT]

[FONT=verdana,arial,helvetica]This will contribute to a sharp rise in corporate defaults in 2009, according to Moody's. [/FONT]

[FONT=verdana,arial,helvetica]The 478 companies have $190 billion of debt coming due between 2009 and 2011, Moody's found in its 11th annual study of the refunding risk and needs of U.S. speculative-grade corporate issuers. In last year's study, which covered 300 companies, maturing debt totaled $86 billion. [/FONT]

[FONT=verdana,arial,helvetica]Refunding risk is now very high amid continuing turmoil in the credit markets, a general lack of market liquidity and weak economic conditions. Meanwhile, speculative-grade maturities will escalate over the next three years, from the $26 billion due in 2009, to $44 billion in 2010 and $120 billion in 2011. The spike in 2011 reflects the maturity of a large amount of debt assumed in leverage buyouts. [/FONT]

[FONT=verdana,arial,helvetica]"Refunding needs are at their highest level since the inception of this annual study 11 years ago," says Moody's VP-Senior Credit Officer Kevin Cassidy. "At the same time, refunding risk is magnified by a flight to quality among investors and banks' cautious approach in lending to lower-rated speculative-grade companies." [/FONT]

[FONT=verdana,arial,helvetica]These issues and eroding liquidity at many companies will help drive the U.S. speculative-grade default rate to a peak of 16.4% by November 2009 from 4.4% at the end of 2008, Moody's forecasts. [/FONT]

[FONT=verdana,arial,helvetica]Refunding risk is particularly acute for the $26 billion of debt maturing in 2009 due to the current credit market conditions. Nearly one-fourth of this debt carries instrument ratings of Caa1 or lower. [/FONT]

[FONT=verdana,arial,helvetica]"With the flight to quality witnessed in today's markets, lower ratings equate to a substantial increase in refunding risk for lower-rated speculative-grade companies," noted Cassidy.[/FONT]

[FONT=verdana,arial,helvetica]The ratings agency's study divides refunding risk into two components: market refunding risk - which is high because of the broad financial crises - and ratings-specific refunding risk. According to Moody's, overall ratings quality has deteriorated for maturing bonds and improved slightly for bank credit facilities as compared to last year's study.[/FONT]

 

[Imark]

Continuiamo a seguire il montare dell'onda di tsunami dei default...

Il rapporto fra downgrades e upgrades monitorato da S&P segna un nuovo record storico, battendo quello registrato nel 2001, con gli emittenti corporate in creditwatch negativo o con outlook negativo segnano un nuovo record assoluto a quota 42% del totale e quelli nella situazione opposta un nuovo record, in termini di minimo storico, al 7% del totale.

La serie storica dei dati cui si riferisce S&P parte dal 1990 e dunque non tiene conto né della recessione dell'81, né di quelle precedenti degli anni '70.

I primi comparti merceologici a soffrire in termini di arretramento del merito di credito sono stati quelli dei consumer products ciclici, poi nel 2009 la situazione di difficoltà si è estesa anche ad altri comparti dell'upstream produttivo (estrattivo, materie prime, oil&gas, acciaio e metallurgia)

Downgrade-To-Upgrade Ratio And Downgrade Potential Hit All-Time Highs, Article Says

NEW YORK (Standard & Poor's) March 4, 2009--Credit quality continued to deteriorate in February, with downgrades outpacing upgrades 49 to 6 in the first three weeks of the month, said an article published today by Standard & Poor's.

So far in the first quarter, downgrades are outpacing upgrades 14.3 to 1.
If that pace continues, first-quarter 2009 would be the worst quarter on
record in terms of this ratio, according to the article, titled "U.S.
High-Yield Prospects: Downgrade Potential Hits All-Time High (Premium)."

Downgrades to upgrades were 8.9 to 1 in the fourth quarter of 2008 and
reached an all-time high of 14.1 to 1 in the fourth quarter of 2001.

We expect that downgrades will far outpace upgrades over the next few quarters, as the proportion of firms with ratings on CreditWatch negative or with a negative outlook (or negative bias) reached an all-time high of 42%, while positive bias reached an all-time low of 7% (data series starts in 1990).

"Economic weakness is having an ever-widening impact across sectors. In 2008, consumer-sensitive sectors, such as automotive, retail and restaurants, and consumer products, saw numerous downgrades," said Diane Vazza, head of Standard & Poor's Global Fixed Income Research Group.

More upstream sectors such as capital goods; metals, mining, and steel;
and oil and gas had a relatively benign number of downgrades. "However, even sectors that held up relatively well in 2008 have begun to see an uptick in downgrades, as profits and financial measures in these sectors erode," said Ms. Vazza.

 

[Imark]

E sono venuti fuori anche i dati mensili delle agenzie sul default rate. Per gli USA a febbraio siamo al 5,4% contro il 4,66% del mese di gennaio. S&P si attende un picco del 13,4% a gennaio 2010, con la possibilità che si salga fino al 18,5% in caso di peggioramento superiore alle proprie stime del contesto macroeconomico (il cd. worst case scenario).

Default Rate Continues To Climb, Reaching 5.4% In February, Article Says

NEW YORK (Standard & Poor's) March 3, 2009--The number of corporate defaults in 2009 continued the expansion seen at the end of 2008, with nine more U.S. defaults in February, bringing the year-to-date total to 27, said an article published today by Standard & Poor's.

All of this month's defaults hail from nonfinancial sectors, with nearly
half coming from media and entertainment, according to the article, titled "U.S. Credit Metrics Monthly: Default Rate Moves Up To 5.4% In February
(Premium)."

The preliminary estimate for the U.S. 12-month-trailing speculative-grade default rate in February is 5.4% (subject to revision), higher than the 4.66% in January and much higher than the 1.23% reported in February 2008. We expect the speculative-grade default rate to escalate to a mean forecast of 13.9% by January 2010, but it could reach as high as 18.5% if economic conditions are worse than expected.

"Following the recent financial downturn, the number of defaults in the U.S. continued to increase through February," said Diane Vazza, head of
Standard & Poor's Global Fixed Income Research Group. "Relevant credit metrics in the U.S. show continued deterioration of credit quality and adverse lending conditions, contrasted with the first signs of life among new issuance."

 

[Imark]

Ogni agenzia valuta il default rate sugli emittenti da essa rateati. E siccome i numeri non sono coincidenti, e Moody's ha un maggiore numero di emittenti rateati, anche le percentuali sono leggermente diverse. Per Moody's a febbraio siamo saliti al 5,2% worldwide, il picco del default rate è stato indicato al 15,3% da raggiungersi per fine 2009.

Attenzione: il picco risulta inferiore al 16,4% pronosticato il mese precedente da Moody's, ma solo perché c'è stato di recente un modesto declino dello spread sugli HY (che, aggiungerei, potrebbe essere celermente invertito al primo prossimo default di una certa consistenza).

Bellissima la frase evidenziata, una sorta di warning: la situazione attuale in termini di lunghezza potenziale e di possibile severità della recessione è tale da non consentire al nostro modello di elaborazione che stima il default rate di essere attendibile D).

Per l'HY europeo il picco del defaul rate è previsto al 22,5% eek, per gli USA al 13,8%. Sempre per gli USA si è passati dal 5,2% di gennaio al 5,7% di febbraio. Per l'Europa dal 2,4% al 2,7%.

Il distressed bonds ratio (oltre 1.000 bp di rendimento in eccesso rispetto a titoli di stato di pari caratteristice) è sceso globalmente dal 52,8% al 48,4%. Li rammento che statisticamente il 50% dei bond distressed va in default nel biennio successivo al verificarsi della situazione.

[FONT=verdana,arial,helvetica]Moody's: Global speculative-grade default rate increased to 5.2% in February[/FONT]

[FONT=verdana,arial,helvetica]New York, March 05, 2009 -- The global speculative-grade corporate default rate for the trailing 12 months rose to 5.2% in February from 4.8% in January, according to Moody's Investors Service. [/FONT]

[FONT=verdana,arial,helvetica]The ratings agency's default rate forecasting model now predicts that the global default rate will rise to 14.8% by the end of this year, and then edge lower to 13.8% by February 2010. [/FONT]

[FONT=verdana,arial,helvetica]This forecast is down from last month's projection of a 16% percent default rate at year end. The reduction is due mainly to a recent modest decline in high-yield bond spreads, which are one factor in Moody's default forecasting model. Moody's current model forecast for the 2009 peak in global default rates is 15.3% in the fourth quarter, down from 16.4% in last month's forecast. [/FONT]

[FONT=verdana,arial,helvetica]"The high level of uncertainty surrounding the potential length and severity of the current global economic downturn imply similarly high uncertainty for model-based forecasts of default rates," said Kenneth Emery, Moody's director of corporate default research."There is going to be some modest movement in our forecasts month to month." [/FONT]

[FONT=verdana,arial,helvetica]Measured on a dollar volume basis, the global speculative-grade bond default rate rose from 6.0% in January to 6.7% in February. At this time last year, the global dollar-weighted bond default rate was significantly lower at 0.9%. [/FONT]

[FONT=verdana,arial,helvetica]Moody's default rate forecasting model now predicts that the U.S. speculative-grade default rate will reach 13.8% at the end of 2009, while the European speculative-grade default rate is expected to rise to 22.5%. [/FONT]

[FONT=verdana,arial,helvetica]The U.S. speculative-grade default rate reached 5.7% in February, up from 5.2% in January. In February 2008, the U.S. default rate stood at 1.5%. [/FONT]

[FONT=verdana,arial,helvetica]Among U.S. speculative-grade issuers, the dollar-weighted bond default rate rose from 6.9% in January to 7.6% in February. At this time last year, the U.S. dollar-weighted bond default rate stood significantly lower at 1.0%. [/FONT]

[FONT=verdana,arial,helvetica]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. [/FONT]

[FONT=verdana,arial,helvetica]Moody's speculative-grade corporate distress index, which measures the percentage of rated issuers that have debt trading at distressed levels, closed at 48.4% in February, down from 52.8% in January. [/FONT]

[FONT=verdana,arial,helvetica]In all, a total of 17 Moody's-rated corporate issuers defaulted in February. Of these, 13 issuers were based in the U.S., two in Brazil, one in Denmark and one in Ukraine. [/FONT]

 

[Imark]

Una chiacchierata del Telegraph con il vice presidente di Moody's... dice più o meno le cose che si possono intuire dai numeri, aggiungendo che le cose potrebbero andare peggio (fino al 20% di default rate) se la situazione macroeconomica dovesse ulteriormente peggiorare.

I paralleli con il 1933 sono fuori luogo e frutto di elaborazione giornalistica: all'epoca i bond HY non esistevano, essendo nati ad inizio anni '80.


Moody's predicts default rate will exceed peaks hit in Great Depression

A bigger proportion of non-investment grade companies will go bust in the US and overseas in the coming years than during the Great Depression, according to Moody's, one of the world's foremost experts on credit.

By Edmund Conway, Economic Editor
Last Updated: 7:42PM GMT 26 Feb 2009

In what will be seen by many as die-cast confirmation that the world economy is plummeting towards an economic and corporate implosion of unprecedented proportions, Moody's said it anticipated a tidal wave of defaults was approaching.

It said that in the coming months more than 15pc of speculative-grade bonds and loans - all but the most highly-rated - would default on their debts.

This peak is even higher than the peak reached in 1933, when bank after bank throughout America was collapsing, taking hoards of other companies with them. Back then, the default rate peaked at 15.4pc; moreover these companies were former investment grade issuers regarded as more reliable credit prospects than their contemporary counterparts.

Kenneth Emery, senior vice president at Moody's said: "The three main drivers of the forecasting model are forecasts for the high-yield bond spread and the unemployment rate, along with the current level of issuer ratings. In the fourth quarter, the high yield bond spread reached unprecedented levels; and we've got an unemployment forecast approaching 9pc this year and issuer ratings at record low levels.

"We certainly think that this credit cycle will be worse than the last two in the early 1990s and 2000s. In fact, in 2009 we expect to see the largest number of defaults since the advent of high yield bond market in the early 1980s. And the default rate for non-investment grade bonds may reach levels even higher than those registered during the Great Depression.

"There are risks here because we are in unchartered territory, but the model forecast is that roughly 15pc of our speculative-grade issuers globally will default in 2009. In Europe the forecast default rate is even higher at close to 19pc."

The report traced the health of the bond market all the way back to the 1920s, and finds that the threat of companies defaulting is more stark now than at any point in that stretch of time. It predicted that company defaults will triple this year to about 300, after 101 defaulted last year on more than $280bn of debt.

If the economy deteriorates by even more than expected, the default rate could conceivably mount to around 20pc, Moody's added - meaning around one in five of all non-investment grade issuers default, something which has never happened before. The companies most at risk of default are consumer transport groups, which largely constitute airlines, media companies and car manufacturers.

In Europe, the sectors most at risk of defaulting include those providing durable and non-durable consumer goods and business services.

 

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Il prossimo capitolo della crisi finanziaria, quello dell'ascesa del default rate verso il suo picco, ha un addentellato anch'esso nella finanza strutturata.

Perché anche il debito HY, prevalentemente i loans bancari, è stato cartolarizzato ed i CLO's bonds (Collateralized Loans Obligations) rischiano di essere la prossima classe di asset "tossici" riconosciutamente tale, dopo i famosi CDO's bonds e i RMBS frutto delle cartolarizzazioni USA dei mutui immobiliari, subprime e non.

E' di pochi giorni fa la decisione di Moody's di mettere sotto osservazione per un downgrade tutte le tranche di CLO'S bonds salvo le seniores, ossia quelle più resistenti ad una eventuale ondata di default, che verrebbero assorbite appunto dalle classi di bond juniores.

L'ipotesi di Moody's è che nei prossimi 5 anni defaulteranno da un minimo del 30% ad un massimo del 36% di tutti gli emittenti HY e dunque solo i CLO seniores saranno salvi sull'assunto che essi siano in grado di resistere ad un default del 50% degli emittenti con un recovery rate del 40% sui loans, percentuale che, ad avviso di Moody's non dovrebbe essere raggiunta.

Si tenga conto che i loans HY hanno il più delle volte un ranking più elevato di quello dei bond HY, sebbene il biennio 2006-2007 sia stato un periodo di loans covenant lite, ossia a basso livello di protezione per il finanziatore.

Il valore delle tranches di CLO's messe sotto osservazione per un downgrade è pari a circa 100 mld $