MACROECONOMICS IMPACT ON DEFAULT RATES

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28 Οκτ 2013 (πριν από 3 χρόνια και 5 μήνες)

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ICAP GROUP S.A.

MACROECONOMICS IMPACT ON
DEFAULT RATES

JULY 2013


ICAP GROUP S.A. – Macroeconomics Impact on Default Rates
2

Table of Contents
EXECUTIVE SUMMARY ...................................................................................................... 3
1. DEFAULT RATE PROJECTION ..................................................................................... 4
1.1 SA-LLC-SSLLC Industry ...................................................................................... 4
1.2 SA-LLC-SSLLC Trade ......................................................................................... 4
1.3 SA-LLC-SSLLC Services ...................................................................................... 4
1.4 SA-LLC-SSLLC without Published Balance Sheet .................................................. 4
1.5 GP-LP-SP .......................................................................................................... 5

ICAP GROUP S.A. – Macroeconomics Impact on Default Rates
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EXECUTIVE SUMMARY
Based on the most recent macroeconomic data, ICAP has revised its default rate forecasts for
Greek companies. This document presents the results of these forecasts for each company
category assessed by ICAP.
According to these results, the fall in the long term interest rates, led to forecasts of lower
default rates compared to those forecasted in June 2012. However, the prolonged economic
downturn in Greece and official reports that forecast an increase in corporate non performing
loans (NPLs), are convincing arguments for sustaining the more conservative June 2012
forecasts used in ICAP Credit Rating Process.

ICAP GROUP S.A. – Macroeconomics Impact on Default Rates
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DEFAULT RATE PROJECTION
The following table illustrates the most recent macroeconomics of 2013 (available in July
2013). Their application to the macro – default rate models yields the estimated default
rates for all companies’ categories for the next 12 months.

Table 0.1 Macroeconomics – July 2013
Macroeconomics – July 2013
Credit to consumer (in millions €)
1
/ GDP per capita
2
1.79

GDP (in billions €)
6
190.181

Financial Balances (as % of GDP)
3
-4.145

Long term interest rates (%)
5
10.24

Unemployment Rates (%)
4
27.4

Labour Productivity (%)
3
1.0

Unemployment Rates (change) (%)
4
21.0

Sources:
1
ΤτΕ,
http://www.bankofgreece.gr/Pages/el/Statistics/monetary/financing.aspx

2
International Monetary Fund, World Economic Outlook Database April 2013,
3
OECD Economic Outlook 93 database June 2013 flash estimates
4
Hellenic Statistical Authority bulletin report for Employment Q1 2013
5
ΤτΕ,
http://www.bankofgreece.gr/Pages/el/Statistics/rates_markets/titloieldimosiou/titloieldimosiou.aspx
,
(Mean Long Term Interest Rate (10 years), in the period April 2013–June 2013)
6
Hellenic Statistical Authority bulletin report for National accounts Q1 2013


1.1 SA-LLC-SSLLC Industry
Τhe default rate is predicted at 13.34%, decreased by 43.3% in comparison to the
estimated rate of 2012, as reported in last June (23.54%).

Moreover, for the given macroeconomic values, the 95% confidence interval for the default
rate of the next 12 months is predicted to be: (9%, 15.67%).

1.2 SA-LLC-SSLLC Trade
Τhe default rate is predicted at 8.79%, decreased by 48.6% in comparison to the
estimated rate of 2012, as reported in last June (17.09%).

Moreover, for the given macroeconomic values, the 95% confidence interval for the default
rate of the next 12 months is predicted to be: (5.79%, 10.25%).

1.3 SA-LLC-SSLLC Services
Τhe default rate is predicted at 8.17%, decreased by 43.4% in comparison to the
estimated rate of 2012, as reported in last June (14.44%).

Moreover, for the given macroeconomic values, the 95% confidence interval for the default
rate of the next 12 months is predicted to be: (4.80%, 9.54%).

1.4 SA-LLC-SSLLC without Published Balance Sheet
Τhe default rate is predicted at 16.91%, increased by 5.7% in comparison to the estimated
rate of 2012, as reported in last June (16.00%).

Moreover, for the given macroeconomic values, the 95% confidence interval for the default
rate of the next 12 months is predicted to be: (7.16%, 23.09%).


ICAP GROUP S.A. – Macroeconomics Impact on Default Rates
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1.5 GP-LP-SP
Τhe default rate is predicted at 12.83%, decreased by 45.8% in comparison to the
estimated rate of 2012, as reported in last June (23.67%).

Moreover, for the given macroeconomic values, the 95% confidence interval for the default
rate of the next 12 months is predicted to be: (9.26%, 13.97%).