TROUBLED COMPANY INDEX®
The Troubled Company Index ® measures the percentage of 42,500 public firms in 76 countries that have an annualized one-month default risk of over one percent.
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 26, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
SAS Weekly Treasury Simulation, June 26, 2026: Probability of Inverted Yields by March 2027 Remains Over 20%
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of being in this range is 0.53% higher than the probability of being in the 0% to 1% range. Treasury 2-year yields moved to 4.07% this week from...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 19, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
SAS Weekly Treasury Simulation, June 19, 2026: 25% Probability of Inverted Yields by March 2027
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of being in this range is 0.55% higher than the probability of being in the 0% to 1% range. Treasury 2-year yields moved to 4.19% this week from...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 12, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
The SaaSpocalypse Impact on Credit
For much of 2026, one question has dominated the technology sector: what happens to traditional software companies when artificial intelligence can write code, automate workflows, and allow customers to build applications themselves? The resulting concern manifested...
Communication Services: The Sector Where Scale Hides the Tail
Sector dispersion has been a recurring theme in the monthly Credit Conditions Newsletter because distributional dynamics often say more about credit risk than sector averages. Two months ago, we highlighted the widening of default-probability distributions following...
Global Credit Risk After the Iran War Shock
This month we take a global look at the impact of the Iran war on corporate credit risk via analysis of median probability of default (PD) for a select group of countries. The initial corporate credit response to the Iran war shock was broad. Median 1yr PD rose across...
Iran Shock Meets a Frozen Labor Market
The Iran-war energy shock arrived at a fragile moment in the U.S. labor market. It was not because layoffs were surging, but because the labor market had shifted into a “low-hire, low-fire” equilibrium. The driving forces behind the unusual labor situation have been a...
The Credibility Risk in Credit
February saw a modest widening in public credit spreads: the ICE BofA U.S. Corporate (IG) OAS widened from 75 bps at January month-end to 86 bps at February month-end, while the ICE BofA U.S. High Yield OAS widened from 288 bps to 312 bps. Equity markets were little...
ANALYTICS
KRIS Default Probabilities versus Credit Ratings
SAS Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
EVENTS
- June
- 11 JUNE | Neudata – New York Summer Data Summit 2026
- September
- 1 OCTOBER | BattleFin Discovery Day London