Introducing CRI: Credit Benchmark's Credit Risk Index Signals Where Lenders See Risk
10 years of contributor insight reveal default rate shifts for US Private corporates and financials
Banks, financial institutions, and investors struggle with limited credit risk visibility for private, unrated, loan-financed borrowers. Unlike public bond issuers, these firms operate outside rating agency coverage and lack market price transparency. They need trustworthy, timely, and distinctive inputs based on actual lending decisions for early-warning models and credit dashboards – and to make better capital allocation and support lending decisions.
Credit Benchmark's new flagship index - the Credit Risk Index (CRI) – built on a decade of data collection, directly addresses this gap. Credit Benchmark’s dataset reflects the credit judgments of 20,000 analysts across leading global banks. Our flagship CRI reflects views on more than $750B in wholesale loans - making it one of the most representative and reliable views of credit risk, with every contributor deeply invested in getting it right.
This CRI provides a distinctive, lender-focused credit risk signal that differs from the current spread-based view in several ways:
- Definition: The CRI is built from ~3,000 US private corporates and financials using bank ratings, not investor-driven spreads.
- Forward looking: the CRI is correlated with annual changes in the % in the c-category, which is the source of most defaults.
- Correlated with annual S&P default rates: monthly CRI changes show likely default rate outcome
- Behavior: We compare CRI movements with market spreads and explain their divergence outside crisis periods.
- Validation: Aligns with external research (e.g. Moody's EDF-X) on structural risk gaps between bond issuers and smaller, privately financed firms.
We will publish the CRI at the start of every month. Monitoring it alongside traditional market measures will give investors, lenders, and regulators a fuller, earlier view of emerging credit stress among US private corporates and financials.
What is CRI?
The Credit Risk Index (CRI) is Credit Benchmark's monthly snapshot of lender sentiment toward US private corporates and financials. Expressed as a percentage of the index universe, it answers a single question: are downgrades outweighing upgrades, or vice versa? A positive CRI % signals net downgrades (rising risk); a negative CRI % signals net upgrades (improving quality).
- Universe: ~3,000 privately held US corporates and financials with Credit Consensus Ratings (CCR).
- Source data: Internal credit views from a global network of contributor banks aggregated into a single CCR per company.
- Monthly calculation: CRI = (Downgrades - Upgrades) / Total Entities
Because it is based on actual rating actions - not traded prices - the CRI captures credit dynamics among borrowers that rarely appear in public-market indices, making it a valuable complement to spread- and equity-based signals.
Understanding the CRI Universe
To better understand the underlying data and universe of the Credit Risk Index, it's important to examine the industry composition of the companies included in the CRI. The index covers approximately 3,000 privately held US companies across various sectors, providing a comprehensive view of credit risk across the private corporate and financial landscape.
The data comes from Credit Consensus Ratings (CCR), which aggregates internal credit views from a global panel of contributor banks. These banks provide their internal credit assessments, which are then aggregated into a single consensus rating per company. This approach ensures that the CRI reflects actual lender sentiment rather than market-based indicators.
The CRI universe is constructed using the following three filters:
- United States: Companies with primary operations in the United States.
- Private: Neither the company nor its parent are publicly held companies.
- Entity Type: Companies must be classified as either Corporate or Financial entity types.
The chart above shows the industry breakdown of the CRI universe, revealing the diverse sector representation including financials that makes the index a robust measure of broader credit conditions. This composition helps explain why the CRI can capture credit dynamics that may not be reflected in public market indices focused on bond issuers.
CRI in Action: June 2024 Example
To illustrate how the CRI works in practice, let's examine June 2024 and break the reading into that month’s upgrades and downgrades across our rated universe. We'll examine a few underlying entities to show how bank rating changes are rolled up into the index.
How the Process Works:
Examples of companies experiencing rating changes in June 2024:
- KOHLER CO (Construction & Materials): Upgraded from BBB to BBB+ due to positive opinion change, contributing to the upgrade count
- MAYO CLINIC (Healthcare): Upgraded from A to A+ reflecting improved credit quality, contributing to the upgrade count
- YANKEES ENTERTAINMENT & SPORTS NETWORK LLC (Media): Downgraded from crossover high yield to deep high yield, contributing to the downgrade count
Evaluating the CRI over Time
How to interpret the CRI?
This chart shows the Credit Risk Index (CRI). It's a measure of corporate credit health.
Red bars above the line mean more companies are being downgraded, signaling rising risk. Green bars below the line mean more are being upgraded, signaling improving conditions.
Pre-COVID: A Stable Period
From 2015 to early 2020, the Credit Risk Index (CRI) for US private corporates and financials fluctuated near zero. This indicated a balanced credit environment where rating downgrades and upgrades were roughly equal, reflecting a period of broader economic stability – consistent with widely held views.
The COVID-19 Shock
The arrival of the pandemic in March 2020 triggered a dramatic spike in the CRI. The sharp move into positive territory represented a wave of credit rating downgrades as companies faced unprecedented operational and financial stress, signaling a rapid increase in perceived default risk across the market.
The Recovery
Beginning in early 2021, the CRI turned negative, indicating that for the first time since the pandemic began, credit upgrades were outpacing downgrades. This period marked a significant recovery phase, fueled by economic reopening and supportive fiscal and monetary policies that improved corporate credit quality.
2022-24: Rising Risk Signals
From mid-2022 through 2024, the CRI returned positive. This shift suggested that credit quality concerns were re-emerging, even as other economic indicators pointed to stability. This period of divergence between bank risk assessments and market indicators highlighted underlying pressures in the private corporate and financial sector.
2025: Are Banks Seeing Through the Noise?
Despite heightened economic uncertainty and turbulent headlines in 2025, bank rating actions have shown remarkable stability. The CRI has maintained a steady pattern, suggesting that banks are not adjusting their credit assessments in response to market volatility. This stability in bank ratings provides a contrasting view to headline risks, indicating that fundamental credit quality remains resilient in the face of broader economic concerns.
How to interpret the CRI?
This chart shows the Credit Risk Index (CRI). It's a measure of corporate credit health.
Red bars above the line mean more companies are being downgraded, signaling rising risk. Green bars below the line mean more are being upgraded, signaling improving conditions.
Pre-COVID: A Stable Period
From 2015 to early 2020, the Credit Risk Index (CRI) for US private corporates and financials fluctuated near zero. This indicated a balanced credit environment where rating downgrades and upgrades were roughly equal, reflecting a period of broader economic stability – consistent with widely held views.
The COVID-19 Shock
The arrival of the pandemic in March 2020 triggered a dramatic spike in the CRI. The sharp move into positive territory represented a wave of credit rating downgrades as companies faced unprecedented operational and financial stress, signaling a rapid increase in perceived default risk across the market.
The Recovery
Beginning in early 2021, the CRI turned negative, indicating that for the first time since the pandemic began, credit upgrades were outpacing downgrades. This period marked a significant recovery phase, fueled by economic reopening and supportive fiscal and monetary policies that improved corporate credit quality.
2022-24: Rising Risk Signals
From mid-2022 through 2024, the CRI returned positive. This shift suggested that credit quality concerns were re-emerging, even as other economic indicators pointed to stability. This period of divergence between bank risk assessments and market indicators highlighted underlying pressures in the private corporate and financial sector.
2025: Are Banks Seeing Through the Noise?
Despite heightened economic uncertainty and turbulent headlines in 2025, bank rating actions have shown remarkable stability. The CRI has maintained a steady pattern, suggesting that banks are not adjusting their credit assessments in response to market volatility. This stability in bank ratings provides a contrasting view to headline risks, indicating that fundamental credit quality remains resilient in the face of broader economic concerns.
CRI correlated with S&P Default Rates
Comparing the 12-month average CRI against the annual S&P default rate reveals a strong positive correlation, suggesting the CRI is a robust leading indicator for defaults.
As a preliminary test to understand the usefulness of the CRI, we measured the annual CRIs against the published S&P observed Default Rates. The time series chart on the left illustrates how the S&P default rate (in purple) often follows the movements in the monthly CRI. The scatter plot on the right makes this relationship even clearer, showing a strong positive correlation between the two metrics with an R² = 0.00. This suggests that the CRI is not only a concurrent indicator but a powerful predictor of broader corporate defaults.
Source: S&P Global Ratings, 2024 Annual Global Corporate Default And Rating Transition Study.
Key Findings:
- We calculate the average CRI for each calendar year to match S&P's annual default rate reporting
- S&P publishes default rates with a 1-year lag (2024 default rates published in 2025)
- Our CRI data is available monthly, providing more frequent updates than annual default statistics
- The strong correlation (R² = 0.00) suggests the CRI is a reliable leading indicator for corporate defaults:
- Based on current CRI trends and historical correlation, 2025 appears on track for a lower observed, S&P Default Rate than 2024
While the CRI has a strong relationship with the observed S&P Default Rates (albeit, over a limited time span), the next question we had was whether the CRI contained any "new" information?
CRI v. ICE BofA US High Yield Index Option-Adjusted Spread
Testing whether the CRI contains unique information about credit risk.
One widely followed credit indicator is the ICE BofA US High Yield Index Option-Adjusted Spread (BAMLH0A0HYM2) - the yield difference between high-yield corporate bonds and Treasury securities. This spread serves as a key measure of credit risk perception in the high-yield corporate bond market. High spreads indicate the market is pricing in more credit stress, higher risk of defaults, and tighter funding conditions for lower-rated borrowers. Leading insight into this movement can be powerful.
Constituents are U.S-dollar, fixed-rate corporate bonds rated below investment-grade (BB+ or lower) from highly-leveraged issuers across sectors -including auto finance, telecom/cable, energy exploration, and retail - so long as each bond has at least $100 million of notional outstanding and more than one year to maturity.
CRI v. US High Yield Spread
Visual Correlation
When plotting the CRI alongside the US High Yield Spread, they visually appear to correlate together. Both indicators tend to move in similar directions during periods of economic stress and recovery, suggesting they may be capturing related aspects of credit market sentiment.
The COVID Distortion
To examine the relationship more directly, we can use a scatter plot. This view plots each month as a single point, with the CRI on the x-axis and the High Yield Spread on the y-axis. This helps reveal the underlying correlation, free from the distortions of a dual-axis time series.
The relationship appears to be heavily influenced by a handful of data points from the COVID-19 shock.
These outliers are now highlighted in red, while all non-COVID data points are highlighted in purple.
A Weaker Relationship
If we were to re-estimate the best fit line after excluding the COVID-era outliers, the best-fit line flattens significantly.
The R-squared drops from 0.00 to 0.00, confirming the pandemic data points inflated the correlation.
During the pre and post-pandemic periods, there appears to be little to no relationship between the CRI and the US High Yield Spread.
Divergence between CRI and HY Bond Markets
We initially wondered whether the CRI provided a unique credit lens, not captured by market indices. The weak correlation with the US High Yield Spread outside of crisis periods suggests there may be information in the CRI; credit dynamics that market-based indicators may not reflect.
Consider the most recent period—the extended stretch of positive CRIs since mid-2022.
There are two key reasons for this lack of correlation, both highlighting the unique value of each indicator:
Different Universe: The CRI tracks ~3,000 private companies, while the HY Spread reflects public bond issuers with $100+ million outstanding. This creates a divergence between the credit risk of companies with access to the HY bond market and those who do not—a split between the "haves" and the "have-nots."
Different Data Type: The CRI captures actual lender credit decisions and rating actions, while the HY Spread reflects investor sentiment and market pricing. Both provide valuable but distinct perspectives on credit risk.
Visual Correlation
When plotting the CRI alongside the US High Yield Spread, they visually appear to correlate together. Both indicators tend to move in similar directions during periods of economic stress and recovery, suggesting they may be capturing related aspects of credit market sentiment.
The COVID Distortion
To examine the relationship more directly, we can use a scatter plot. This view plots each month as a single point, with the CRI on the x-axis and the High Yield Spread on the y-axis. This helps reveal the underlying correlation, free from the distortions of a dual-axis time series.
The relationship appears to be heavily influenced by a handful of data points from the COVID-19 shock.
These outliers are now highlighted in red, while all non-COVID data points are highlighted in purple.
A Weaker Relationship
If we were to re-estimate the best fit line after excluding the COVID-era outliers, the best-fit line flattens significantly.
The R-squared drops from 0.00 to 0.00, confirming the pandemic data points inflated the correlation.
During the pre and post-pandemic periods, there appears to be little to no relationship between the CRI and the US High Yield Spread.
Divergence between CRI and HY Bond Markets
We initially wondered whether the CRI provided a unique credit lens, not captured by market indices. The weak correlation with the US High Yield Spread outside of crisis periods suggests there may be information in the CRI; credit dynamics that market-based indicators may not reflect.
Consider the most recent period—the extended stretch of positive CRIs since mid-2022.
There are two key reasons for this lack of correlation, both highlighting the unique value of each indicator:
Different Universe: The CRI tracks ~3,000 private companies, while the HY Spread reflects public bond issuers with $100+ million outstanding. This creates a divergence between the credit risk of companies with access to the HY bond market and those who do not—a split between the "haves" and the "have-nots."
Different Data Type: The CRI captures actual lender credit decisions and rating actions, while the HY Spread reflects investor sentiment and market pricing. Both provide valuable but distinct perspectives on credit risk.
Moody's EDF-X: A Corroborating View
External validation from Moody's research.
Our analysis revealed a surprising disconnect between HY bond issuers and HY loan-financed companies. But we weren't alone in this observation. Moody's has observed similar patterns using their EDF-X platform, which tracks expected default frequencies across a broader universe of companies:
While their universe is different than the CRI—they track 5,500 public companies versus the CRI's focus on US private corporates and financials—the takeaway is consistent:
The credit risk for high-yield corporate bond issuers is not representative of the credit risk of private companies.
The historically large 5.9 percentage-point gap in the average expected risk of default between all listed US companies (9.2%) and high-yield companies (3.3%) is a reflection of how company size, sensitivity to interest rates, and access to capital have affected credit risk.
High-yield companies financed predominantly by bonds — although often highly levered and with sub-investment grade ratings — have been relatively less affected by higher interest rates. The median sized high-yield bond issuer is 12 times larger (in terms of assets) than the median US public company, and has access to larger, liquid pools of capital compared to medium-sized, loan-financed companies. Importantly, many bond issuers proactively refinanced their liabilities at lower, fixed rates after the pandemic.
Relatively smaller, loan-financed companies are somewhat more capital constrained, and pay floating rates on their debt.
Source: Moody's
Conclusion — Getting the CRI in Your Workflow
In this paper, we've introduced the Credit Risk Index (CRI) and demonstrated its value as a unique lens on credit risk. We showed the industry composition of the CRI, covering approximately 3,000 privately held US companies across diverse sectors including financials, providing comprehensive coverage of the private corporate and financial landscape.
We examined the CRI's movement through time, revealing how it captured major economic shifts from pre-COVID stability to pandemic stress and subsequent recovery. The CRI shows a strong positive correlation with S&P default rates, suggesting it's a reliable leading indicator for broader corporate defaults.
Outside of crisis periods, the CRI shows little correlation with public high-yield bond spreads, indicating it captures credit dynamics not reflected in market-based indicators. Moody's EDF-X research corroborates our findings, showing similar patterns of divergence between bond issuers and smaller, loan-financed companies including financials.
These insights demonstrate that the CRI provides unique information about credit risk among private companies—a segment that traditional market indicators often miss.
Getting the CRI in Your Workflow
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The CRI chart and underlying time-series are refreshed at the start of each month.
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