In a new Bank Insights article, “From Mayfair to the Caymans: Mapping and Quantifying Non-Bank Default Risk in UK Markets,” Bank of England researchers Eduardo Maqui and Elizabeth Machemedze examine default risk among non-bank financial institutions (NBFIs) active in UK markets — from asset managers and pension funds to hedge funds operating through offshore centres like the Cayman Islands. Drawing on entity-level trade repository and transaction data covering 2016–2025, the authors find that default risk is heavily concentrated in offshore hedge funds, with implications for counterparty risk management and cross-border supervisory cooperation. Credit Benchmark’s consensus probability of default (PD) data underpins the analysis, providing the forward-looking, entity-level risk measure at the heart of the study.
"For our analysis, we use one-year-ahead PD estimates and PD-implied average ratings at the NBFI entity level... collated from Credit Benchmark. These measures reflect bank‑level counterparty assessments on the likelihood of default for each entity, based on anonymised inputs from a global sample of banks."