Criat

The Fed’s annual stress tests show that the combined losses for US banks could amount north of USD 680bn --- over USD 144bn more than stress tests done last year. The increased vulnerability in US banks’ balance sheets is partly due to the higher-for-longer interest rate in the past year. The interest rate has pressured the asset quality of the banks' loan portfolios. Criat’s stress testing capabilities have been put to the test to look at the impact of Fed’s baseline scenarios on US-domiciled banks’ PD. Compared to their credit profiles at the end of June 2024, US-domiciled G-SIBs likely will see an increase in their probability of default (PD) over the coming few quarters. However, the median credit risk of all US banks is likely to improve from next year after marginal deterioration. #creditrisk #investmentrisk #financialriskmanagement #portfoliomonitoring #buyside #fintech #assetmanagement #banking #stresstesting

Institution investors: which countries to focus on in ASEAN markets? Criat’s Credit Cycle Index (CCCI) showcases the changes in aggregated risk across countries in ASEAN. Despite the rising interest rates by central banks, Malaysia and Singapore see their CCCI drop over the last two years. On the other hand, Indonesia and Thailand both see an increase in risk as the interest rate rises, with Indonesia’s CCCI surpassing Malaysia in Q2 2024. In Indonesia, the increase in CCCI YTD is mainly driven by a decrease in the gap between market implied values and debt across listed firms. Furthermore, there is a general downturn in the overall IDX performance. Liquidity (current asset/current liabilities) is eroding across the board. However, in Malaysia, the decrease in CCCI YTD attributed to better liquidity and a general uplift on Bursa.   📩 For more data or information on our products, please message us or email info@criat.io #creditrisk #investmentrisk #financialriskmanagement #portfoliomonitoring #buyside #fintech #assetmanagement #banking #insurance #asean

No Va Land, one of Vietnam's leading property developer, defaulted on 1 trillion VND bond in Feb 2023. Criat captured a tightening of No Va Land's PD spread and industry average in Q1 2022. During the 12 months prior to default, the company's PD increased by over 100 bps. This increase was linked to a sharp deterioration in Distance to Default in absolute and relative terms. In Nov 2022, Criat's PDiR was downgraded to non-investment grade -- 4 months prior to the default. In Dec 2022, the company became risker than most of its peers.

Our data captured signals of credit deterioration for Wijaya Karya as early as mid 2020, ahead of its defualt in Dec 2023. There were clear indicators of potential defaults 6 months ahead of actual event: - PD rising steadily since 2020 with clear deviation from mean of peer group in 2023. - PD crossed the mean of peer group end Q1 2020 - PD peaked to almost 3% (B) in Dec 2023. In fact, the company's PD 6 month already reached 90th percentile of peer group prior to default. The key contributors to risk were: - Increase leverage - Drop in market value vs IDX - Low profitability Since beginning of 2024, the company has been liquidating some of its assets, which results in an improved liquidity and size factors. YTD PD dropped by 2%+ (absolute value). #creditrisk #investmentrisk #financialriskmanagement #portfoliomonitoring #buyside #fintech #assetmanagement #banking #insurance 

Fisker, a US based EV manufacturer, filed for bankruptcy on 19 June 2024. The company previously defaulted on USD 3.5M in May 2024. Criat's PD shows the first signal when the PD implied rating downgraded from B- to CCC+ in November 2023. Around same time, company also became riskier than the Median of peer group. #creditrisk #investmentrisk #financialriskmanagement #portfoliomonitoring #buyside #fintech #assetmanagement #banking #insurance

We had an incredible time meeting all the attendees, learning about the Survey of Risk and Performance Practices results, and having our Chief Solution Officer Leon Chuang share how early warning signals can help avoid systematic losses on portfolio holdings. Thank you again for having us IMAS (Investment Management Association of Singapore) FactSet, and thank you Eastspring Investments for providing the event venue!

Investing in the digitalization sector? Digitalization provides huge opportunities promoting economic growth, but the potential risks also need attention. As the world's second largest economy, China's digitalization development not only affects the domestic economy, but also has a profound impact on the global market. The KKR report "Thoughts From the Road" from April 2024 points out that Green initiatives, Artificial Intelligence and Industrial Automation form an important part of China’s "new economy". The report believes digitalization accounts for 20% of the economy, but accounts for 55% of GDP growth. Criat looks at the default correlation of a sample of listed Chinese digital transformation companies covering many sectors. Our analysis shows that, for now, the credit risk of individual companies is unlikely to have widespread negative spillover effects across the entire digital transformation industry. Message us for more info on default correlation and investment risk management. #creditrisk #criatweekly #investment

Criat’s PD captured early signs of credit deterioration 4 months before YNH Property announced technical default in April 2024. Our model provided 2 early signals. On 10 Jan 2024, Criat’s Probability of Default (PD) for YNH surpassed the Mean of Malaysia Real Estate. Criat’s implied rating (PDiR) for the company downgraded to BB+ (non investment grade), on 23 Jan 2024. MARC (local rating agency) downgraded YNH to BBB- in April 2024. In Criat’s PD model, YTD PD change can be attributed to: o    Higher leverage o    Shrinking market cap vs KLCI index o    Combined increase in volatility and lower growth opportunities vs peers Criat's current PDiR for YNH is BB. If YNH survives without further defaults over the next few months, the PD is expected to decrease (as shown by an inverted PD term structure). Post covid, the Real Estate sector in Malaysia has seen some improvement – at the same time the spread between the mean of the peer group and YNH Properties diminishes, indicating that YNH is not recovering slower than its peers. #creditrisk #investmentrisk #financialriskmanagement #portfoliomonitoring #buyside #fintech #assetmanagement #banking #insurance #criatcreditanalytics

How do you avoid systematic losses on portfolio holdings utilizing Early Warning Signals? Our Chief Solution Officer Dr Leon Chuang will speak about it at the IMAS lunch event. 👏 Thank you IMAS (Investment Management Association of Singapore) and FactSet for inviting us to present! We are excited to present at the Risk & Performance Survey event 😄 Dr Chuang is a founding member of Criat, a seasoned financial professional specializing in credit risk modeling since 2008. #creditrisk #investmentrisk #financialriskmanagement #portfoliomonitoring #buyside #fintech #assetmanagement #banking #insurance #portfolio #criatcreditanalytics

Over the past few weeks, macro-economic factors made analysts revise earning across APAC emerging stock markets. Such factors include higher interest rates, foreign exchange volatility and challenges with China’s macro-outlook. Criat’s Probability of Default (PD) model captures macro factors, in addition to market and financial statement data, to generate early warning of credit deterioration. It thus provides a holistic view of risk at entity and portfolio levels. Criat’s Forward intensity model forecasts further deterioration in risk on aggregate across APAC over the next 12 months. 📩 Message for more details. The below chart shows the evolution of Criat Credit Cycle Index (CCCI) across APAC. We observe a general increase in risk reflecting market sentiment. Only Malaysia sees an improvement in PD over the last 12 months, indicating positive market conditions despite some recent corporate defaults. Notably, China’s CCCI remains relatively high compared to the rest of the region. This is linked to the high risk in the construction/real estate sector despite recent government policy easing. For further data or consultation, please 1.   Click on the LinkedIn “Message” button. 2.   Select the Conversation Topic “Service request”. 3.   In the “Description” box, note your query. Specify your name, email address and organization. You can also email us at enquiry@criat.sg We will be in touch soon! #creditrisk #investmentrisk #financialriskmanagement #portfoliomonitoring #buyside #fintech #assetmanagement #banking #insurance #criatweekly #criatcreditanalytics