FTSE100 Credit Risk Steadily Increased In Q2 And Q3
The FTSE100 has gained around 10% since the Brexit vote. This is driven in part by Sterling weakness, which has brought an immediate currency translation benefit to the numerous overseas earners in the index. Recent company results have highlighted volume winners such as Burberry, who have seen overseas buyers taking advantage of the weaker pound; […]
Global Banks Have Revised The Credit Standing Of The US Government Down By One Full Credit Notch
Although the U.S. Election is too close to call, financial markets have made their opinions clear, becoming increasingly nervous whenever Trump erodes Clinton’s lead. Global banks turned cautious in June, and have stayed that way. The consensus crowd-sourced view moved the US Government down by one full credit notch. And unlike financial markets, that single, […]
Latest White Paper On Credit Transition Matrices Now Available To Download
For CECL and IFRS9 accounting, the choice of credit transition matrix and default probabilities is crucial and may have a significant impact on the final reserving required. The latest Credit Benchmark white paper demonstrates some of the key issues in choosing credit transition matrices: Market-implied PDs contain significant risk premiums, depending on credit category: these will […]
Crowd-Sourced Credit Transition Matrices
Whitepaper // No.7November 2016Transition Matrices Download the PDF “Crowd-Sourced Credit Transition Matrices“ The latest CECL and IFRS9 accounting rules require banks and corporates to estimate potential losses over the entire life of a loan. Transition matrices can provide considerable insight into the likely pattern of losses over various time horizons. Credit transition matrices (“CTMs”) are […]
Banks Cautious On Credit Risk – Downward Revisions Outnumber Improvements.
We have just published credit data for September, with 11 contributor banks now providing crowd-sourced credit views CBCs* on more than 6,000 separate legal entities. Sovereign coverage now includes Barbados, Jamaica, Panama and Albania. Other additions include the New York Metropolitan Museum of Art, Ralph Lauren, Kraft Heinz, and Netflix. Over the month, 173 obligors improved their […]
CECL And IFRS9 Fuel Demand For Credit Data
Banks are gearing up for major accounting changes over the next few years. Credit risk and modelling teams are now working with accounting policy divisions to draw up implementation plans for Current Expected Credit Loss (CECL: US) and International Financial Reporting Standard 9 (IFRS9: ex-US). Details can be found here on the ABA website and here on the […]
Credit Risk Improving In High Quality Asian Banks
At the recent RiskMinds Americas conference in Chicago, a number of presentations suggested that the banking industry is in better shape, overall, than it was in 2006-08. Withdrawal from non-core markets, a strong focus on cost control, and a rebuilding of capital reserves have eased concerns about the systemic impact of a future crisis. Asian […]
Measurement Of Sovereign Credit Quality
Whitepaper // No.6September 2016Sovereign Credit Ratings Download the PDF “Measurement Of Sovereign Credit Quality“ So far this year, the main credit rating agencies have been downgrading Sovereigns at the highest rate since 2009. Credit losses arising from Sovereign debt crises are rare, but when they do occur they may have major consequences, and the amounts […]
Colombia – Peace Deal Could Enhance Credit Position
Colombia’s many economic and political advantages have been overshadowed for decades by the long running war with various rebel groups. The recently agreed peace deal could be the beginning of a new era. Colombia’s recent peace deal with the FARC rebels should bring an end to decades of political violence in the country, and the […]
Poland, Belgium Credit Split Shows Power Of Politics
Poland’s credit standing is going down while Belgium’s rises. The divergence is mostly political. Poland’s economy is healthy and debts are low but the ruling populist party makes analysts nervous. Belgium’s many divisions mask a uniform commitment to fiscal restraint. In the world of sovereign credit risk, politics can matter more than anything else. The […]
