Presentation IQ 10/15 Sp Capitaliq Fixed Income North America Q2 2015

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FIXED INCOME IQ
Credit Markets

Quarterly Fixed Income Trends
North America
July 2015│ Issue 6

TABLE OF CONTENTS
North America

Market Trends……..………………………………………………………..5






Market Indices
Corporate Yield Curves
Investment Grade vs. High Yield Market Activity
Sovereign CDS Heat Map
Sovereign CDS Deep Dive: United States

Credit Trends...……………………………………………………………..12





Ratings Trends
CDS Market Sentiment
CDS Market Outliers
Fundamental and Market Implied Default Risk
̶

PD Market Signals and PD Fundamentals

 Quantitatively Viewed Ratings Outliers

Financial Ratio Trends..……………………………………………….…..19
Issuance Trends..…………………………………………………………...21
 Ratings Issuance
 Security Issuance
 High Yield Covenant Trends
Please click on the links below to access research on other regions or visit http://www.spcapitaliq.com/ourthinking/research.html?category=market:
Latin America
Europe
2

EDITORS’ NOTE
High yield performed well in Q2 2015, while investment grade posted losses as the market began to anticipate rate increases in the
second half of 2015. Spreads increased but other risk signals remained varied.
Q2 2015 Overview:
- Overall, credit markets were mixed – Anticipation of rate increases caused investors to shed investment grade debt while high yield
posted positive returns for second quarter in a row.
- U.S. sovereign risk decreased as global market volatility in China and Europe strengthened the U.S. as a safe haven.
- Spreads increased for most sectors and investment grade – Markets re-priced risk upwards this quarter for all sectors and for
investment grade debt. Only high yield debt saw spreads tighten from last quarter.
- Risk signals mixed this quarter - Median equity market-based probabilities of default improved on a quarterly basis while fundamental
probabilities of default showed deterioration in all but one sector.
- Issuance continues to be healthy – Issuance increased in most ratings categories on a year-over-year basis with the biggest increase
coming from the BBB spectrum, following a similar trend from last quarter.

AUTHORS:

Jay Bhankharia, CFA
Senior Manager
Investment Management
S&P Capital IQ

James Elder
Director
Corporates and Financial Institutions
S&P Capital IQ
3

MARKET TRENDS

Relative Performance of Fixed Income Indices
NOTES:
•

•

As of June 30th, the S&P
U.S. Investment Grade and
High Yield Corporate Bond
Indices generated -2.52%
and .66% in total returns,
respectively during the last
three months. During that
same period, the S&P 500®
finished the quarter with a
.28% gain.
As the economy slowly
continued to strengthen
with labor markets
maintaining momentum,
investors were looking for
rates to increase which
caused investment grade
bonds to drop in Q2 2015.
High yield was the top
performer in Q2 as equity
prices were volatile due to
global market issues
stemming from Greece and
China.

S&P U.S. Investment Grade Corporate Bond Index QTD TRR %
S&P U.S. High Yield Corporate Bond Index QTD TRR %
S&P 500 (TR) QTD TRR %

-2%

-4%

Source: S&P Capital IQ as of July 1, 2015.

10 Year BBB Sector Z-Spreads
NOTES:

•

All sector z-spreads
widened this quarter,
coinciding with similar
movement in Treasury
rates.

240
220

The largest widening on a
percentage basis in Q2
was in financials, which
moved from 160bps to
181bps.
Telecom and IT ended the
quarter with the smallest
widening on an absolute
basis.

Cons. Discr.
Cons. Staples

200
Bps

•

Energy
Financials

180

Healthcare
Industrials

160

IT
Materials
Telecom.

140

Utilities
120

BPS
Change
Total %
Change

Cons. Discr. Cons. Staples

Energy

Financials

Healthcare

Industrials

Materials

Telecom.

Utilities

11.49%

10.46%

5.48%

13.13%

11.54%

8.18%

5.70%

8.52%

3.45%

11.92%

All spreads and yield curves are proprietary data developed from buy-side indicative quotes. All bonds are USD denominated.
Source: S&P Capital IQ as of July 1, 2015.
6

Z-Spread Ratings Term Structure (Quarter over Quarter)
•

•

Investment grade zspreads widened over the
quarter, across the term
structure.
Within the investment
grade space, we observed
a parallel shift upward
throughout the term
structure.
Similar to last quarter in
high yield, we noticed the
BB curve tightened much
more on the long end while
the B curve experienced
greater tightening on the
short end. The tightening
of the BB spreads was
much stronger this quarter
than Q1 2015.

9%
AAA15 Q2

AAA15 Q1

AA15 Q2

AA15 Q1

A15 Q2
A15 Q1

BBB15 Q2

BBB15 Q1

BB15 Q2

BB15 Q1

B15 Q2

-1%

1M
3M
6M
9M
1Y
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
11Y
12Y
13Y
14Y
15Y
16Y
17Y
18Y
19Y
20Y
21Y
22Y
23Y
24Y
25Y
26Y
27Y
28Y
29Y
30Y

NOTES:

B15 Q1

bps Change QoQ

10Y

15Y

20Y

30Y

AAA

4.67

7.40

11.17

BBB

13.35

-8.82

-17.90

-25.96

-33.81

-35.23

-22.85

-17.82

-13.35

-9.01

-8.22

All spreads and yield curves are proprietary data developed from buy-side indicative quotes. All bonds are USD denominated.
Source: S&P Capital IQ as of July 1, 2015.
7

Investment Grade vs. High Yield Market Activity
NOTES:
•

•

Market activity fell from its
a 12-month high in March
for both investment grade
and high yield. In the
second quarter, activity hit
lows in May but rebounded
in June.
Within high yield, telecom
and energy had the most
activity. Within investment
grade, telecom and IT led
the way with the most
activity.

More
Market
Activity

1.45
1.55
1.65
1.75
1.85
1.95

Less
Market
Activity

2.05
S&P High Yield Corporate Index (MAS)
MAS
S&P High Yield Corporate
Index
S&P Investment Grade
Corporate Index

S&P Investment Grade Corporate Index (MAS)

6/30/14 7/31/14 8/29/14 9/30/14 10/31/14 11/30/14 12/31/14 1/30/15 2/27/15 3/31/15 4/30/15

5/29/15 6/30/15

1.71

1.80

1.67

1.66

1.70

1.87

2.02

1.93

2.02

1.62

1.82

1.85

1.66

1.61

1.60

1.61

1.60

1.62

1.70

1.79

1.78

1.73

1.58

1.67

1.72

1.66

Source: S&P Capital IQ as of July 1, 2015. Market Activity Score (MAS) is a derived analytic created to provide an indication of the level of trade and market activity
associated with a given security. It is developed from a review of all available trades and quotes based on price staleness, number of quotes/market makers and trade
data. It is scaled from 1 (high MAS) to 5 (low MAS).
8

Sovereign CDS Heat Map
NOTES:
•

•

The heat map
provides a quarterover-quarter view
of the bps change
in sovereign CDS
spreads.
The country with
the largest
increase in CDS
spreads was
Greece, as debt
repayment issues
lingered. Its
spreads widened
by 3,974 bps
throughout the
quarter.
The countries with
the largest
improvement in
CDS spread were
Ukraine and
Venezuela. Their
spreads tightened
by 3,521 and 300
bps, respectively.

Country

6/30/2015
Avg # Quotes
CDS
per Day
Spread

CDS Most Risky

Greece
Venezuela
Ukraine
Cyprus
Nigeria
El Salvador
Pakistan
Lebanon
Russia
Egypt

6739
4691
4096
437
425
416
410
358
341
313

200 to 10
>200
200 to 10
<10
<10
<10
<10
<10
>200
<10

14
15
15
16
16
20
20
20
21
31

<10
200 to 10
200 to 10
200 to 10
>200
200 to 10
>200
>200
200 to 10
<10

CDS Least Risky

Swiss Confederation
Norway
Sweden
United States of America
Germany
Denmark
United Kingdom
Netherlands
Finland
New Zealand

Source: S&P Capital IQ as of July 1, 2015.
9

Sovereign CDS Regional Focus: United States
NOTES:

•

The U.S. CDS spread
compared to G5 nations.

50
45

The U.S. saw a tightening
in its CDS spread
throughout the quarter
moving from 18.5 to 15.6
bps.
The U.S. is now the
country with the tightest
CDS spread closely
followed by Germany and
the U.K.
Japan was the biggest
mover again this quarter,
with its spread widening by
22.7% to 43.3 bps.

40
35
30
Bps

•

25
20
15
10
5
0

Germany

United States of America

United States
BPS Change
Total % Change

-2.84
-15.3%

United
Kingdom

-1.27
-6.0%

United Kingdom

Japan

8.03
22.7%

Japan

France

-2.79
-6.9%

France

Germany

-0.82
-4.8%

Source: S&P Capital IQ as of July 1, 2015.
10

CREDIT TRENDS

S&P Ratings Trends
NOTES:
•

There was much more
activity as the count of
upgrades and downgrades
surpassed last quarter. Q2
2015 saw a reversal in the
upgrade to downgrade
trend for the 3rd straight
quarter. The number of
companies with positive
outlook decreased this
quarter to 5% from 8% last
quarter.

S&P Ratings Services
Outlook:
•

•

Risk aversion could be
amplified by Greece's exit
from the Eurozone, or from
credit contagion associated
with decelerating Chinese
GDP growth, but we see
these as manageable nearterm risks.
The need for monetary
stimulus in the U.S. is
fading, but disrupted credit
markets or disappointing
economic news could slow
the pace of Fed policy
normalization.

Rating Actions
Upgrades

Outlook/Credit Watch

Watch Neg
2%

Downgrades

160

Watch Pos Developing
1%
1%

Watch Dev
0%

140

Negative
11%

Positive
5%

120
100
80
60

Stable
80%

40
20
0

2015 Q1

2015 Q2

Rating Distribution
800
600
400
200
0

Constituents include all rated companies with a Local Currency Long Term Rating and S&P Capital IQ sector classification in the U.S. and Canada.
Source: S&P Capital IQ as of July 1, 2015 and Global Credit Portal ‘Credit Conditions: A Resilient U.S. Economy Shields North America Credit Conditions
From Increasing Risks’ published on July 14, 2015.

CDS Market Sentiment By Sector
NOTES:

•

Overall, the CDS market
indicated better perceived
credit quality in 5 of the 10
sectors than did their
corresponding S&P Ratings.
The reversal came in the
telecom sector. The highest
positive notch differences
came from industrials.

1.0
0.8
Notch Difference

•

VALUE CONVERSION:

1.2

Financials and telecom had
the strongest negative
sentiment in CDS vs. S&P
Ratings in Q2 2015.

0.6
0.4

14 Q3

0.2

14 Q4
15 Q1

0.0

15 Q2

-0.2
-0.4
-0.6

14 Q3
14 Q4
15 Q1
15 Q2

Cons. Discr.
CDS
S&P
MDS
Rating

13.01
13.18
13.16
13.15

12.93
12.89
12.98
12.98

Cons. Staples
CDS
S&P
MDS
Rating

15.25
15.54
15.62
15.68

15.47
15.43
15.27
15.22

Energy
CDS
S&P
MDS
Rating

15.17
14.98
14.92
14.61

15.29
15.35
15.12
14.92

Financials
CDS
S&P
MDS
Rating

15.51
15.64
15.63
15.50

15.88
15.90
15.90
15.90

Healthcare
CDS
S&P
MDS
Rating

16.53
16.57
16.70
16.40

16.10
16.07
16.10
16.13

Industrials
CDS
S&P
MDS
Rating

15.65
15.78
15.89
15.64

15.02
15.12
15.07
15.13

CDS
MDS

14.84
14.84
15.19
15.26

S&P
Rating

15.29
15.35
15.35
15.35

Materials
CDS
S&P
MDS
Rating

14.52
14.37
14.33
14.11

14.46
14.46
14.35
14.35

S&P
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
D
SD
NR
Telecom.
CDS
S&P
MDS
Rating

13.80
13.50
13.60
13.20

13.80
13.80
13.60
13.60

CDS
MDS
aaa
aa+
aa
aaa+
a
abbb+
bbb
bbbbb+
bb
bbb+
b
bccc+
ccc
ccccc
c
d
sd
nr

Value

23
22
21
20
19
18
17
16
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0

Utilities
CDS
S&P
MDS
Rating

16.18
15.90
16.13
15.73

15.23
15.23
15.23
15.22

The Market Derived Signal (MDS) is a quantitative analytic that uses Credit Default Swaps (CDS) to facilitate the interpretation of how the CDS markets generally view the credit quality of
well-known firms and sovereigns. It aims to capture the market’s sentiment regarding an entity’s perceived credit risk. One of the objectives of the MDS is to identify where market sentiment
may differ from the issuer credit rating. CDS spreads are used to compute the difference between an entity’s actual spread and expected spread for a given rating. Universe is all
companies that have an S&P Long-Term Local Rating, primary headquarters in the U.S. or Canada, and an S&P Capital IQ sector classification. Source: S&P Capital IQ as of July 1, 2015.

CDS Market Outliers
NOTES:

•

We have highlighted
companies with some of
the biggest divergences
between their S&P Rating
and their CDS Market
Derived Signal in red. This
provides us with a list of
firms whose market
sentiment is significantly
different than its Rating.
As shown by the blue
circles, the vast majority of
firms were scored +/- 3
notches from their Credit
Rating.
We notice that the CDS
market has more bullish
outliers than bearish,
especially in the lower end
of the investment grade
spectrum. In addition, as
compared to last quarter
we observe more outliers in
the B rated spectrum that
have CDS spreads trading
at higher levels. Both
trends are similar to last
quarter.

Company
CDS MDS Positive
Divergence
American Electric Power
Co., Inc.
MeadWestvaco
Corporation

aa
a
bbb
CDS MDS Score

•

aaa

bb
bb
b
ccc
c
d
D/NR

CCC

BB
Rating

BBB

AAA

CDS MDS S&P Rating

BBB

Rohm and Haas Company a+

BBB

Hospira Inc.
Kinder Morgan Energy
Partners, L.P.
The E. W. Scripps
Company
H. J. Heinz Company

BBB-

bbb+
bbb

BB
BB-

Alcatel-Lucent USA, Inc.
CDS MDS Negative
Divergence
General Electric Capital
Corporation

bb+

AA+

Berkshire Hathaway Inc.

Amazon.com Inc.
The Toronto-Dominion
Bank
Diamond Offshore Drilling,
Inc.
Chesapeake Energy
Corporation

bbb+

AA-

bbb+

AA-

BBB+

BB+

Transocean Inc.

BB+

General Electric Company a-

AA+

Equity Market Sentiment Implied Default Risk By Sector
NOTES:
•

•

In Q2 2015, 8 of the 10
sectors had improving PD
Market Signals. Telecom,
consumer staples, and
financials changed to
tightening from widening
PDs this quarter.
Overall median PDs
decreased by 11% in Q2
continuing its trend from
Q1.
Financials had the largest
improvement in PD in
addition to being one of the
safer sectors. Additionally,
energy continued to see its
credit improve as oil prices
stabilized.

4/1/2015
6/30/2015
% Change

Cons. Discr.

0.15%
0.14%

-6.23%

PD Market Signals (Median)
1.00%
Cons. Discr.
Cons. Staples
Energy

0.10%

Financials
Healthcare
Industrials
0.01%

IT
Materials
Telecom.
Utilities

0.00%

Grand Total

Cons.
Staples

Energy

-56.41%

-40.54%

0.04%
0.02%

1.01%
0.60%

Financials

0.05%
0.02%

-62.00%

Healthcare

0.03%
0.03%

15.25%

Industrials

0.09%
0.08%

0.04%
0.04%

-10.99%

-5.13%

Materials

0.28%
0.28%

-0.71%

Telecom.

0.60%
0.39%

-34.73%

Utilities

0.07%
0.08%

12.41%

Grand Total

0.12%
0.11%

-10.59%

S&P Capital IQ’s proprietary probability of default (PD) model, ‘Market Signals’, is a unique analytical model which provides daily changing, 1-year forward looking PDs of publicly listed
companies based on a cutting-edge econometric framework. Universe is all companies that have an S&P Long-Term Local Rating, primary headquarters in the U.S. or Canada, and an
S&P Capital IQ sector classification. Source: S&P Capital IQ as of July 1, 2015.

Fundamental Implied Default Risk By Sector
NOTES:

•

PD Fundamentals

Fundamentals deteriorated
during the second quarter as
median PDs increased by 3%
year-over-year.

Most Risky and
Worsening

1.20%

9 of the 10 sectors show
worsening PDs on a year-overyear basis as compared to only 4
out of 10 last quarter.
The healthcare sector had two
consecutive quarters of median
credit improvement.
Telecom sector fundamentals
continue to worsen by the largest
percentage, similar to last
quarter.

Telecom

1.00%

Probabiity of Default Level

•

0.80%

Cons. Discr.

0.60%

0.40%
0.20%

Industrials

Grand Total

Energy

Healthcare

Materials

Least Risky and
Improving

Cons. Staples

Financials

Utilities

0.00%
-6%

-4%

-2%

10%

12%

14%

% Change in PD Level (YoY)

% Change
(YoY)
PD Level
(Median)

Cons.
Discr.

Cons.
Staples

Energy

Financials Healthcare Industrials

Materials

Telecom.

Utilities

Grand Total

-3%

11%

13%

0.75%

0.39%

0.15%

0.37%

0.56%

0.53%

0.70%

1.03%

0.21%

0.41%

S&P Capital IQ’s proprietary probability of default (PD) model, ‘PD Model Fundamentals’, provides an innovative approach to assessing potential default that separates credit risk into two
components—financial risk and business risk. The PDs are applicable for any public or private company and provide a short- to mid-term view of credit risk. They are based purely on
fundamental data—financial ratios and macro factors – and are updated when new financials are released or there is some change in the macro factors. Universe is all companies that
have an S&P Long-Term Local Rating, primary headquarters in the U.S. or Canada, and an S&P Capital IQ sector classification. Source: S&P Capital IQ as of July 1, 2015.

Quantitatively Viewed Ratings Outliers
NOTES:

•

We have highlighted
companies with some of
the biggest divergences
between their S&P
Rating and their purely
quantitative
CreditModel (CM)
Score in red. This
provides us with a list of
firms with fundamental
attributes that make
them positive or
negative outliers. As
shown by the blue
circles, the vast majority
of firms were scored +/3 notches from their
Credit Rating.
Within the universe we
observed a higher
distribution of
companies with higher
CM Scores than
Ratings, continuing
from last quarter.

aaa

Company

bbb
bb

S&P Rating

CVR Refining, LP

bbb-

B+

IAMGOLD Corp.

bbb-

B+

Visteon Corporation

bbb-

B+

Gulfport Energy Corp.

bb+

Life Time Fitness, Inc.

bb+

Paragon Offshore plc
The Wendy's Company
Office Depot, Inc.

bb+
bb+
bb

B
B
B-

bbb+

AA-

bbb
bbb-

A+
A

bbb-

bb+

A-

bb+

A-

bb+

A-

bb+

A-

CreditModel Negative
Divergence

Madison Gas and Electric
Company
Northwest Natural Gas
Company
Gaz Métro inc
The Sherwin-Williams
Company
Adobe Systems
Incorporated

ccc
c
d
D/NR

CM Score

CreditModel Positive
Divergence

CM Score

•

CCC

BBB

AAA

Altera Corp.
Northern Natural Gas
Company
Nova Gas Transmission
Ltd.

Rating
Lower-case nomenclature is used to differentiate S&P Capital IQ’s PD CreditModel Scores from credit ratings issued by Standard & Poor’s Rating Services. CreditModel
Score is trained on ratings, rather than on default data, which helps CreditModel generate a long-term stable view of credit risk that is aligned with a ratings process.
Source: S&P Capital IQ as of July 1, 2015.
17

FINANCIAL RATIO TRENDS

Financial Ratio Trends
NOTES:

•

Debt/Total Capital
levels continued to
rise year-over-year
for both universes.
On a quarter-overquarter basis,
investment grade
companies have
seen debt/total
capital levels rise to
45% from 44%.
EBITDA/Interest
Coverage levels
were down
significantly for high
yield companies
going from 6.9 to 5.9
over the last year.
Investment grade
remains relatively
flat for the past year.
Cash Flows/Debt
levels declined as
companies
continued to issue
more debt due to
low interest rates.

70
18
16
14
12
10
8
6
4
2
0

(%)

•

EBITDA/Interest Coverage

Debt/Total Capital

2011 Q1

2012 Q1

2013 Q1

2014 Q1
2015 Q1

10
0

2011 Q1

2012 Q1

2013 Q1

2014 Q1

2015 Q1

Cash Flow From Ops/Debt
HY
0.14
0.12
0.10
0.08
0.06
0.04
0.02
0.00

2011 Q1

2012 Q1

2013 Q1

2014 Q1

2015 Q1

Universe is all non-financial companies that have an S&P Long-Term Local Rating, primary headquarters in the U.S. or Canada, and an S&P
Capital IQ sector classification. Source: S&P Capital IQ as of July 1, 2015.
19

ISSUANCE TRENDS

Issuance Trends By Rating Category
NOTES:

•

$140
$120
($($Bil))

Issuance was higher at
the lower end of
investment grade
issuers. BBB saw the
largest increase in new
volume.

$100
$80

Q2 2014

$60

Q2 2015

Only BB issuers
increased issuance
within high yield, while
the riskiest areas in
high yield saw declines
in issuance.

$40

7 of the 10 sectors
increased issuance
year-over-year with IT
having the largest
increase.

$300

Some of the biggest
issuers this quarter
include AT&T and
Abbvie.

$20
$0

AAA

BBB

CCC

$250
($($Bil))

•

$160

$200
$150

Q2 2014

$100

Q2 2015

$50
$0

Cons.
Discr.

Cons.
Staples

Energy

Financials Healthcare Industrials

Materials

Telecom.

Utilities

Issuers are public and private companies globally that issue USD debt in U.S. bond markets. Securities include bonds, convertibles, notes and
MTNs. Amounts are aggregated by Date of Issuance. All values in USD $ billions. Source: S&P Capital IQ as of July 1, 2015.

Covenants for High Yield Issuance
NOTES:
•

•

The graph represents
the percentage of
companies with each
type of covenant within
new high yield
issuance.
We observed a slight
increase in Q2 2015
covenants from low
levels in Q1 amid
weaker high yield
issuance markets.
The fixed charge
covenant continues to
stay at lower levels
compared to 2014.

30%

25%

20%

15%

10%

2013 Q2

2013 Q3

2013 Q4

Fixed Charge Coverage

2014 Q1

2014 Q2

2014 Q3

Dividend Related Payments

2014 Q4

2015 Q1

2015 Q2

Indebtedness

Universe incudes all high yield corporate debt issuance that is denominated in USD.
Source: S&P Capital IQ as of July 1, 2015.
22

Asia-Pacific
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Presentation IQ 10/15 Sp Capitaliq Fixed Income North America Q2 2015

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