Risk.net: Monthly Credit Data Review
“Credit risk data is widely available for sovereigns and large corporates, but updates are infrequent and smaller companies are often ignored.” In this series of monthly articles from Risk.net, David Carruthers, head of research at Credit Benchmark, discusses monthly credit risk trends in rated and unrated obligors based on bank-sourced data. Read the full article here or […]
Crowd-Sourced Credit Transitions
Transition matrices can provide considerable insight into the likely pattern of losses over various time horizons (see summary below) – providing support for compliance with the CECL and IFRS9 accounting rules that require banks and corporates to estimate potential downgrades over the entire life of a loan. A recent whitepaper published by Credit Benchmark, compares bank-sourced transition […]
Bank Credit Analysts Turning Positive On Italy Despite Rising Yields And “Italexit” Risks
The European Central Bank intends to cut the pace of quantitative easing from €80bn to €60bn from this month. This has hit some of Europe’s peripheral bond markets: the spread of benchmark Italian government bonds yields versus Bunds rose above 2% this week, the highest in more than three years. The ECB now owns more […]
Turkish Vote Potential Lose-Lose For Credit
It has been hard not to make money in emerging markets during the first quarter of 2017. The JP Morgan Emerging Market Currency Index enjoyed its best return in five years (+4.2%). Emerging markets equities outperformed their developed market peers handily, with the MSCI EM index up 12.5% in dollar terms. Local currency bonds rose […]
Banks Sanguine Over “Frexit” Risk
With the election looming, French bonds have been under increasing scrutiny. The spread of French 10-year government bonds over the equivalent German bund reached a four-year high of 90 basis points at the beginning of February, though it has been falling more recently. The volatility of French government bonds only finds a faint echo in […]
Credit Benchmark Data On France Cited In City AM Article
Independent French candidate Emmanuel Macron has topped another Presidential election poll with his far-right rival Marine Le Pen set to visit Moscow on Friday. Macron will win 26 per cent of the vote in the first round, beating Le Pen by one percentage point, according to the poll for France Televisions carried out by Harris […]
No Light Touch Regulation For Insurers Post-Brexit, But Flexible Approach To Illiquid Credit
UK insurers hoping Brexit might signal a bonfire of regulations, particularly the onerous and complex requirements of the Solvency II directive, got a glimpse of what the future might hold at a seminar hosted by the London Business School this week. Sam Woods, deputy governor of the Bank of England and chief executive of the […]
UK Sovereign Risk Rising Despite Strong Gilt Performance
In 2009 the UK’s Debt Management Office (DMO) oversaw record gilt issuance of £227 billion ($275 billion). At the time, Pimco’s Bill Gross described UK government debt as resting on a “bed of nitroglycerin”. Since then, however, the total return for investors in gilts has been 60%. Gilts have benefitted from several tailwinds: the Bank […]
Credit Benchmark At RiskMinds Insurance In Amsterdam This Week
Credit Benchmark are at the RiskMinds Insurance conference at the Hotel Okura in Amsterdam this week. Mahim Mehra and team are around all day today and tomorrow, and David Carruthers the latest bank-sourced data and research on Wednesday. David’s presentation will show the current data coverage and discuss some of the current use cases for the data. […]
Central Counterparty Credit Risks Show Significant Variation
Outstanding derivative contracts are being progressively transferred to Central Counterparties (“CCPs”). The CCP framework is intended to minimize global (i.e. systemic) risk as well as local credit risk. This note uses Credit Benchmark data provided by global IRB banks to estimate the relative credit risk of 26 CCPs in Europe and North America, based on […]
