Fallen Angel risk results from the possibility and price impact of bond downgrades from investment grade (IG) into high yield (HY).
In this webinar, Moody’s Analytics researchers Samuel Malone, Ph.D. and Yukyung Choi present evidence on the early warning power of the CreditEdge Deterioration Probability metric for predicting Fallen Angel downgrades.
They find that Deterioration Probability quintile portfolios exhibit monotonically increasing rates of Fallen Angel downgrade frequencies, and that historical under performance by high Deterioration Probability versus low Deterioration Probability bond portfolios is exacerbated during market downturns. These findings should be of interest to fixed income investors, as the price deterioration experienced by bonds in the year prior to a Fallen Angel downgrade event is significantly greater than the price deterioration experienced by bonds of future IG downgrades on average.
As inferred from May-to-date's average 2.56-million initial state jobless claims per week, another outsized shrinkage of payrolls is likely following the loss of 881,000 jobs in March and the mind-boggling disappearance of 20.54-million jobs in April.
Across all rating categories, the recent $7.830 trillion of nonfinancial-corporate debt of North American nonfinancial companies rated by Moody's Investors Service was divided among $5.994 trillion of outstanding corporate bonds, $1.392 trillion of outstanding loans, and $444 billion of revolving credit facilities.
Expectations of an unfolding upswing by business activity from a miserable April have lifted financial markets.
In March 2020, the issuance of US$-denominated investment-grade (IG) corporate bonds soared to a record $268 billion, which far surpassed January 2017's erstwhile zenith of $193 billion.
En este seminario web, utilizaremos las métricas EDF de Moody’s Analytics para evaluar el impacto que COVID-19 ha tenido hasta ahora en el riesgo de crédito.
April will be home to the most pronounced monthly shrinkage of U.S. payrolls since January 1939 at least.
Thus far in April, earnings-sensitive financial markets have improved despite what is likely to be a wretched month for both U.S. business activity and the labor market.
As COVID-19 spreads globally, fear and uncertainty are rising, roiling financial markets and pushing the global economy towards recession. This report uses Moody’s Analytics CreditEdge™ public-firm EDF™ (Expected Default Frequency) metrics to assess the impact that the coronavirus has had so far on credit risk.
The Federal Reserve's performance in reaction to the COVID-19 recession has been superb.
Investment-grade corporations have rushed to boost their liquidity through the issuance of longer-term fixed-rate corporate bonds.