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Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Copyright © 2011 Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc. All rights reserved.
Rolle und Verantwortung von Ratingagenturen in globalisierten Finanzmärkten
Torsten HinrichsMai 2012
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S&P Ratings: Ein global einheitlicher Maßstab für Bonität
• 150 Jahre Erfahrung und Präsenz in 24 Ländern. • In Europa (EMEA) seit 1984 mit Büros in London, Frankfurt, Paris, Madrid,
Stockholm, Mailand, Moskau, Dubai, Tel Aviv, Istanbul und Johannesburg.• Über 1,400 Ratinganalysten weltweit, davon über 500 in Europa• Global über 1.200.000 Ratings in über 100 Ländern
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Emittenten-Rating: Relatives Maß für Kreditrisiko
Rangreihung bezüglich der Bonität
• Zukunftsgerichtete Meinung zur Kreditwürdigkeit von Emittenten oder Anleihen Höhere Ratings drücken unsere Erwartung nach geringeren Ausfallquoten aus
• Die Verwendung von einheitlichen Stressszenarien dient der Kalibrierung der Ratings und ermöglicht die Vergleichbarkeit über verschiedene Sektoren und Wirtschaftszyklen hinweg
Ratings sind kein absolutes Maß für Ausfallwahrscheinlichkeit
• Beobachtete Ausfallraten steigen oder fallen in verändertem wirtschaftlichen Umfeld
• Jeder Konjunkturzyklus ist einzigartig und führt zu unterschiedlichen Ausfallraten in verschiedenen Sektoren oder Regionen
• Beobachtete langfristige Ausfallhäufigkeiten beeinflussen Rating-Kriterien und Analyse
“S&P Ratings können hauptsächlich als relative Rankings von Emittenten
oder Anleihen bezüglich ihrer Kreditqualität genutzt werden;
Ratings sind kein absolutes Maß für Ausfallwahrscheinlichkeit”
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Was ist ein Rating und was ist es nicht?
Standard & Poor’s Ratings drücken unsere Meinung zur Fähigkeit oder
Bereitschaft eines Schuldners aus, seinen Zahlungsverpflichtungen vollständig und pünktlich nachzukommen.
RATINGS SIND NICHT:
• Ratings sind kein Audit
• Ratinganalysten strukturieren keine Wertpapiere und sind nicht beratend tätig
• Ratings treffen keine Aussage zur erwarteten oder möglichen Preisentwicklung eines Bonds
• Ratings kommentieren ebenfalls nicht:
- ob Investoren „kaufen“, „verkaufen“ oder „halten“ sollten
- ob einzelne Wertpapiere geeignete Anlagen für bestimmte Investoren (-gruppen) darstellen und deren Risikoappetit entsprechen
- ob die zu erwartende Rendite eine angemessene Entschädigung für das Risiko darstellt
- ob und inwieweit andere Risikofaktoren außerhalb des Kreditrisikos den Preis des Wertpapiers beeinflussen können (z. B. Liquidität, Volatilität)
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Inverse Korrelation zwischen Rating Kategorie und Defaults
Source: Default, Transition, and Recovery: 2010 Annual Global Corporate Default Study And Rating Transitions Table 24 30-Mar-2011
Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
AAA 0 0.03 0.14 0.26 0.38 0.5 0.56 0.66 0.72 0.79 0.83 0.87 0.91 1 1.09
AA 0.02 0.07 0.15 0.26 0.37 0.49 0.58 0.67 0.74 0.82 0.9 0.97 1.04 1.1 1.15
A 0.08 0.19 0.33 0.5 0.68 0.89 1.15 1.37 1.6 1.84 2.05 2.23 2.4 2.55 2.77
BBB 0.25 0.7 1.19 1.8 2.43 3.05 3.59 4.14 4.68 5.22 5.78 6.24 6.72 7.21 7.71
BB 0.95 2.83 5.03 7.14 9.04 10.87 12.48 13.97 15.35 16.54 17.52 18.39 19.14 19.78 20.52
B 4.7 10.4 15.22 18.98 21.76 23.99 25.82 27.32 28.64 29.94 31.09 32.02 32.89 33.7 34.54
CCC/C 27.39 36.79 42.12 45.21 47.64 48.72 49.72 50.61 51.88 52.88 53.71 54.64 55.67 56.55 56.55
Investment grade 0.13 0.34 0.59 0.89 1.21 1.53 1.83 2.12 2.39 2.68 2.94 3.16 3.37 3.59 3.83
Speculative grade 4.36 8.53 12.17 15.13 17.48 19.45 21.13 22.59 23.93 25.16 26.21 27.1 27.93 28.66 29.4
All rated 1.61 3.19 4.6 5.8 6.79 7.64 8.38 9.02 9.62 10.18 10.67 11.08 11.47 11.82 12.2
—Time horizon (years)—
Global Corporate Average Cumulative Default Rates (1981-2010) (%)
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Wechsel der Ratingkategorien (migration) nach Region (%)Investment-grade rated issuers - globally as well as in the U.S. and Europe - historically
have tended to exhibit greater credit stability as measured by the frequency of rating transition. Higher ratings have been consistently more stable than lower ratings.
Source: Default, Transition, and Recovery: 2010 Annual Global Corporate Default Study And Rating Transitions, Table 22 30-Mar-2011
Average One-Year Corporate Transition Rates (1981-2010) (%)
From/to AAA AA A BBB BB B CCC/C D NR
U.S.
AAA 88.39 7.51 0.57 0.04 0.12 0.04 0.04 0 3.28
AA 0.59 86.31 7.99 0.64 0.09 0.13 0.04 0.04 4.16
A 0.05 1.82 87.14 5.67 0.48 0.2 0.03 0.09 4.52
BBB 0.01 0.14 3.65 84.65 4.34 0.76 0.13 0.27 6.04
BB 0.03 0.06 0.22 5.21 75.62 8.2 0.71 1 8.96
B 0 0.05 0.16 0.24 4.98 74.37 4.69 4.77 10.74
CCC/C 0 0 0.25 0.37 0.92 11.57 44.92 28.31 13.66
Europe
AAA 85.03 9.11 0.65 0.22 0 0 0.22 0 4.77
AA 0.28 84.87 10.4 0.44 0 0 0 0 4.01
A 0.02 2.3 86.97 5.25 0.18 0.02 0 0.06 5.21
BBB 0 0.13 4.75 83.01 3.54 0.46 0.16 0.13 7.82
BB 0 0 0.18 4.82 70.61 8.16 0.44 0.7 15.09
B 0 0 0.12 0.35 6.81 64.78 4.97 4.04 18.94
CCC/C 0 0 0 0 0 13.79 25.29 37.93 22.99
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Average Time To Default From Original Rating, 1981 to 2010
Durchschnittliche Dauer bis zum Default
Source: Standard & Poor's Global Fixed Income Research.
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Verantwortung in globalen Märkten
CRA
• Transparenz (Annahmen, Methoden, Prozesse)• Analytische Unabhängigkeit• Governance und Compliance• Aktualität
• Vergleichbarkeit über Anlageklassen und Kontinente
• Globale Kriterien – lokale Anwendung• Track-Record
• Qualität und Kontinuität der Analysten• Training und Weiterbildung• Systeminfrastruktur
• Einheitliche regulatorische Standards • Meinungsfreiheit
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Transparenz ist bei S&P durch 2 Mausklicks zu erreichen!
1x
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Transparenz ist bei S&P durch 2 Mausklicks zu erreichen!
2x
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Unternehmensratings
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Transparenter analytischer Prozess
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S&P Risikofaktoren bei Unternehmensratings
RATING
Finanz-risiken
Rechnungslegung
Governance (Unternehmensführung), Risikotoleranz, Finanzstrategie
Cash Flow
Kapitalstruktur
Liquidität
Geschäfts-risiken
Länderrisiko
Branchenmerkmale
Marktposition
Profitabilität / Vergleichsgruppe
Management & Strategie
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Relative Gewichtung
Investment Grade
(AAA bis BBB-)
Non-investment grade
(High yield; BB+ und niedriger)
Geschäfts- und Finanzrisiken
werden typischerweise
ausgewogen gewichtet
Finanzrisiken werden
typischerweise schwerer gewichtet
und sind am unteren Ende des
Ratingskala das entscheidende
Kriterium
Zusammensetzung der Geschäfts- und Finanzrisiken:
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Indikative Finanzrisiko-Kennzahl für Unternehmen
Source: Standard & Poor‘s Criteria / Methodology: Business Risk / Financial Risk Matrix Expanded
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Gewichtung der Business- and Finanzrisiken für finales Rating
MINIMAL MODESTINTER-MEDIATE SIGNIFICANT AGGRESSIVE
HIGHLY LEVERAGED
EXCELLENT AAA AA A A- BBB --
STRONG AA A A- BBB BB BB-
SATISFACTORY A- BBB+ BBB BB+ BB- B+
FAIR -- BBB- BB+ BB BB- B
WEAK -- -- BB BB- B+ B-
VULNERABLE -- -- -- B+ B CCC+
BU
SIN
ES
S R
ISK
PR
OF
ILE
AS
SE
SS
ME
NT
FINANCIAL RISK PROFILE ASSESSMENTBusiness Risk / Financial Risk Matrix
Source: Standard & Poor‘s Criteria / Methodology: Business Risk / Financial Risk Matrix Expanded
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Länderratings
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Sovereign Rating Framework
Source: “Sovereign Government Rating Methodology And Assumptions”, Chart 1 June 30th 2011
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Bestimmung des indikativen Rating-Levels bei den Länderratings
Source: “Sovereign Government Rating Methodology And Assumptions”, Table 2, June 30th 2011
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S&P Links
Understanding Ratings: http://www.understandingratings.com
Bank Ratings Framework: http://www.standardandpoors.com/AI4FI
European Sovereign Ratings and Related Material
http://www.standardandpoors.com/ratings/sovereign-actions/en/us
Default Studies, Credit & Economic Trends:
http://www.standardandpoors.com/ratings/gfir/en/eu
CreditMatters TV: http://video.standardandpoors.com/
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