Aggregated credit rating

TrackRecords turns ratings from several agencies into one aggregated rating per issue and per issuer. That value is used in portfolio analytics, limits, credit risk and reports, so the book is not split across incompatible agency scales.

The platform ships a default algorithm and lets you create your own aggregation algorithms.

Default algorithm

For each rated object (issue or issuer) TrackRecords maps agency ratings onto a common scale and then picks the highest available rating among the agencies included in the algorithm.

• Issue and issuer ratings are calculated separately.
• If an issue rating exists, it overrides the issuer rating in the aggregated result.
• Withdrawn and unrated observations are treated as NR.

International scale

The default mapping uses the main international agencies.

Custom aggregation algorithms

Teams often need a different rule than “take the highest rating”: a preferred agency, a conservative (lowest) pick, a subset of agencies, or a mapping onto an internal scale used in the investment policy.

In TrackRecords you can:

• create and maintain aggregation algorithms for issues and issuers separately
• choose which agencies enter the aggregation
• define how agency notches map onto the common scale
• choose how to pick among several ratings (for example highest, lowest, or a named agency)
• mark one algorithm as the default for the firm
• select the algorithm in reports, limits, credit-risk views and stress calculations

The default international mapping above is one such algorithm. Additional algorithms sit alongside it and do not overwrite historical results calculated under another rule.

Default probabilities

These PD values are used in credit-risk and scenario calculations when the book uses the default international scale.

A custom algorithm can carry its own PD mapping if the mandate requires it.