Kamakura Corporation reported Monday that the Kamakura troubled company index ended the month of November at 6.25%, an increase of 0.03% from beginning of the month. The index reflects the percentage of the Kamakura 35,000 public firm universe that has a default probability over 1.00%. An increase in the index reflects declining credit quality.
As of November 27, the percentage of the global corporate universe with default probabilities between 1% and 5% was 5.28%, up 0.14% from thirty days ago. The percentage of the universe with default probabilities between 5% and 10% was 0.62%, down 0.06% from last month while the percentage between 10% and 20% was 0.25%, down 0.05%. The percentage of companies with default probabilities over 20% was 0.10%, unchanged. The index hit an intra-month high of 6.36% on November 7th, while the intra-month low of 6.08% was on November 11th. The magnitude of change in the index during the month was 28 basis points representing a very narrow band of movement.
(click to enlarge)
At 6.25%, the troubled company index is at the 89th percentile of historical credit quality (with 100 being best all time) over the period from January 1990 to the present. The multinational Spanish gaming company Codere SA (GM:CODEF) had the world's highest one-month default risk among rated companies at 6.88%. Among the ten riskiest firms in November, seven were European firms and one each from Canada, China and the United States.
(click to enlarge)
Kamakura's president Martin Zorn commented, "Overall credit conditions remain stable and generally very good. The recent themes within the troubled company index remain the same with pressure in European names as well as miners and natural resource companies. Credit managers must carefully monitor company specific signs of distress so as not to be complacent given benign macro trends."
The Kamakura troubled company index measures the percentage of more than 35,000 public firms in 56 countries that have annualized 1 month default risk over one percent. The average index value since January, 1990 is 11.90%. Since November, 2010, the Kamakura index has used the annualized one month default probability produced by the KRIS version 5.0 Jarrow-Chava reduced form default probability model, a formula that bases default predictions on a sophisticated combination of financial ratios, stock price history, and macro-economic factors. The version 5.0 model was estimated over the period from 1990 to 2008, and includes the insights of the worst part of the recent credit crisis. The countries currently covered by the index are Argentina, Australia, Austria, Bahrain, Bangladesh, Belgium, Brazil, Canada, Chile, China, Colombia, Cyprus, Denmark, Egypt, Finland, France, Germany, Greece, Hong Kong, India, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Kuwait, Luxembourg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Oman, Pakistan, Peru, the Philippines, Poland, Portugal, Qatar, Russia, Saudi Arabia, Singapore, South Africa, South Korea, Spain, Sri Lanka, Sweden, Switzerland, Taiwan, Thailand, Turkey, the United Arab Emirates, the United Kingdom, the United States, and Viet Nam.
Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it. I have no business relationship with any company whose stock is mentioned in this article. (More...)
Additional disclosure: Kamakura Corporation has business relationships with a number of organizations mentioned in the article.
This entry passed through the Full-Text RSS service — if this is your content and you're reading it on someone else's site, please read the FAQ at fivefilters.org/content-only/faq.php#publishers.
from SeekingAlpha.com: Home Page http://seekingalpha.com/article/1870451-update-shows-corporate-credit-conditions-are-at-89th-percentile?source=feed
Aucun commentaire:
Enregistrer un commentaire