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
In the current low yield environment, many Sovereign bonds issued by different countries are priced at similar levels. However, this Read more
Credit Benchmark is a market-led response to three of the most critical issues facing credit risk professionals: 1) The need to Read more
This paper examines the use cases for Credit Benchmark’s Consensus Probabilities of Default (Consensus PDs), in the context of more Read more
The Basel Committee on Banking Supervision recently published wide-reaching proposals for reducing variation in Credit Risk Weighted Assets, with a Read more
