At a Glance: Credit Benchmark Aggregate Analytics

Credit Benchmark Aggregate Analytics are macro-level risk indicators that assess and compare credit trends and distributions across 105 countries, 300 industries and 75 sectors.

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Basics

Content Category: Fixed Income

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Credit Benchmark Aggregate Analytics are macro-level risk indicators that assess and compare credit trends and distributions across 105 countries, 300 industries and 75 sectors. An Aggregate can be thought of as a basket of obligors.

Hundreds of trend-tracking, forward-looking Aggregates are available, reflecting the expanding Credit Benchmark universe of 800,000+ contributed credit risk observations from the world’s leading financial institutions and representing real-world risk exposures. Aggregates provide a new way of assessing risk across sectors and informing sector allocation.

For each Aggregate, Credit Benchmark provides a variety of valuable data, including the number of obligors falling within each credit rating bucket as well as the volatility of the Aggregate and overall improvement and deterioration period-over-period.

Data Overview

Asset Class: Public Companies

Data Frequency: Monthly

Delivery Frequency: Monthly

History: Credit ratings data begins in 2015

at a glance credit benchmark

Data Methodology

The Credit Benchmark DataFeed offers insights into the internal credit views of the world’s leading financial institutions via a contributed data model. The underlying inputs from contributors are derived from models that are approved by regulatory authorities. Contributors have a strong incentive to ensure the accuracy of each datapoint (a one-year, forward-looking Probability of Default and forward-looking senior unsecured Loss Given Default) which are used in their regulatory submissions.

In addition to the data set being approved by the local regulator for use within regulatory capital requirements, Credit Benchmark’s onboarding program includes an in-depth 10-point review of data eligibility prior to inclusion.  

The contributors provide data for their list of obligors and Credit Benchmark leverages this data to provide Aggregate credit scores and other values for groupings such as geography, industry and benchmark. These groupings are global and are comparable across geography and sector.

Credit Benchmark uses a strict set of rules to construct baskets, such as to minimize survivor and selection bias.

Use Cases

Monitoring Credit Trends

Understand how a given basket, or Aggregate, of obligors has trended through time to identify which markets may be improving or deteriorating from a credit perspective.

  • For each basket, the number of improvements and deteriorations are given by the number of obligors where the Probability of Default has decreased or increased by more than 10%. This shows the balance of the Aggregate changes (represented by the net effect) and how active the Aggregate is across time.
  • Credit volatility is provided as an annualized relative volatility of the latest six data points of the Aggregate.

Portfolio Credit Distribution Monitoring

Portfolio managers can leverage Credit Benchmark’s Aggregates to compare the credit distribution of their portfolio against that of a benchmark index.

  • Over 650 Aggregates are provided for geography, industry and benchmark.
  • By using a basket approach to create benchmark Aggregates, further defined in the Content Methodology Guide, Credit Benchmark ensures baskets accurately represent the associated Aggregate.

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