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Inside Reference Data webinar 15 may-2014

This document discusses challenges in risk data aggregation and internal risk reporting practices. It notes issues such as mapping entities and instruments across different identification systems, obtaining real-time risk information, and distinguishing between country risk and sovereign risk. The presentation provides examples to illustrate these challenges, such as showing how the same company can have multiple IDs, how credit default swap prices can signal credit risk differently than ratings, and how country risk does not always mirror sovereign risk. It emphasizes the importance of effective mapping and reporting practices for comprehensive risk management.

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Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Copyright © 2014 by Standard & Poor’s Financial Services LLC (S&P). All rights reserved. Rick Kanungo, CFA, FRM Senior Director, Enterprise Solutions, S&P Capital IQ May 15, 2014 Adopting Principles For Effective Risk Data Aggregation and Internal Risk Reporting Practices
2 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Data Challenges In Risk Management • Real-Time Risk Management – Nimble response to intra-day developments globally • Risk Aggregation and Reporting – Entity hierarchy mapping across subsidiaries and vendor IDs (e.g., across rating agencies) – Securities mapping across instrument identifiers and asset classes – Mapping various sector classification systems • Obligor Identification vs Ownership – Who is backstopping the issuer? • Alternative interpretations of Investment Grade – Use of Market Implied Credit Measures (CDS, Bond Yields) • Quantifying Market Activity for Corporate Bonds – Market Activity Score • Country Risk vs Sovereign Risk – Challenges faced by a corporate in doing business in a country can be different from that faced by the government in that country
3 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Real Time Risk Management 26th Feb: 161 quotes 27th Feb: 157 quotes 28th Feb: 74 quotes 3rd Mar: 282 quotes 4th Mar: 221 quotes Quote Volume Spiked on Monday March 3rd and spreads widened sharply Cox Communications August 2, 2013 Intra-Day Credit Default Swap (CDS) Moves Russian Sovereign CDS March 3rd, 2014 For illustrative purposes only. Source: S&P Capital IQ CDS data. CDS Spread doubled within one hour
4 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Real Time Risk Management Standard & Poor’s WatchNeg Ratings Actions – Sample Company Name Exchange:Ticker WatchNeg Date WatchNeg Time (GMT) AerCap Holdings N.V. (NYSE:AER) NYSE:AER 12/16/2013 16:41:19.516 Banco Safra S.A. - 03/26/2014 5:16:13.254 Banco Votorantim S.A. - 03/26/2014 5:16:29.036 Bco Estado do Rio Grande do Sul SA (BOVESPA:BRSR6) BOVESPA:BRSR6 03/26/2014 5:17:02.795 China Development Financial Holding Corporation (TSEC:2883) TSEC:2883 02/12/2014 8:06:30.421 Energen Corp. (NYSE:EGN) NYSE:EGN 04/09/2014 17:02:50.059 International Lease Finance Corp. - 12/16/2013 16:50:14.803 Leighton Holdings Limited (ASX:LEI) ASX:LEI 03/11/2014 4:05:48.795 Oi SA (BOVESPA:OIBR4) BOVESPA:OIBR4 10/02/2013 21:38:49.745 SLM Corporation (NasdaqGS:SLM)* NasdaqGS:SLM 05/29/2013 14:30:25.595 Telemar Norte Leste SA - 10/02/2013 17:38:49.741 Market Participants Are Requesting Low Latency Notifications Source: S&P Capital IQ data. As-of April 28, 2014. Credit ratings and analyses are provided by Standard & Poor’s Ratings Services, which is analytically and editorially independent from any other analytical group at McGraw Hill Financial, including S&P Capital IQ. * SLM Corp was downgraded to ‘BB’ on Apr 30, 2014. The company separated into two entities via a spin-off transaction--an education loan management business (to be named Navient Corp.) and a consumer banking business (SLM Corp., which S&P Ratings will not rate).
5 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Consolidated View Of Exposure ISIN LEI Markit RED S&P Compustat GVKEY Parent Valor SEDOL Other… D&B DUNS Other… GICS SIC ICB ANZSIC Other…. Ultimate Parent BSYM Industry Classifications Organizational Hierarchy Entity Identifiers Instrument Identifiers For illustrative purposes only. Not all classification codes shown. Lattice Of Mappings Subsidiary Tree
6 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Data Challenge: Mapping Entity Identifiers Entity ID Type Value S&P RatingsXpress Entity ID 336214 Moody's Issuer Number 600050279 Fitch Issuer ID 80089821 Markit Red Code 7FC86R CMA Entity ID 2797 S&P Compustat GVKey 10121 LEI – GMEI 4K8SLPBF5DXXGPW03H93 D&B DUNS 160002218 Leighton Holdings Ltd. Entity ID Type Value S&P RatingsXpress Entity ID 127018 Moody's Issuer Number 39700 Markit Red Code QVA6A9 S&P Compustat GVKey 101603 D&B DUNS 750855918 SLM Corp. For illustrative purposes only. Not all codes are shown Source: S&P Capital IQ Enterprise data
7 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Organizational Hierarchy Leighton Holdings (ASX:LEI) • Leighton Holdings (ASX:LEI) is majority owned (58.7% ) by HOCHTIEF Australia Holdings Ltd. which is Private • HOCHTIEF Australia in turn is 100% owned by German parent Hochtief AG (DB:HOT) • Hochtief AG in turn is majority owned (50.35%) by Spanish firm Actividades de Construcción y Servicios, S.A. (CATS:ASX) • Besides global parents, Leighton Holdings Ltd. has 112 subsidiaries in Asia/ Pacific and 2 in the Middle-East 1 2 3 Truncated list of subsidiaries 3 2 1 Source: S&P Capital IQ Enterprise data
8 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Data Challenge: Mapping Industry Identifiers Type Industry Code Description GICS 40202010 Consumer Finance SIC 6111 Federal & Fed.-Sponsored Credit NAICS 522294 Secondary Market Financing ICB 8773 Consumer Finance Type Industry Code Description GICS 20103010 Construction & Engineering SIC 1081 Metal Mining Services NAICS 213114 Support Activities for Metal Mining ANZSIC 310 Heavy and Civil Engineering Construction ICB 2357 Heavy Construction Leighton Holdings Ltd. SLM Corporation For illustrative purposes only. Not all codes are shown Source: S&P Capital IQ Enterprise data
9 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Data Challenge: Instrument Mapping ISIN: AU000000LEI5 ISO NNA Vendor IDENTIFIER AT 856187 B2 BBG001S5ZN24 BE 8592378 CH 641370 DE 856187 FR 955040 GB 6511227 ISIN AU000000LEI5 US Q55190104 XS 11490034 MARKET SEDOL MUN 5412031 PIN B02P228 ASX 6511227 Exchange Alpha Code MIC Exchange Name Symbol ASX XASX Australian Stock Exchange LEI BEB XBER Berlin-Bremen LTH BWB XSTU Baden-Wurttembergische Wertpapierborse, Stuttgart LTH FRA XFRA Frankfurter Wertpapierborse LTH MUC XMUN Bayerische Borse in Munchen LTH OTN XOTC Other OTC Market, Washington LGTHF TGT TGAT Tradegate AG, Wertpapierhandelsbank LTH ETR XETRA, Frankfurt LTH • A single instrument can have multiple IDs from vendors, numbering agencies and exchanges • Issuing Company: Leighton Holdings (ASX:LEI) • Issue Classification(ISO CFI): ESXUFR NNA: National Numbering Agency. CFI: Classification of Financial Instruments per ISO 10962. MIC: Market Identifier Codes per ISO 10383.
10 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Market Based Credit Indicators SLM Corporation CDS Market Signal • S&P Ratings put SLM Corp on BBB- WatchNeg on 5/29/2013 • SLM Corp. was downgraded by S&P Ratings to ‘BB’ on 4/30/2014 • CDS based Market Signal deemed SLM Corporation as below investment grade prior to downgrade Source: S&P Capital IQ. For illustrative purposes only.
11 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Market Based Credit Indicators The Interpublic Group Of Companies • Regulations have removed reliance on Ratings for determination of Investment-Grade • S&P Ratings (‘BB+’ ) puts Interpublic in High-Yield Zone • CDS and PD based Market Signals deem Interpublic as Investment-Grade Source: S&P Capital IQ. For illustrative purposes only.
12 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Market Activity Score Issuer: SLM Corp (now Navient) Different Market Activity For Two Bonds From Same Issuer CUSIP Description Market Activity Score (MAS) * MAS Date Terms & Conditions 78442FEK0 US$2 bil 6.25% med- term notes ser A due 01/25/2016 1 5/2/2014 Issued: 1/14/2011 Optional Put in Event of Change in Rating or Poison Put 05/12/2014 @101. Make whole call at any time at the greater of Par or PV of Interest and Principal Discounted by Treasury Rate + 50 bps 78490GAU1 US$1.396 mil 5.65% Ed nts due 06/15/2022 5 5/2/2014 Issued: 3/22/2007 Par Call: 06/05/2014 @100 * For corporate and government bonds, S&P Capital IQ Market Activity Scores are based on trades from FINRA’s Trade Reporting and Compliance Engine® (TRACE®) and Xtrakter, and quotes from Xtrakter Quotes, S&P Capital IQ Quote, Tullet Prebon Government Bonds, and JSDA (Japan Securities Dealers Association) where relevant. • No. of Trades in Last 30 days (FINRA/TRACE) • Bus. days since last Trade (FINRA/TRACE) • Bus. days since last Quote (Xtrakter) • Bus. days since last Trade (Xtrakter) Market Activity Score – Factors and Sources • No. of Market Makers (Xtrakter) • Bus. Days since last quote (S&P Capital IQ) • No. of Dealers (S&P Capital IQ)
13 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Country Country Risk S&P Rating S&P Rating Outlook CDS-Implied Market Signal China bb+ AA- Stable a- Kuwait bbb AA Stable Russia bb- BBB+ Stable bbb- Chile a- AA+ Stable a- Philippines b+ BBB- Stable bbb+ Kazhakstan bb BBB+ Stable Qatar a AA Stable aa- Saudi Arabia a- AA- Positive aa- India bb- BBB- Negative bb+ Sovereign Risk Country Country Risk S&P Rating S&P Rating Outlook CDS-Implied Market Signal Cyprus a+ B- Stable b Portugal aa- BB Negative bb+ Iceland aa BBB- Stable bb+ Ireland aaa BBB+ Positive a- Spain aa- BBB- Stable bbb Greece bb+ B- Stable b United Kingdom aaa AAA Negative aaa Sovereign Risk Country Risk Country Risk Distinct From Sovereign Risk Source: S&P Capital IQ. Lowercase nomenclature is used to differentiate these scores from actual Standard & Poor’s Rating Services credit ratings, these scores differ significantly from Standard & Poor’s rating criteria. For illustrative purposes only. Country Risk Lower than Sovereign Risk Country Risk Higher than Sovereign Risk As of February 27, 2014. Samples for illustration only. Not complete list of countries
14 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Addendum
15 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Probability of Default (PD) Alternate measures of Credit Risk – Market signal based https://www.capitaliq.com/CIQDotNet/help/chp/PD_Model_Market_Signals.pdf Entity Name Rating when put on Watch Credit Watch CreditWatch Date Eventual Rating Eventual Rating Action Date PD (%) 7 weeks prior to WatchNeg PD (%) 1 day prior to WatchNeg PD Increase (%) GICS4 Country DBA Telecommunication (Asia) Holdings Ltd. BB- NEG 06/21/2013 B 08/07/2013 0.009 0.854 9,266 4520 CYM Dun & Bradstreet Corp. (The) A- NEG 05/23/2012 BBB+ 07/13/2012 0.011 0.864 7,436 2020 USA Exide Technologies CCC+ NEG 05/03/2013 D 06/11/2013 0.480 9.948 1,973 2510 USA Qantas Airways Ltd. BBB NEG 06/07/2012 BBB- 09/07/2012 0.669 7.551 1,028 2030 AUS Navistar International Corp. B+ NEG 06/07/2012 B 07/09/2012 0.489 5.332 991 2010 USA Valeant Pharmaceuticals International Inc. BB NEG 05/28/2013 BB- 06/19/2013 0.005 0.049 933 3520 CAN Asahi Glass Co. Ltd. A NEG 07/18/2012 A- 08/09/2012 0.408 3.549 769 2010 JPN PT Bakrie Sumatera Plantations Tbk. CC NEG 06/27/2012 CCC- 07/18/2012 2.396 17.949 649 3020 IDN James River Coal Co. B NEG 02/29/2012 B- 03/22/2012 4.299 24.488 470 1010 USA Hidili Industry International Development Ltd. B+ NEG 06/26/2012 B 09/11/2012 1.714 9.444 451 1010 CYM Lonking Holdings Ltd. BB NEG 06/05/2012 BB- 07/04/2012 0.998 5.030 404 2010 CYM Entity Name Rating when put on Watch Credit Watch CreditWatch Date Eventual Rating Eventual Rating Action Date PD (%) 7 weeks prior to WatchNeg PD (%) 1 day prior to WatchNeg PD Increase (%) GICS4 Country Hovnanian Enterprises Inc. CCC- POS 09/19/2012 CCC+ 11/05/2012 3.112 0.179 -94 2520 USA T-Mobile US Inc. B+ POS 10/03/2012 BB 05/01/2013 3.952 0.236 -94 5010 USA Nexstar Broadcasting Group Inc. B POS 10/05/2012 B+ 10/24/2012 1.604 0.158 -90 2540 USA Axiall Corp. BB- POS 04/25/2012 BB 01/15/2013 2.373 0.248 -90 1510 USA RONA Inc. BBB- POS 07/31/2012 BB+ 04/12/2013 0.931 0.123 -87 2550 CAN Pentair Inc. BBB- POS 03/28/2012 BBB 09/28/2012 0.085 0.016 -81 2010 USA Reliance Steel & Aluminum Co. BBB- POS 04/17/2012 BBB 07/31/2012 0.103 0.046 -55 1510 USA Kodiak Oil & Gas B POS 06/05/2013 B+ 07/19/2013 0.719 0.371 -48 1010 USA
16 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Surveillance Early Warning From Standard & Poor’s Ratings Services MDS Source: S&P Capital IQ. Lowercase nomenclature is used to differentiate these scores from actual Standard & Poor’s Rating Services credit ratings, these cores differ significantly from Standard & Poor’s rating criteria. For illustrative purposes only. Norske Skogindustrier ASA Market Derived Signal (CDS signal mapped to Standard & Poor’s Ratings Services ratings scale) • The Market Derived Signals were below Standard & Poor’ Rating, suggesting the market’s view of a possible downgrade • Nov. 21st, 2012 and Aug. 2nd, 2013 ratings downgrades
17 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Sovereign Risk • Slovenia’s CDS-Implied score was below S&P Ratings level, which was on Outlook Negative, before series of downgrades Sovereign Ratings And CDS Spread Source: S&P Capital IQ. Lowercase nomenclature is used to differentiate these scores from actual Standard & Poor’s Rating Services credit ratings, these cores differ significantly from Standard & Poor’s rating criteria. For illustrative purposes only.
Copyright © 2014 by Standard & Poor’s Financial Services LLC, a subsidiary of McGraw Hill Financial. All rights reserved. No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively, S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages. Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact or recommendations to purchase, hold, or sell any securities or to make any investment decisions. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P’s opinions and analyses do not address the suitability of any security. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process. S&P provides a wide range of services to, or relating to, many organizations, including issuers or underwriters of securities or obligors, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries. As a result, S&P may receive fees or other economic benefits from organizations whose securities or services it may recommend, analyze, rate, include in model portfolios, evaluate, price or otherwise address. STANDARD & POOR’S, S&P, and GICS are registered trademarks of Standard & Poor’s Financial Services LLC. CAPITAL IQ is registered trademark of Capital IQ, Inc. S&P CAPITAL IQ is a trademark of Standard & Poor’s Financial Services LLC. CREDITMODEL is a trademark of Standard & Poor’s Financial Services LLC. All other product or service names may be the property of their respective owners. www.spcapitaliq.com

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Inside Reference Data webinar 15 may-2014

  • 1.
    Permission to reprintor distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Copyright © 2014 by Standard & Poor’s Financial Services LLC (S&P). All rights reserved. Rick Kanungo, CFA, FRM Senior Director, Enterprise Solutions, S&P Capital IQ May 15, 2014 Adopting Principles For Effective Risk Data Aggregation and Internal Risk Reporting Practices
  • 2.
    2 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Data Challenges In Risk Management • Real-Time Risk Management – Nimble response to intra-day developments globally • Risk Aggregation and Reporting – Entity hierarchy mapping across subsidiaries and vendor IDs (e.g., across rating agencies) – Securities mapping across instrument identifiers and asset classes – Mapping various sector classification systems • Obligor Identification vs Ownership – Who is backstopping the issuer? • Alternative interpretations of Investment Grade – Use of Market Implied Credit Measures (CDS, Bond Yields) • Quantifying Market Activity for Corporate Bonds – Market Activity Score • Country Risk vs Sovereign Risk – Challenges faced by a corporate in doing business in a country can be different from that faced by the government in that country
  • 3.
    3 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Real Time Risk Management 26th Feb: 161 quotes 27th Feb: 157 quotes 28th Feb: 74 quotes 3rd Mar: 282 quotes 4th Mar: 221 quotes Quote Volume Spiked on Monday March 3rd and spreads widened sharply Cox Communications August 2, 2013 Intra-Day Credit Default Swap (CDS) Moves Russian Sovereign CDS March 3rd, 2014 For illustrative purposes only. Source: S&P Capital IQ CDS data. CDS Spread doubled within one hour
  • 4.
    4 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Real Time Risk Management Standard & Poor’s WatchNeg Ratings Actions – Sample Company Name Exchange:Ticker WatchNeg Date WatchNeg Time (GMT) AerCap Holdings N.V. (NYSE:AER) NYSE:AER 12/16/2013 16:41:19.516 Banco Safra S.A. - 03/26/2014 5:16:13.254 Banco Votorantim S.A. - 03/26/2014 5:16:29.036 Bco Estado do Rio Grande do Sul SA (BOVESPA:BRSR6) BOVESPA:BRSR6 03/26/2014 5:17:02.795 China Development Financial Holding Corporation (TSEC:2883) TSEC:2883 02/12/2014 8:06:30.421 Energen Corp. (NYSE:EGN) NYSE:EGN 04/09/2014 17:02:50.059 International Lease Finance Corp. - 12/16/2013 16:50:14.803 Leighton Holdings Limited (ASX:LEI) ASX:LEI 03/11/2014 4:05:48.795 Oi SA (BOVESPA:OIBR4) BOVESPA:OIBR4 10/02/2013 21:38:49.745 SLM Corporation (NasdaqGS:SLM)* NasdaqGS:SLM 05/29/2013 14:30:25.595 Telemar Norte Leste SA - 10/02/2013 17:38:49.741 Market Participants Are Requesting Low Latency Notifications Source: S&P Capital IQ data. As-of April 28, 2014. Credit ratings and analyses are provided by Standard & Poor’s Ratings Services, which is analytically and editorially independent from any other analytical group at McGraw Hill Financial, including S&P Capital IQ. * SLM Corp was downgraded to ‘BB’ on Apr 30, 2014. The company separated into two entities via a spin-off transaction--an education loan management business (to be named Navient Corp.) and a consumer banking business (SLM Corp., which S&P Ratings will not rate).
  • 5.
    5 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Consolidated View Of Exposure ISIN LEI Markit RED S&P Compustat GVKEY Parent Valor SEDOL Other… D&B DUNS Other… GICS SIC ICB ANZSIC Other…. Ultimate Parent BSYM Industry Classifications Organizational Hierarchy Entity Identifiers Instrument Identifiers For illustrative purposes only. Not all classification codes shown. Lattice Of Mappings Subsidiary Tree
  • 6.
    6 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Data Challenge: Mapping Entity Identifiers Entity ID Type Value S&P RatingsXpress Entity ID 336214 Moody's Issuer Number 600050279 Fitch Issuer ID 80089821 Markit Red Code 7FC86R CMA Entity ID 2797 S&P Compustat GVKey 10121 LEI – GMEI 4K8SLPBF5DXXGPW03H93 D&B DUNS 160002218 Leighton Holdings Ltd. Entity ID Type Value S&P RatingsXpress Entity ID 127018 Moody's Issuer Number 39700 Markit Red Code QVA6A9 S&P Compustat GVKey 101603 D&B DUNS 750855918 SLM Corp. For illustrative purposes only. Not all codes are shown Source: S&P Capital IQ Enterprise data
  • 7.
    7 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Organizational Hierarchy Leighton Holdings (ASX:LEI) • Leighton Holdings (ASX:LEI) is majority owned (58.7% ) by HOCHTIEF Australia Holdings Ltd. which is Private • HOCHTIEF Australia in turn is 100% owned by German parent Hochtief AG (DB:HOT) • Hochtief AG in turn is majority owned (50.35%) by Spanish firm Actividades de Construcción y Servicios, S.A. (CATS:ASX) • Besides global parents, Leighton Holdings Ltd. has 112 subsidiaries in Asia/ Pacific and 2 in the Middle-East 1 2 3 Truncated list of subsidiaries 3 2 1 Source: S&P Capital IQ Enterprise data
  • 8.
    8 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Data Challenge: Mapping Industry Identifiers Type Industry Code Description GICS 40202010 Consumer Finance SIC 6111 Federal & Fed.-Sponsored Credit NAICS 522294 Secondary Market Financing ICB 8773 Consumer Finance Type Industry Code Description GICS 20103010 Construction & Engineering SIC 1081 Metal Mining Services NAICS 213114 Support Activities for Metal Mining ANZSIC 310 Heavy and Civil Engineering Construction ICB 2357 Heavy Construction Leighton Holdings Ltd. SLM Corporation For illustrative purposes only. Not all codes are shown Source: S&P Capital IQ Enterprise data
  • 9.
    9 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Data Challenge: Instrument Mapping ISIN: AU000000LEI5 ISO NNA Vendor IDENTIFIER AT 856187 B2 BBG001S5ZN24 BE 8592378 CH 641370 DE 856187 FR 955040 GB 6511227 ISIN AU000000LEI5 US Q55190104 XS 11490034 MARKET SEDOL MUN 5412031 PIN B02P228 ASX 6511227 Exchange Alpha Code MIC Exchange Name Symbol ASX XASX Australian Stock Exchange LEI BEB XBER Berlin-Bremen LTH BWB XSTU Baden-Wurttembergische Wertpapierborse, Stuttgart LTH FRA XFRA Frankfurter Wertpapierborse LTH MUC XMUN Bayerische Borse in Munchen LTH OTN XOTC Other OTC Market, Washington LGTHF TGT TGAT Tradegate AG, Wertpapierhandelsbank LTH ETR XETRA, Frankfurt LTH • A single instrument can have multiple IDs from vendors, numbering agencies and exchanges • Issuing Company: Leighton Holdings (ASX:LEI) • Issue Classification(ISO CFI): ESXUFR NNA: National Numbering Agency. CFI: Classification of Financial Instruments per ISO 10962. MIC: Market Identifier Codes per ISO 10383.
  • 10.
    10 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Market Based Credit Indicators SLM Corporation CDS Market Signal • S&P Ratings put SLM Corp on BBB- WatchNeg on 5/29/2013 • SLM Corp. was downgraded by S&P Ratings to ‘BB’ on 4/30/2014 • CDS based Market Signal deemed SLM Corporation as below investment grade prior to downgrade Source: S&P Capital IQ. For illustrative purposes only.
  • 11.
    11 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Market Based Credit Indicators The Interpublic Group Of Companies • Regulations have removed reliance on Ratings for determination of Investment-Grade • S&P Ratings (‘BB+’ ) puts Interpublic in High-Yield Zone • CDS and PD based Market Signals deem Interpublic as Investment-Grade Source: S&P Capital IQ. For illustrative purposes only.
  • 12.
    12 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Market Activity Score Issuer: SLM Corp (now Navient) Different Market Activity For Two Bonds From Same Issuer CUSIP Description Market Activity Score (MAS) * MAS Date Terms & Conditions 78442FEK0 US$2 bil 6.25% med- term notes ser A due 01/25/2016 1 5/2/2014 Issued: 1/14/2011 Optional Put in Event of Change in Rating or Poison Put 05/12/2014 @101. Make whole call at any time at the greater of Par or PV of Interest and Principal Discounted by Treasury Rate + 50 bps 78490GAU1 US$1.396 mil 5.65% Ed nts due 06/15/2022 5 5/2/2014 Issued: 3/22/2007 Par Call: 06/05/2014 @100 * For corporate and government bonds, S&P Capital IQ Market Activity Scores are based on trades from FINRA’s Trade Reporting and Compliance Engine® (TRACE®) and Xtrakter, and quotes from Xtrakter Quotes, S&P Capital IQ Quote, Tullet Prebon Government Bonds, and JSDA (Japan Securities Dealers Association) where relevant. • No. of Trades in Last 30 days (FINRA/TRACE) • Bus. days since last Trade (FINRA/TRACE) • Bus. days since last Quote (Xtrakter) • Bus. days since last Trade (Xtrakter) Market Activity Score – Factors and Sources • No. of Market Makers (Xtrakter) • Bus. Days since last quote (S&P Capital IQ) • No. of Dealers (S&P Capital IQ)
  • 13.
    13 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Country Country Risk S&P Rating S&P Rating Outlook CDS-Implied Market Signal China bb+ AA- Stable a- Kuwait bbb AA Stable Russia bb- BBB+ Stable bbb- Chile a- AA+ Stable a- Philippines b+ BBB- Stable bbb+ Kazhakstan bb BBB+ Stable Qatar a AA Stable aa- Saudi Arabia a- AA- Positive aa- India bb- BBB- Negative bb+ Sovereign Risk Country Country Risk S&P Rating S&P Rating Outlook CDS-Implied Market Signal Cyprus a+ B- Stable b Portugal aa- BB Negative bb+ Iceland aa BBB- Stable bb+ Ireland aaa BBB+ Positive a- Spain aa- BBB- Stable bbb Greece bb+ B- Stable b United Kingdom aaa AAA Negative aaa Sovereign Risk Country Risk Country Risk Distinct From Sovereign Risk Source: S&P Capital IQ. Lowercase nomenclature is used to differentiate these scores from actual Standard & Poor’s Rating Services credit ratings, these scores differ significantly from Standard & Poor’s rating criteria. For illustrative purposes only. Country Risk Lower than Sovereign Risk Country Risk Higher than Sovereign Risk As of February 27, 2014. Samples for illustration only. Not complete list of countries
  • 14.
    14 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Addendum
  • 15.
    15 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Probability of Default (PD) Alternate measures of Credit Risk – Market signal based https://www.capitaliq.com/CIQDotNet/help/chp/PD_Model_Market_Signals.pdf Entity Name Rating when put on Watch Credit Watch CreditWatch Date Eventual Rating Eventual Rating Action Date PD (%) 7 weeks prior to WatchNeg PD (%) 1 day prior to WatchNeg PD Increase (%) GICS4 Country DBA Telecommunication (Asia) Holdings Ltd. BB- NEG 06/21/2013 B 08/07/2013 0.009 0.854 9,266 4520 CYM Dun & Bradstreet Corp. (The) A- NEG 05/23/2012 BBB+ 07/13/2012 0.011 0.864 7,436 2020 USA Exide Technologies CCC+ NEG 05/03/2013 D 06/11/2013 0.480 9.948 1,973 2510 USA Qantas Airways Ltd. BBB NEG 06/07/2012 BBB- 09/07/2012 0.669 7.551 1,028 2030 AUS Navistar International Corp. B+ NEG 06/07/2012 B 07/09/2012 0.489 5.332 991 2010 USA Valeant Pharmaceuticals International Inc. BB NEG 05/28/2013 BB- 06/19/2013 0.005 0.049 933 3520 CAN Asahi Glass Co. Ltd. A NEG 07/18/2012 A- 08/09/2012 0.408 3.549 769 2010 JPN PT Bakrie Sumatera Plantations Tbk. CC NEG 06/27/2012 CCC- 07/18/2012 2.396 17.949 649 3020 IDN James River Coal Co. B NEG 02/29/2012 B- 03/22/2012 4.299 24.488 470 1010 USA Hidili Industry International Development Ltd. B+ NEG 06/26/2012 B 09/11/2012 1.714 9.444 451 1010 CYM Lonking Holdings Ltd. BB NEG 06/05/2012 BB- 07/04/2012 0.998 5.030 404 2010 CYM Entity Name Rating when put on Watch Credit Watch CreditWatch Date Eventual Rating Eventual Rating Action Date PD (%) 7 weeks prior to WatchNeg PD (%) 1 day prior to WatchNeg PD Increase (%) GICS4 Country Hovnanian Enterprises Inc. CCC- POS 09/19/2012 CCC+ 11/05/2012 3.112 0.179 -94 2520 USA T-Mobile US Inc. B+ POS 10/03/2012 BB 05/01/2013 3.952 0.236 -94 5010 USA Nexstar Broadcasting Group Inc. B POS 10/05/2012 B+ 10/24/2012 1.604 0.158 -90 2540 USA Axiall Corp. BB- POS 04/25/2012 BB 01/15/2013 2.373 0.248 -90 1510 USA RONA Inc. BBB- POS 07/31/2012 BB+ 04/12/2013 0.931 0.123 -87 2550 CAN Pentair Inc. BBB- POS 03/28/2012 BBB 09/28/2012 0.085 0.016 -81 2010 USA Reliance Steel & Aluminum Co. BBB- POS 04/17/2012 BBB 07/31/2012 0.103 0.046 -55 1510 USA Kodiak Oil & Gas B POS 06/05/2013 B+ 07/19/2013 0.719 0.371 -48 1010 USA
  • 16.
    16 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Surveillance Early Warning From Standard & Poor’s Ratings Services MDS Source: S&P Capital IQ. Lowercase nomenclature is used to differentiate these scores from actual Standard & Poor’s Rating Services credit ratings, these cores differ significantly from Standard & Poor’s rating criteria. For illustrative purposes only. Norske Skogindustrier ASA Market Derived Signal (CDS signal mapped to Standard & Poor’s Ratings Services ratings scale) • The Market Derived Signals were below Standard & Poor’ Rating, suggesting the market’s view of a possible downgrade • Nov. 21st, 2012 and Aug. 2nd, 2013 ratings downgrades
  • 17.
    17 Permission toreprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public. Sovereign Risk • Slovenia’s CDS-Implied score was below S&P Ratings level, which was on Outlook Negative, before series of downgrades Sovereign Ratings And CDS Spread Source: S&P Capital IQ. Lowercase nomenclature is used to differentiate these scores from actual Standard & Poor’s Rating Services credit ratings, these cores differ significantly from Standard & Poor’s rating criteria. For illustrative purposes only.
  • 18.
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