Understanding Quantifi’s Credit by Obligor Report: A Powerful Tool for Credit

We sat down with Nate Cross, a Senior Consultant on Quantifi’s North American Professional Services team, to delve deeper into the capabilities and benefits of this powerful tool.
3 Jan, 2025

Being able to accurately assess your credit exposure is crucial. Quantifi’s Credit by Obligor report offers a comprehensive solution for understanding and managing risk across various credit instruments, including swaps, loans, counterparties, tranches, and more. We sat down with Nate Cross, a Senior Consultant on Quantifi’s North American Professional Services team, to delve deeper into the capabilities and benefits of this powerful tool.

What Is the Credit by Obligor Report?

At its core, the Credit by Obligor report provides a consolidated view of risk per issuer or obligor. Nate explains, “At the most basic level, it can tell you by name if this issuer goes bust, how much would I lose?” The report consolidates risk from multiple sources—bonds, CDS, CDX, CDOs—into a single, unified view. This makes it easier for users to see their exposure to any particular issuer, regardless of where the risk is coming from.

The report is specifically designed for credit, breaking down credit exposure by obligor and assessing the associated risks. It provides insights into key metrics such as jump to default probability and credit spread shifts, offering a quick and clear visualization of the potential impacts on a portfolio. Nate highlights, “You get a pretty good graphic on which of the top 10 obligors have the biggest swings, and you can also delve into all the credit obligors to see the positions tied to each one.”

Key Benefits: Granularity and Flexibility

One of the standout features of this report is its ability to offer a granular and nuanced view of risk by issuer. Nate points out two main benefits: “First, you can quickly see which are the top issuers causing the most risk—what you are most exposed to. Second, you can get a detailed look at even your baskets, understanding how changes in a single component can impact the entire portfolio.” This level of detail is essential for making informed decisions about hedging strategies and managing overall portfolio risk.

Moreover, the report’s flexibility is a significant advantage. Clients can tailor the report to their specific needs by adding or removing metrics and adjusting time frames. For example, Nate explains, “A report will look a certain way out of the box, but just like any of our reports, a client can come in and cater this specifically to what they want to see.” Whether it’s switching from a five-year to a one-year credit spread analysis or adding a new panel to examine interest rate exposure, the report can be customized to fit any strategy.

Real-World Impact: Quick Insights and Risk Mitigation

The ability to quickly access and analyse this risk data is crucial in today’s fast-paced financial environment. This report not only saves time but also enhances decision-making by providing a clear snapshot of where the most significant risks lie. For instance, if a credit spread moves, traders can immediately see how this shift will impact their book and take appropriate action.

Nate also emphasizes the importance of this tool in scenarios involving complex products like baskets or indices or tranches. He shares an example: “if an issuer was part of a basket and did default or there was a corporate action on it, this report is super useful because you can see how it’s broken out per basket and how one piece of that would impact the whole portfolio.” This granular visibility enables better hedging strategies and helps firms avoid potential losses by identifying and mitigating risks early.

Enhancing Investor Confidence

Beyond its operational benefits, the Credit by Obligor report can also play a role in building investor confidence. Nate mentions that some clients use the report as part of their presentations to potential investors. The report’s detailed breakdown of exposure by strategy, obligor, and even at the basket level provides transparency, giving investors a clear view of how the firm is managing its risk.

Conclusion: A Critical Tool for Credit

Quantifi’s Credit by Obligor report is an essential tool for any firm dealing with credit. By consolidating risk across various instruments, offering granular insights, and providing flexibility for customization, it empowers users to make informed decisions and manage their portfolios effectively. Whether it’s for day-to-day risk management or enhancing investor presentations, the Credit by Obligor report delivers the insights needed to stay ahead in a complex financial landscape.

In this short video, Head of Solutions, Avadhut Naik provides an overview of Quantifi’s Credit by Obligor Report.

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