David Carruthers, Author at Credit Benchmark Archive - Credit Benchmark

Sovereign, Financial and Corporate Default Risks

Latest Credit Benchmark data shows that the credit rating of a country’s financial system is heavily influenced by that of the Sovereign, and, in countries with the strongest credit, the Financial sector is stronger than the Corporate sector.

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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.

Monthly Credit Outlook: March 2023

The March Monthly Credit Outlook looks at recent credit trends and highlights seen in the consensus dataset. This month, stubborn inflation risks steeper global credit deterioration.

Renewable Energy: Credit Tide Turning?

Renewable energy is at the centre of efforts to tackle climate change, but there have been setbacks to growth. 80%+ of energy demand is still met by fossil fuels, with fossil fuel companies reporting record profits as global energy prices spike. In the past two years, renewable credit risk has deteriorated and traditional energy has improved. However, there are some signs that the credit tide may be turning.

Monthly Credit Outlook: February 2023

The February Monthly Credit Outlook looks at recent credit trends and highlights seen in the consensus dataset. This month, credit risk is elevated but some positive surprises may be possible.

Credit Correlations: Avoiding Unnecessary Risks

With default risks expected to rise in 2023, correlations between those risks are increasingly important for credit portfolio management. Exposures to different sectors – that normally diversify the portfolio – may show a simultaneous increase in risk during difficult economic conditions. This paper shows how Consensus credit data can be used to estimate credit correlations between regions, countries, industries, and sectors.

World Cup 2022: The Credit Effect

With more teams playing than ever before (and a further expansion planned for 2026) the World Cup might provide some real surprises. But for a quadrennial contest that has been around for over 90 years, the list of winners is a bit repetitive. This insight compares average Sovereign Credit Consensus Rating for each of the defined Winners, Determined and Unqualified groups.

UK LDI Crisis: Pension Funds Cannot Rely on Sponsors

Pension funds are traditionally well capitalised and usually considered investment grade. Many of the companies that sponsor those funds are weaker credits, and a significant number are non-investment grade. This means that some of the largest DB pension funds in the UK cannot rely on their sponsors for cash support to meet margin calls.

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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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