UBS Equities-Global Strategy _USEU Credit Default and Recovery Rate Anal...-106412655
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ab
Global Strategy
US/EU Credit Default and Recovery Rate Analysis
– January 2024
In the January US/EU Credit Default and Recovery Rate Analysis, we update monthly
default statistics covering issuers in the following markets: US HY bonds, US Leveraged
Loans, European HY bonds and European Leveraged Loans. We also analyze distressed
debt in the same markets.
!"#$#"#%#"&#As we
noted in our recent "6 Key Credit Market Themes for 2024", financial conditions have
been improving in recent months. We see further evidence with the recently published
C&I tightening conditions (Figure 1). Overall banks reported most improved financial
conditions since mid-2022 with less tight financing conditions ahead as well. Another
indicator, distressed ratios, also show better market conditions (Figure 2) with US/EU
ratios at the lowest since middle of 2022. While US/EU HY distress ratios have ticked
higher slightly from previous month, they are still below 2023 averages. We provide
distressed amount by sectors (Figures 3-6). Communications sector has the most
amount of distressed debt in US HY, Consumer non-cyclical and Comms in US LL.
Financial sector dominates in EU HY and consumer sectors in EU LL.
'!&#$"$()*+&#%() There were four
US LL issuer defaults in January (Figures 9), most since June 2023: GORMED (missed
payment), CBSR (bankruptcy), STAPAR (bankruptcy), MOBLEU (missed payment), and
only one US HY issuer default (Figures 14): CBSR (bankruptcy). LTM US HY issuer/par (-
0.1 to 2.4/unch'd at 1.3%) and US LL issuer/par (+0.1 to 3.0/unch'd at 1.9%) default
rates are little changed from the prior month.
, -&### "$ After seeing four (EU HY) and three
(EU LL) straight months of defaults, January saw no defaults in European markets
(Figures 19&24). EU HY issuer/par default rates remain at 1.4/0.9% while EU LL issuer/
par default rates remain at 1.3/1.1%. These are 50-66% below those in the US which
support our more constructive view on EU spreads.
#%##".Even with four defaults in US LL,
recovery rate is little changed (Figures 10&15&20&25) at 46% (+1%) and HY is slightly
lower at 41% (-2%). With no defaults, European HY/LL recovery rates remain at
15/39%.
$##
•Default criteria: bankruptcies, distressed exchanges, restructuring and missed
payments where financial impairment has occurred.
•Recovery rate: based on prices observed on the date of default.
(""/#$")
This report has been prepared by UBS Securities LLC. 010+! 2332034101-5'3--3!24!'!6789:;<78=
78>?@ABC7?8?8CDE5;B8C7CBC7FEEGEB@9DEF7EHI;J:7GDE<JK'L!6JE=78?8IB=E
!##"
Global
+"%
Strategist
younghoon.kim@ubs.com
+1-212-713-2307
.%M#
Strategist
james.martin@ubs.com
+1-212-713 7960
M##M620
Strategist
matthew.mish@ubs.com
+1-203-719 1242
.2N
Strategist
julien.conzano@ubs.com
+44-20-7567 2067
LLO
Strategist
bhanu.baweja@ubs.com
+44-20-7568 6833
!##" 8 February 2024 ab 2
" "#" # %$" &#
%$%#$O##"P
1.8%
-40%
-20%
0%
20%
40%
60%
80%
2005 2006 2007 2009 2010 2012 2013 2014 2016 2017 2019 2020 2022 2023
C&I Tightening Standards C&I Tightening Standards Forecast
Source: Bloomberg, UBS
"-###"Q#N"&%
,
0%
5%
10%
15%
20%
25%
30%
35%
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024
US LL Distressed Ratio (%) US HY Distressed Ratio (%)
EU HY Distressed Ratio (%) EU LL Distressed Ratio (%)
Source: Bloomberg, LCD, Credit Suisse Indices, UBS
",'!*+-#0%##
40
17
88
442211
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
0
5
10
15
20
25
30
35
40
45
Comms
Cons Non-Cycl
Cons Cycl
Tech
Capital Goods
Basic Ind
Trans
Util
Finance
REITS
US HY Distressed Amount ($bn) Percent by sector (%, rhs)
Source: Credit Suisse Indices, UBS
"'!-#0%##
25
19 18
9
5
32
0%
2%
4%
6%
8%
10%
12%
0
5
10
15
20
25
30
Cons Non-Cycl
Comms
Tech
Cons Cycl
Industrial
Basic Mat
Financial
US LL Distressed Amount ($bn) US LL Distressed Percent (%, rhs)
Source: Credit Suisse Indices, UBS
"R'*+-#0%##
16
7
5
33221
0%
5%
10%
15%
20%
25%
30%
35%
0
2
4
6
8
10
12
14
16
18
Financial
Comms
Cons Non-cycl
Industrial
Cons Cycl
Energy
Tech
Basic Mat
EU HY Distressed Amount (€bn)
EU HY Distressed Percent (%, rhs)
Source: Credit Suisse Indices, UBS
"S'-#0%##
5
2
1
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
Cons Non-Cycl
Cons Cycl
Industrial
EU LL Distressed Amount (€bn)
EU LL Distressed Percent (%, rhs)
Source: Credit Suisse Indices, UBS
!##" 8 February 2024 ab 3
'!*"+
"T'!*+"PM#3-&##
2.4%
0%
2%
4%
6%
8%
10%
12%
14%
2006 2008 2010 2012 2014 2016 2018 2020 2022 2024
Trailing 12-Month Issuer Default Rate (%)
Source: Credit Suisse Indices, UBS
"'!*+"PM#U-&##
1.3%
0%
2%
4%
6%
8%
10%
12%
14%
2006 2008 2010 2012 2014 2016 2018 2020 2022 2024
Trailing 12-Month Par Default Rate (%)
Source: Credit Suisse Indices, UBS
"V'!*+M#-#
0
1 1
8
12
6
9
6 6
5
7
6
0 0
1 1
2
1
0 0 0
1
2
1
0 0
2
0
2
4
0
2
1
0
2
1
2
1 1
2
4
3
2
3
0
4
2
0
1
0
2
4
6
8
10
12
14
Jan-20
Mar-20
May-20
Jul-20
Sep-20
Nov-20
Jan-21
Mar-21
May-21
Jul-21
Sep-21
Nov-21
Jan-22
Mar-22
May-22
Jul-22
Sep-22
Nov-22
Jan-23
Mar-23
May-23
Jul-23
Sep-23
Nov-23
Jan-24
USD HY Monthly Default Count
Source: Credit Suisse Indices, UBS
"'!*+"PM##
41%
20%
25%
30%
35%
40%
45%
50%
55%
60%
65%
70%
2006 2008 2010 2012 2014 2016 2018 2020 2022 2024
Trailing 12-Month Recovery Rate (%)
Source: Credit Suisse Indices, UBS
摘要：
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abGlobalStrategyUS/EUCreditDefaultandRecoveryRateAnalysis–January2024IntheJanuaryUS/EUCreditDefaultandRecoveryRateAnalysis,weupdatemonthlydefaultstatisticscoveringissuersinthefollowingmarkets:USHYbonds,USLeveragedLoans,EuropeanHYbondsandEuropeanLeverage...
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时间：2024-03-02
