NEW YORK–(BUSINESS WIRE)–KBRA Altman, a division of KBRA Analytics, LLC, announces the launch of its KBRA Altman Corporate Default Forecasting Model, which forecasts a one-year ahead default rate for U.S. corporate high-yield bonds. The forecasted default rate, 4.19% as of January 31, 2021, will be updated quarterly. The forecast default rate uses multiple macroeconomic and financial variables and utilizes the KBRA Altman database of U.S. corporate defaults.
The forecast default rate has fallen over the course of the pandemic due to the overwhelmingly positive effects of massive fiscal stimulus and an extraordinarily accommodative Federal Reserve, both of which have significantly improved economic and financial conditions. The availability and widespread distribution of effective vaccines have also contributed to the improvement in economic conditions.
Each quarter, KBRA Altman will produce a baseline forecast, as well as benign and severe scenario forecasts. The benign forecast, currently at 1.74%, projects the 20th percentile of the default rate distribution over the next 12 months, while the severe forecast, currently at 6.07%, projects the 80th percentile of the 12-month ahead default rate distribution. The benign and severe forecasts are the one-in-five bullish and one-in-five bearish scenarios, respectively, for the default rate. The expectation is that 60% of the time the actual default rate over the next 12 months will be between the benign and severe forecasts.
The Corporate Default Forecasting Model is the latest research product of the KBRA Altman suite of corporate default and recovery indexes, databases, and data analytics. For more information, visit KBRA.com.
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KBRA is a full-service credit rating agency registered in the U.S., the EU and the UK, and is designated to provide structured finance ratings in Canada. KBRA’s ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.
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Harry Mamaysky, Consultant to KBRA
Professor of Professional Practice, Director of Program for Financial Studies, Columbia Business School
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To learn more about the KBRA Altman Default product, email KBRAAltman@kbra.com or contact:
+1 (646) 731-2303