Aggregated credit rating
How TrackRecords builds a single rating from several agencies on the national and international scales
Principles
For each rated object (issue or issuer) TrackRecords picks the highest available rating among the agencies in the selected scale.
- Issue and issuer ratings are calculated separately.
- If an issue rating exists, it overrides the issuer rating in the aggregated result.
International scale
Used for foreign issuers and issues.
| No. | Aggregated rating | Fitch | Moody’s | S&P |
|---|---|---|---|---|
| 22 | AAA | AAA | Aaa, Aaa1 | AAA |
| 23 | AA+ | AA+ | Aa1 | AA+ |
| 24 | AA | AA | Aa2 | AA |
| 25 | AA- | AA- | Aa3 | AA- |
| 26 | A+ | A+ | A1 | A+ |
| 27 | A | A | A2 | A |
| 28 | A- | A- | A3 | A- |
| 29 | BBB+ | BBB+ | Baa1 | BBB+ |
| 30 | BBB | BBB | Baa2 | BBB |
| 31 | BBB- | BBB- | Baa3 | BBB- |
| 32 | BB+ | BB+ | Ba1 | BB+ |
| 33 | BB | BB | Ba2 | BB |
| 34 | BB- | BB- | Ba3 | BB- |
| 35 | B+ | B+ | B1 | B+ |
| 36 | B | B | B2 | B |
| 37 | B- | B- | B3 | B- |
| 38 | CCC | CCC± | Caa1–Caa3 | CCC± |
| 39 | CC | CC± | Ca1–Ca3 | CC± |
| 40 | C | C± | C, C1–C3, Ca | C± |
| 41 | D | D | D | D |
| 42 | NR | NR, Withdrawn | NR, Withdrawn | NR, Withdrawn |
National scale (RU)
When the book uses the Russian national scale, four agencies are mapped:
- ACRA
- Expert RA
- NCR (banks and non-financial companies)
- NRA (banks)
| No. | Aggregated rating | ACRA | Expert RA | NCR | NRA |
|---|---|---|---|---|---|
| 1 | AAA(ru) | AAA(RU), AAA(ru.sf) | ruAAA, ruAAA.sf | AAA.ru | AAA|ru| |
| 2 | AA+(ru) | AA+(RU), AA+(ru.sf) | ruAA+, ruAA+.sf | AA+.ru | AA+|ru| |
| 3 | AA(ru) | AA(RU), AA(ru.sf) | ruAA, ruAA.sf | AA.ru | AA|ru| |
| 4 | AA-(ru) | AA-(RU), AA-(ru.sf) | ruAA-, ruAA-.sf | AA-.ru | AA-|ru| |
| 5 | A+(ru) | A+(RU), A+(ru.sf) | ruA+, ruA+.sf | A+.ru | A+|ru| |
| 6 | A(ru) | A(RU), A(ru.sf) | ruA, ruA.sf | A.ru | A|ru| |
| 7 | A-(ru) | A-(RU), A-(ru.sf) | ruA-, ruA-.sf | A-.ru | A-|ru| |
| 8 | BBB+(ru) | BBB+(RU), BBB+(ru.sf) | ruBBB+, ruBBB+.sf | BBB+.ru | BBB+|ru| |
| 9 | BBB(ru) | BBB(RU), BBB(ru.sf) | ruBBB, ruBBB.sf | BBB.ru | BBB|ru| |
| 10 | BBB-(ru) | BBB-(RU), BBB-(ru.sf) | ruBBB-, ruBBB-.sf | BBB-.ru | BBB-|ru| |
| 11 | BB+(ru) | BB+(RU), BB+(ru.sf) | ruBB+, ruBB+.sf | BB+.ru | BB+|ru| |
| 12 | BB(ru) | BB(RU), BB(ru.sf) | ruBB, ruBB.sf | BB.ru | BB|ru| |
| 13 | BB-(ru) | BB-(RU), BB-(ru.sf) | ruBB-, ruBB-.sf | BB-.ru | BB-|ru| |
| 14 | B+(ru) | B+(RU), B+(ru.sf) | ruB+, ruB+.sf | B+.ru | B+|ru| |
| 15 | B(ru) | B(RU), B(ru.sf) | ruB, ruB.sf | B.ru | B|ru| |
| 16 | B-(ru) | B-(RU), B-(ru.sf) | ruB-, ruB-.sf | B-.ru | B-|ru| |
| 17 | CCC(ru) | CCC, CCC±(RU/ru.sf) | ruCCC, ruCCC±.sf | CCC.ru | CCC|ru| |
| 18 | CC(ru) | CC, CC±(RU/ru.sf) | ruCC, ruCC±.sf | CC.ru | CC|ru| |
| 19 | C(ru) | C, C±(RU/ru.sf) | ruC, ruC±.sf | C.ru | C|ru| |
| 20 | D(ru) | D(RU), D(ru.sf) | ruD, ruD.sf | D | RD|ru|, SD|ru|, D|ru| |
Default probabilities
These PD values are used in credit-risk and scenario calculations.
| Rating | PD | Rating | PD |
|---|---|---|---|
| AAA(ru) | 0.25% | AAA | 0.01% |
| AA+(ru) | 0.50% | AA+ | 0.02% |
| AA(ru) | 0.50% | AA | 0.03% |
| AA-(ru) | 0.70% | AA- | 0.04% |
| A+(ru) | 0.70% | A+ | 0.05% |
| A(ru) | 1.30% | A | 0.06% |
| A-(ru) | 1.30% | A- | 0.07% |
| BBB+(ru) | 2.10% | BBB+ | 0.12% |
| BBB(ru) | 2.10% | BBB | 0.17% |
| BBB-(ru) | 3.50% | BBB- | 0.25% |
| BB+(ru) | 3.50% | BB+ | 0.50% |
| BB(ru) | 5% | BB | 0.70% |
| BB-(ru) | 8% | BB- | 1.30% |
| B+(ru) | 8% | B+ | 2.10% |
| B(ru) | 15% | B | 3.50% |
| B-(ru) | 24% | B- | 5.00% |
| CCC(ru) | 35% | CCC | 1.30% |
| CC(ru) | 50% | CC | 1.30% |
| C(ru) | 50% | C | 1.30% |
| D(ru) | 100% | D | 1.30% |
| NR | 19% |