Sovereign Credit Risk and the Cost of COVID

The risk of a US Government shutdown is focusing attention on Sovereign credit risk.  While various sleights of hand (such as daily changes to bond maturities) are possible, there remains a small but significant risk to US Treasury bond payments in October.  A missed payment – even if it is only deferred – would be a major market event.  S&P famously downgraded the US to AA+ in 2011 under similar circumstances, and it has never moved it back.  Fitch currently have a negative outlook on their AAA rating for the US.

But the broader issue is how Governments around the world handle the cost of COVID [please continue below to access full report].

Figure 1: Two-Year Trends in Sovereign Credit Risk

Please complete your details to continue reading this report:

    By clicking the "Submit" button, you are agreeing to the Credit Benchmark Terms of Use and Privacy Policy.

    Download Full Report

    Sovereign Bond Risk Management

    In the current low yield environment, many Sovereign bonds issued by different countries are priced at similar levels. However, this Read more

    Introduction For Credit Portfolio Managers

    Credit Benchmark is a market-led response to three of the most critical issues facing credit risk professionals: 1) The need to Read more

    Sovereign Default Risk In Developing Economies

    This paper examines the use cases for Credit Benchmark’s Consensus Probabilities of Default (Consensus PDs), in the context of more Read more

    Impact Of BCBS Proposals On IRB Banks

    The Basel Committee on Banking Supervision recently published wide-reaching proposals for reducing variation in Credit Risk Weighted Assets, with a Read more

    Follow us on:

    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.