The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions This paper seeks to assess the credit climate from just before the unexpected global health crisis catalyst to its immediate and extended impact We analyze the performance of several key indicators of the nature of credit cycles: default and recovery rates on high-yield bonds, and the number of large firm bankruptcies that we expect over the next twelve months and beyond;yield spreads and distress ratios;and liquidity Our focus is primarily on the nonfi-nancial corporate debt market in the United States, which reached a record percent-age of gross domestic product at the end of 2019 as firms increased their debt to take advantage of record low interest rates, and investor appetite grew for higher promised yields on risky fixed-income assets We also examine the leveraged loan and collater-alized loan obligation markets, as well as the increasingly large and important BBB tranche of the corporate bond market Specifically, we discuss the latter’s vulnerabil-ity to downgrades over the expected downturn in the real economy and this vulnera-bility’s potential impact on expected default rates by “crowding out” low-quality debt of other firms (some of which we believe are “zombies”) Using Z-scores for a sample of BBB companies between 2007 and 2019, we analyze this largest component of the corporate bond market to provide some evidence on the controversial debate as to whether there has been ratings inflation or, perhaps, persistent overvaluation of the nonfinancial corporate debt market since the last financial crisis © 2020 Infopro Digital Risk (IP) Limited

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Covid-19 和信贷周期

Covid-19 健康危机对经济的几乎所有方面都产生了巨大影响，包括从创纪录的长期良性信贷周期过渡到具有不确定性的压力周期健康危机的直接和长期影响的催化剂 我们分析了信贷周期性质的几个关键指标的表现：高收益债券的违约率和回收率，以及我们预计未来 12 个月和超越；收益率差和困境比率；以及流动性我们的重点主要是美国的非金融公司债务市场，由于公司增加债务以利用创纪录的低利率，以及投资者对高风险固定收益资产的承诺收益率的兴趣增加，2019 年底达到了创纪录的国内生产总值百分比 我们还研究了杠杆贷款和抵押贷款义务市场，以及企业债券市场日益庞大和重要的 BBB 部分通过“挤出”其他公司（我们认为其中一些是“僵尸”）的低质量债务来预期违约率 使用 2007 年至 2019 年间 BBB 公司样本的 Z 分数，我们分析了公司债券市场的这一最大组成部分，以提供一些证据来证明自上次金融危机以来非金融公司债券市场是否存在评级通胀或持续高估的争议性辩论 © 2020 Infopro Digital Risk (IP ） 有限的