David Carruthers, Author at Credit Benchmark Archive - Credit Benchmark

November 2023 Financial Counterpart Monitor

The November-23 Financial Counterpart Monitor from Credit Benchmark provides a unique analysis of the changing creditworthiness of financial institutions.

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“Basel Endgame”: Fixed Weight Fault Lines?

This whitepaper uses default risk estimates from global banks to highlight potential fault lines embedded in the new Basel “Endgame” proposals.

Consensus Default Risk Analytics for Capital Trade Optimisation

This note shows how in the growing Significant Risk Transfer market, consensus credit data is being used to quantify existing credit portfolio risks and fine tune proposed new trades.

Default Rate Forecast for Q3 2024: US and UK Speculative Grade Corporates

Default rates for US and UK Speculative Grade bonds are expected to rise each quarter to a peak in Q3 2024. This whitepaper expands on our recent US Default Rate Forecast, with the addition of UK Corporate default projections.

Default Rate Forecast 2023/24: US Speculative Grade Borrowers and US Leveraged Loans

Default rates for US Speculative Grade bonds and Leveraged Loans are rising and expected to peak in Q2 2024. This whitepaper examines projected credit default rates for US issuers based on credit consensus data from global banks.

Leverage Loans: Morningstar LSTA and Issuer Consensus Credit Index

After a stellar performance over the past 12 months, the Leveraged Loan total return index is diverging from its respective credit indices.

Consensus Credit Ratings, CDS and CVAs

Consensus credit data can fill CDS market gaps for CVA calculations. This insight links real-world PDs to “Synthetic CDS” estimates for unrated, private counterparts.

Credit Portfolio Risk: Consensus Data Fills in the Blanks

Investors in credit portfolios make extensive use of credit agency ratings and market-driven risk models. But some segments are faced with less visibility and a lack of public ratings, while credit portfolio management models are only as good as the credit risk data available to them. This paper reviews a data-driven framework for portfolio risk analysis and discusses practical applications of consensus credit risk estimates.

AT1 Bonds: Investor Risk Means Stronger Banks

Bail-in bonds are a powerful extra prop for bank balance sheets in times of turmoil: AT1 bond issuers showed faster post-COVID credit recovery than most Global Systematically Important Banks, and the gap continues to widen.

After SVB: What’s the Next Shoe to Drop?

The sudden collapse of Silicon Valley Bank has raised questions as to what warning signs were missed. While this may have been a black swan event, bank credit warning signs have been flashing in consensus credit data for the past few months.

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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.

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