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, May 29, 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, May 29, 2026: One-month Forward T-bill Rate Peak at 6.24%
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 0.59% higher than the probability of being in the 0% to 1% range. Treasury 2-year yields moved to 3.98% this week from...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, May 22, 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, May 22, 2026: Probability of Inverted Yield Curve Over 20% by 2028
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 0.59% higher than the probability of being in the 0% to 1% range. Treasury 2-year yields moved to 4.13% this week from...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, May 15, 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...
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...
Divergence in Credit Conditions: Index-Level Resilience vs Typical-Firm Strain
Markets opened 2026 with risk appetite intact, and early performance patterns suggested leadership may be broadening beyond the mega-caps (January: S&P 500 +1.4% vs Russell 2000 +5.3%). Risk assets continued to reward scale, liquidity, and perceived cash flow...
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