Bond Credit Re-Rating Framework
A post-event approach to corporate bond repricing.
What is this approach?
Corporate bonds often reprice slowly after balance-sheet repair. This framework focuses on post-event corporate bonds where credit risk has improved but prices have not yet adjusted, documenting the subsequent re-rating process rather than uncertain outcomes.
What the framework does:
Identifies corporate bonds exposed to delayed repricing following credit-positive events.
Assesses improvements in issuer liquidity and balance-sheet resilience.
Monitors the progressive alignment of bond pricing with relevant credit curves.
What the framework does not do:
It does not invest in distressed debt or pre-event situations.
It does not rely on default recovery scenarios.
It does not attempt to time credit cycles or market turning points
Relevance for credit allocation and risk control
The framework highlights situations where credit risk has already improved but bond prices lag the adjustment, supporting a more controlled assessment of corporate credit exposure.
Reduced event risk
By focusing only on completed balance-sheet actions, the approach avoids outcome-driven scenarios tied to negotiations, approvals, or rescues.
Capturing delayed repricing
Bond markets often adjust more slowly than equities or CDS after credit improvements, creating a phase where measured credit risk improves ahead of price realignment.
Diversifying, governance-ready returns
Outcomes are primarily linked to issuer-specific balance-sheet changes rather than broad market direction, with transparent and auditable entry and exit criteria suitable for portfolio governance.
