Bloomberg has made its Market-Implied Probability of Default (MIPD) product, a market-driven creditworthiness indicator, available to both Enterprise Data and Bloomberg Terminal clients globally. MIPD enables clients to incorporate creditworthiness metrics within existing workflows for a more holistic approach to credit risk management.
The product provides clients with a highly responsive, transparent, daily credit risk assessment that incorporates data from BVAL, Bloomberg’s evaluated pricing service, to proactively estimate fixed income market sentiment and quickly react to changing market and issuer-level conditions. It also helps anticipate credit deterioration, such as major rating downgrades and defaults ahead of traditional credit analysis, allowing clients to make risk and investment decisions confidently.
“Market participants are generally aware of potential credit issues ahead of official rating downgrades or defaults, and while credit default swap prices can serve as indicators, they are often limited with fewer issuers traded and reduced liquidity,” explains Brad Foster, global head of Enterprise Data Content at Bloomberg. “By quantifying market sentiment underpinned by BVAL’s rich data sets, MIPD provides a powerful early warning creditworthiness assessment for a wide range of issuers across the curve that can help investors navigate changing market conditions based on both issuer-specific news as well as market-wide events.”
MIPD includes implied probability of default for over 36,000 issuers and multiple sectors across the term structure from 1 to 20 years. It is available to Bloomberg Data License clients, as well as on the Bloomberg Terminal through a new dedicated screen, and via the Excel API.
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