April End-of-Month Credit Update

Download full April End-of-Month Credit Update infographic below.

Credit Benchmark has released the latest end-of-month consensus credit data (from March 2020), based on the final and complete set of contributed credit risk estimates from 40+ global financial institutions. This final update takes into account the credit movements of ~26,000 separate legal entities.

In the update, you will find:

  • Opinion Indicator: Assesses the month over month observation-level net downgrades or upgrades.
  • Ratio: Ratio of Deteriorations and Improvements calculated as Deteriorations / Improvements
  • Distribution Changes: The increase or decrease in the percentage of entities in the given rating category
  • IG to HY Migration: The absolute and relative movement from investment-grade to high-yield

Compared to the figures seen in our mid-month flash update, the final update shows:

  • The bias towards deterioration flagged by the opinion indicator ratio is less pronounced but still strong.
  • The opinion indicator marks most impacted industries:
    • There is an 11:1 deteriorating/improving ratio for Oil & Gas entities (down from 14.7:1 in the flash update).
    • There is an almost 7:1 deteriorating/improving ratio for Basic Materials (down from 8.8:1).
    • There is a 6:1 deteriorating/improving ratio for Consumer Services (down from 7.3:1).
    • And Consumer Goods show the biggest ratio drop, with the ratio now just below 4:1 deteriorating/improving (down from 9:1).
  • The percentage of Investment Grade (IG) entities migrating to High-Yield (HY) increased for almost all the cuts. Consumer Services show the strongest tendency to transition to HY with 5.3% of IG entities migrating (up from 3.4%). Travel & Leisure is one of the most impacted sectors with more than 15% of IG entities being downgraded to HY (up from 9%).

Credit Benchmark will continue to provide regular reports on these migration rates. If you have any questions about the contents of this update, please get in touch.

For full details, please download the April end-of-month credit update infographic here:

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    Credit Benchmark brings together internal credit risk views from over 40 leading global financial institutions. The contributions are anonymized, aggregated, and published in the form of consensus ratings and aggregate analytics to provide an independent, real-world perspective of credit risk. Risk and investment professionals at banks, insurance companies, asset managers and other financial firms use the data for insights into the unrated, monitoring and alerting within their portfolios, benchmarking, assessing and analyzing trends, and fulfilling regulatory requirements and capital.