Credit Ratings

From the Calypso Navigator, navigate to Market Data > Credit Curves > Credit Ratings (menu action refdata.CreditRatingWindow).

The Credit Rating window allows setting credit ratings for legal entities in their various roles.

You can use a credit rating to specify a fallback curve for legal / reference entities that do not have liquid CDS trades.

See Probability Curve for more details.

 

1. Displaying Existing Credit Ratings

Enter search criteria and click Show to display existing credit ratings.

» You can display credit ratings for ALL legal entities if you leave the Legal Entity field empty.
» The industry corresponds to the legal entity attribute INDUSTRY. You can define a list of industries in the domain 'leAttributeType.INDUSTRY'. Note that attributes and domain values are case sensitive.

» The field adjacent to the Show button allows you to select:
– Latest: Displays the latest credit ratings for your selection criteria. For example, if two ratings have been defined during the selected period, for the same criteria, it will only show the most recent one.
– History: Displays all ratings that satisfy the selection criteria.
– Ratings created for this day: Displays ratings defined on the To Date only.

 

2. Adding a New Credit Rating

Select a legal entity, and click Add to add a credit rating.

It brings up the New Credit Rating window.

» Select the fields described below, then click Save.
» Note that if the Authorization mode is enabled, an authorized user must approve your entry. Click Show Pending Modifications in the Credit Rating window to display any pending credit ratings for the selected legal entity.

 

Fields Details

Field Description

Legal Entity

Click ... to select a legal entity. By default, you can select issuers but you can change the role as needed.

Seniority

Select a seniority level, or ANY.

Role

Select the role for this rating. The available roles are those specified in the Legal Entity window. A legal entity may have multiple and different credit ratings for different roles. For example, the same legal entity could have different credit ratings as a CounterParty, as an Issuer, and as a Guarantor.

Agency

Select a rating agency. Rating agencies are defined in the 'ratingAgency' domain.

Rating Type

Select the type of rating: Current or Outlook. Rating types are defined in the 'creditRatingType' domain.

Date

Enter the rating effective date.

Value

Select a rating value. Rating values are defined using Configuration > System > Rating Values per rating agency and rating type.

» Select a node Agency / Type from the Ratings tree. It will appear on the right-hand side. Enter a value and click Add.

 

3. Modifying a Credit Rating

Load existing credit ratings and double-click a rating to modify it. It brings up the Edit Credit Rating window.

» Modify the value and click Save.
» Note that if the Authorization mode is enabled, an authorized user must approve your entry. Click Show Pending Modifications in the Credit Rating window to display any pending credit ratings for the selected legal entity.

 

4. Credit Rating Report

From the Calypso Navigator, create a menu item for (menu action reporting.ReportWindow$CreditRating) or the scheduled task CREDIT_RATING_REPORT to run the report.

The Credit Rating report allows viewing credit ratings for legal entities in their various roles from all rating agencies.

Credit ratings can be entered from the Legal Entity window.

 

Enter search criteria and click to display existing credit ratings. The search criteria are described below.

 

 

Criteria Details

Field Description

Legal Entity

Select a legal entity, or leave empty for all.

Report Choice

Select Latest, History and Ratings created for this date.
Seniority

Select Seniority as needed. The Seniority values are defined under domain 'securityCode.DebtSeniority'.

Rating

Select ANY, BBB+, AAA to sort rating criteria.

Role

Select ALL, Agent, Counterparty and Issuer.

Rating Type

Select the Rating Type as needed. The Rating Type values are defined under domain 'creditRatingType'.

Agency

Select the rating agency as needed. The values are defined under domain 'ratingAgency'.

From Date

Enter the rating start date. This field is available for Report Choice 'Latest and History'.

To Date

Enter the rating end date. This field is available for Report Choice 'Latest and History'.

Date

Enter the rating effective date as needed. This field is available only when Report Choice is 'Ratings created for this date.