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Credit Market Pulse: September 2014

Credit Market Pulse – September 2014

By Thomas Yagel, Marcel Heinrichs and Silvina Aldeco-Martinez

Welcome to the fifth issue of Credit Market Pulse, a publication for the credit risk industry that provides a holistic overview of the credit health of global capital markets.

In this issue, we look at global corporate credit risk conditions, with a particular focus on probability of default (PD) trends in key Southern European countries of Greece, Italy, Spain and Portugal. We are also very excited to share for the first time a unique PD heat-map based on median corporate PD values across Europe for the first time.

Report Highlights:

  • Credit risk in Western Europe falls below APAC Mature, as it has a lower median PD for the first time in over a year
  • There is high risk volatility in Portugal which was hit hard by troubles with the near collapse of Banco Espírito Santo
  • Risk levels on the S&P Europe 350 continued to fall from April 2014 highs while S&P 500 risk levels dropped to multi-year lows

In light of the Scottish referendum on independence, we also felt compelled to look at the PD levels of the UK split into two parts – Scotland and a UK without Scotland. We found that as of August 29th:

  • The median PD for Scottish companies (0.17%) is lower than those of the UK ex-Scotland (0.21%)
  • Scotland’s mapped credit score ( ‘bbb+’) is one notch higher than that of the UK, both with and without Scotland (‘bbb’)

You can read the rest of the September 2014 Credit Market Pulse report by downloading the PDF.  

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