CreditSights Risk Products: Managing Credit Risk in Challenging Markets IACPM Fall Conference, November 2015
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1 CreditSights Risk Products: Managing Credit Risk in Challenging Markets IACPM Fall Conference, November 2015 Jim Sullivan +1 (212)
2 CreditSights: Fundamental Research and Risk Products CreditSights fundamental research is carried out by over 70 analysts covering over 900 credits in North America, Europe and the Asia-Pacific region. CreditSights also provides quantitative credit risk tools to our clients via CreditSights Risk Products. BondScore, our short-term default risk product, and Ratings, our medium-term ratings product comprise our model suite. The combination of qualitative fundamental analysis from our analyst team and quantitative credit risk models makes CreditSights a compelling proposition. Our analysts are continually involved in the development and enhancement of our credit risk models, and provide ongoing support through commentary and analysis. 2
3 CreditSights Risk Ratings Products: Model Philosophy 3 3
4 CreditSights Risk Ratings Products: Methodology Overview BondScore Ratings Core Output One-yr forward PD* medium-term credit rating Weighted towards Equity Fundamentals Corporates hybrid approach based on 5-yr cumulative PD Fundamentals 20% 70% 8 sector-specific models 8 sector-specific models Equity 80% 30% Financials statistical approach fit to agency ratings Fundamentals 20% - 35% 85% - 100% ** Equity 65% - 80% 0% - 15% * Six-month forward distress probability for European banks ** European banks and North American insurers are modeled using 100% fundamental information 4 4
5 CreditSights Ratings Risk Products: Coverage as of November 2015 European insurer coverage and a 1-yr PD model for private firms was launched in mid-2015, along with enhanced North American insurance models. Asian-Pacific corporate coverage will follow in 2016, along with a relative value indicator. * Includes 362 defaulted and acquired firms BondScore Ratings Total North America Corporates Financials Europe Corporates Financials Private
6 CreditSights Risk Products: Methodological Integration In June 2015 we integrated our default probability and ratings models for corporates, US banks, brokers and REITs, so that they now share a common methodological framework. We also introduced a new default model for private non-financial companies, and added over 50 European insurers to our existing US insurer coverage. The methodology for assigning Credit Risk Levels (CRLs) was changed to use static Credit Risk Estimate (CRE) cut-offs. 6
7 CreditSights Risk Products: Credit Risk, Now and Then Unlike the financial crisis of , commodity sector CREs have led the deterioration in average CREs. The median CRE for all NA HY firms remains at half its peak in early 2009, but has doubled since fall
8 CreditSights Risk Products: Credit Risk, Now and Then The deterioration in CREs has been across both B and CCC and lower rated commodity companies, with both categories now showing a median CRE in High Risk territory. 8 8
9 CreditSights Risk Products: Credit Risk, Now and Then Average CSRs for NA HY commodity companies have fallen sharply since fall 2014, with a five notch move lower across both B and CCC and lower rated companies since January
10 CreditSights Risk Products: Credit Risk, Now and Then Median interest coverage is at its lowest point in over 8 years for B and CCC and lower rated commodity companies, while remaining steady among non commodity-related businesses
11 CreditSights Risk Products: Latest Performance Back-Tests Across 325 agency composite rating (ACR) actions between 1 Jan 2015 and 30 Sep 2015, the CSR was a leading indicator 74% of the time, with a lead time of approximately 31 weeks. Using an absolute difference of two or more notches, CSRs led ACRs 87% of the time. Downgrades outpaced upgrades 58% to 42%. Of the 118 issuers in the BAML US IG index with a low-bbb rating, 27 have a CSR two or more notches below the ACR, representing a total face value of debt approaching $100bn
12 CreditSights Risk Products: Latest Performance Back-Tests The BondScore 6 Credit Risk Estimate (CRE) did a great job of predicting 2014 defaulters a year in advance, with a 98% accuracy ratio. All defaulting companies would have shown a High or Very High Credit Risk Level one year before defaulting. Source: CreditSights Risk Products CREs as of 12 months prior to default date 12
13 CreditSights Risk Products: Latest Performance Back-Tests Among the 35 corporate defaults that occurred between 1 Jan and 30 Sep 2015, 25 companies were covered in our BondScore model. The average CRE (1-yr PD) across this group was 10% a year before default, the bottom end of the range for a Very High Credit Risk Level (CRL), while the average CRE (1-yr PD) among non-defaulting HY companies in Sep 2014 was 1.4%. The model had a 90% accuracy ratio across those 25 defaulting companies; the AR rises to 97% once we exclude several distressed exchanges. Every company not involved in a distressed exchange had a Credit Risk Level of at least High. Global Defaulted Bond Issuers Covered by BondScore 1 Jan to 30 Sep 2015 Com pany Industry Sector CRE Connacher Oil & Gas Exploration & Production 29.2% Verso Paper Forestry/Paper 23.5% Walter Energy Metals/Mining Excl. Steel 14.4% Radioshack Specialty Retail 13.8% Quicksilver Resources * Exploration & Production 11.4% Midstates Petroleum Exploration & Production 9.4% Quiksilver * Specialty Retail 7.8% Molycorp Inc Metals/Mining Excl. Steel 6.5% Alpha Natural Metals/Mining Excl. Steel 6.4% Sabine Oil & Gas Exploration & Production 6.0% Goodrich Petroleum Exploration & Production 5.0% American Eagle Exploration & Production 4.9% Colt Defense Aerospace/Defense 4.7% Norske Skog Forestry/Paper 3.9% Caesar's Entertainment Gaming 3.9% Hercules Offshore Oil Field Equipment & Services 3.6% SAExploration Support-Services 3.3% * Two distinct bond issuers within the group defaulted CRE as of one-year prior to default Excludes six distressed exchanges So urce: CreditSights Risk P ro ducts 13 13
14 CreditSights Risk Products: Largest Falling Angel Candidates 14 14
15 CreditSights Risk Products: Largest Rising Star Candidates 15 15
16 CreditSights Risk Products: Private Non-Financial Companies For highly-leveraged private firms, the absence of equity market information creates a challenge in capturing near-term default risks. We have developed an extension to our private-firm rating model that incorporates a new Credit Risk Estimate, based on the following risk factors: Implied Market Leverage; Cash / Current Liabilities; Earnings Growth; Earnings Volatility. Implied Market Leverage uses a sector-based multiple of enterprise value to EBITDA to estimate the market value of equity. Any private company of interest can be modeled using the CreditSights Risk Products website. 16
17 CreditSights Risk Products: Data Visualizer A major upgrade to the CreditSights Risk Products offering in 2015 was the Data Visualizer, which allows users to visualize the data used in our models - as well as their outputs on both an aggregate and historical basis. Comparisons can also be made against any custom portfolio of interest. The charts on slides 7 10 were all put together using the Data Visualizer
18 CreditSights Risk Products: Default Rate History We have constructed a set of historical default rates based on the BAML Euro and USD high yield indices has seen a rise in US HY default rates. Note: USD and Euro default rates are based on the BAML H0A0 and HE00 indices respectively. Source: CS Risk Products, 18 Moody s. 18
19 CreditSights Risk Products: 2016 Default Forecast Approach We estimate the default risk of each bond market index by combining three approaches: 1. For nearly 2/3 of US HY issuers and ½ of EU HY issuers, we use our BondScore default risk model; 2. For issuers not currently scored by our models, we create scenario default probabilities based on bond ratings and prices. Market Leverage Equity Volatility Index Outperformance Bond Rating & Price Scenarios; HY Index OAS Implied Market Leverage Earnings Volatility Earnings Growth Cash / Current Liabilities Fundamental Ratios 19
20 CreditSights Risk Products: 2015 Default Results So Far Our full-year forecast for 2015 was revised lower in July upon the introduction of a new bond-implied CRE model. Euro HY default rates have been lower than foreseen; as few as three defaults would increase the default rate by 1% given the low count (320) of Euro HY bond issuers. CreditSights 2015 HY Default Forecast Initial Update Result Feb-15 Jul-15 thru Sep-15 US HY 3.5% to 4.0% 3.0% to 3.5% 3.2% EU HY 2.5% to 3.0% 2.0% to 2.5% 1.7% So urce: CreditSights Risk P ro ducts Note: USD and Euro default rates are based on the BAML H0A0 and HE00 indices respectively
21 CreditSights Risk Products: Preliminary Default Forecast 2016 The elevated CRE levels for US commodity sectors (illustrated in slides 7 & 8) suggest that the high issuer-weighted default rate across these sectors (10% as of Sep 2015) will continue throughout USD HY default rates are likely to rise again in 2016, and could reach levels as high as 4% to 4.5%. These levels approach historical averages. We expect Euro HY default rates to increase during 2016 to between 2.5% and 3%. Our detailed default forecast, including our views of issuers and sectors that face the highest risk of default during 2016, will be issued in December
22 CreditSights Risk Products Copyright 2015 CreditSights Analytics, LLC. All rights reserved. Reproduction of this report, even for internal distribution, is strictly prohibited. The information in this report has been compiled from sources believed to be reliable, but neither its accuracy and completeness, nor the opinions based thereon, are guaranteed. CreditSights Analytics products are not recommendations or opinions that are intended to substitute for an investor s independent assessment of whether to buy, sell or hold any financial products. If you have any questions regarding the contents of this report, contact CreditSights at in the United States or in Europe. BondScore and CreditSights Ratings are offered by CreditSights Analytics, LLC, an affiliate of CreditSights, Inc. CreditSights Limited is authorized and regulated by The Financial Services Authority. This product is not intended for use in the UK by Private Customers, as defined by the Financial Services Authority.
CreditSights Risk Products: Credit Risks and Opportunities IACPM Fall Conference, November 2016
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