Bank Credit Risk Indicators

Transcription

1 Bank Credit Risk Indicators Fitch Solutions offers the most comprehensive suite of bank credit risk indicators available in the market to help you monitor your exposure to bank credit and counterparty risk, as well as validate and benchmark your own assessments.

2 Bank Credit Risk Indicators The following exhibits illustrate the wide range of Fitch bank credit information available to market participants. Sample Bank The sample report below demonstrates the wide range of bank credit risk indicators available from Fitch Solutions on a single counterparty. It includes traditional bank credit ratings, CDS implied ratings and spreads, fundamental financial data, as well as a suite of market-based indicators. This comprehensive intelligence provides market participants with multiple perspectives of credit risk for in-depth bank analysis. All Fitch bank credit risk indicators are delivered as a standardized data feed that the user can export into quantitative models, internal reports or a proprietary interface to best meet their specific needs. The sample is representative of a report that can be created using the data feed and also includes related Fitch Ratings research reports, which provide additional, valuable market commentary and are accessible only with a Fitch Research subscription. Traditional Credit Ratings Related Research Long Term Issuer Default Rating: A Short Term Issuer Default Rating: F1 Viability Rating: a Support Rating: 1 Support Rating Floor: A Sovereign Rating: A 22-Mar Mar Mar Mar Mar-12 EU Rating Endorsement U.S. Money Fund Exposure and European Banks: A Partial Disengagement Criteria for Interest Rate Stresses in Structured Finance Transactions Fitch s Interest Rate Stress Assumptions for Structured Finance Fitch Ratings Global Corporate Finance 2011 Transition and Default Study Market-Based Indicators 3 Month* 6 Month 1 Year CDS Implied Rating: BBB- BBB- BBB- BBB 5-Year CDS Spread: % -22.0% 69.5% CDS Liquidity Percentile Ranking: 15 Reg. Percentile Bank Credit Model 3 Month* 6 Month 1 Year Financial Implied Rating: C N/A N/A B/C Implied 5-Year CDS Spread: % 15.3% 54.8% *Historical changes to CDS and Implied CDS spreads over the specified time horizons. Financials Year End Q3 End 12/ /2011 Min EUR Min EUR Total Deposits 525, ,000.0 Total Interest Bearing Liabilities 1,354, ,317,500.0 Net Interest Revenue 16, ,238.0 Net Income -1, ,868.0 Total Assets 1,723, ,740,000.0 Total Common Equity 49, ,800.0 Total Net Loans 399, ,200.0 Ratio Analysis Year End Q3 End 12/ /2011 Regulatory total Capital Ratio Regulatory Tier 1 Ratio Cost / Income Equity / Assets Net Interest Margin ROAA ROAE

3 Sample Portfolio of Global Banks The sample report below demonstrates the wide range of bank credit risk indicators available from Fitch Solutions on a portfolio of banks across the U.S., Europe, and Asia-Pacific. Fitch Traditional Ratings Fundamental Financials CDS Pricing and CDS based Quantitative Analytics Bank Credit Model Highlighted Credit Risk Indicators Using the same portfolio of global banks in each example, we highlight the different bank credit risk indicators offered by Fitch Solutions ranging from traditional bank credit ratings and fundamental financials to market-based indicators. Fitch Credit Ratings Leveraging Fitch Ratings position as the global leader in bank ratings coverage, Fitch Solutions delivers credit ratings, watches and outlooks on 3,500 banks, plus 35 years of historical rating actions on 9,500 banks. This section of the chart highlights viability ratings, which measure the stand-alone financial strength of a bank, as well as long-term issuer default ratings. Fitch Traditional Ratings Fitch Fundamental Financial Data As the industry s leading provider of bank fundamental financial data, Fitch Solutions offers annual and interim financial data on over 11,000 U.S. banks and 19,400 global banks in a standardized format for in-depth research and cross-border analysis. Fundamental Financials

4 Highlighted Credit Risk Indicators continued Fitch CDS Pricing A wide range of proprietary, consensus CDS pricing from top market makers on 250 banks daily. All content goes through a stringent data cleaning process, ensuring the composite published prices are of the highest quality. CDS Pricing and CDS based Quantitative Analytics Fitch CDS Indices A set of independent and purely data-driven bank and sovereign indices that provide objective, transparent and unique data to easily identify credit derivative trends and conduct market analysis over time. CDS Implied Ratings Daily market-based indicators of credit quality covering the consensus CDS universe, Implied Ratings consider quotes, term structure, and credit information to determine spread ranges for each rating category. CDS Implied Ratings

5 Highlighted Credit Risk Indicators continued CDS Liquidity Scores Derived from a proprietary statistical model and utilizing a broad set of CDS market data, each asset is given a score and corresponding percentile ranking representing the most and least liquid entities across the global CDS universe. Fitch Solutions also issues bi-weekly CDS Liquidity Commentaries covering the five most-liquid CDS corporate names in Europe, North America and Asia Pacific, as well as the five most-liquid global sovereigns. CDS Liquidity Scores Bank Credit Model Outputs: Financial Implied Ratings and Implied CDS Spreads The Fitch Bank Credit Model is a statistical model that produces a Financial Implied Rating a measure of a bank s one-year forward, stand-alone financial strength rating and daily Implied CDS Spread for over 9,500 banks globally. Together, these outputs provide market participants with a valuable input into their bank credit decision-making process. Bank Credit Model

6 Sample Analysis Using our comprehensive CDS Pricing Content as an example, the following charts illustrate how quickly and easily a user can conduct Relative Value Analysis by plotting CDS for banks in their portfolio against regional and sector level benchmarks. Identify new trading patterns by monitoring bank CDS pricing relative to broader market. Basis Points Basis Points Basis Points For more information Fitch Solutions Bank Credit Risk Indicators can be customized by data fields and integrated into a variety of standardized data feed packages. For more information, please visit the Risk & Performance Analytics section of the website. About Fitch Solutions Fitch Solutions is committed to delivering value beyond the rating by providing a range of fixed-income products and professional development services to the global financial community. In addition to offering proprietary content, the firm also distributes the ratings, research, financial data and analytical tools of Fitch Ratings through a variety of platforms. With innovation and experience behind every product and service we bring to market, our flexible offerings are designed to meet the diverse needs of the credit markets. Drawing upon a wealth of expertise, skills, and market insight, we provide financial professionals worldwide with the intelligence they need to make more informed risk management and investment decisions. Fitch Solutions is part of the Fitch Group, a jointly owned subsidiary of Fimalac, S.A. and Hearst Corporation. For additional information, please visit FS40028/