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.
- 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’)
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