{ "credit_ratings": { "S&P": { "AAA": { "credit_risk": 0.0001, "default_probability": 0.001, "description": "Highest credit quality, minimal risk of default" }, "AA+": { "credit_risk": 0.0002, "default_probability": 0.002, "description": "Very high credit quality, low risk of default" }, "AA": { "credit_risk": 0.0003, "default_probability": 0.003, "description": "High credit quality, low risk of default" }, "AA-": { "credit_risk": 0.0005, "default_probability": 0.005, "description": "High credit quality, slightly higher risk of default than AA" }, "A+": { "credit_risk": 0.0008, "default_probability": 0.008, "description": "Upper-medium credit quality, moderate risk of default" }, "A": { "credit_risk": 0.0012, "default_probability": 0.012, "description": "Medium credit quality, moderate risk of default" }, "A-": { "credit_risk": 0.0018, "default_probability": 0.018, "description": "Medium credit quality, slightly higher risk of default than A" }, "BBB+": { "credit_risk": 0.0027, "default_probability": 0.027, "description": "Lower-medium credit quality, elevated risk of default" }, "BBB": { "credit_risk": 0.0040, "default_probability": 0.040, "description": "Lower-medium credit quality, elevated risk of default" }, "BBB-": { "credit_risk": 0.0060, "default_probability": 0.060, "description": "Lower-medium credit quality, higher risk of default than BBB" }, "BB+": { "credit_risk": 0.0090, "default_probability": 0.090, "description": "Speculative credit quality, significant risk of default" }, "BB": { "credit_risk": 0.0130, "default_probability": 0.130, "description": "Speculative credit quality, significant risk of default" }, "BB-": { "credit_risk": 0.0190, "default_probability": 0.190, "description": "Speculative credit quality, higher risk of default than BB" }, "B+": { "credit_risk": 0.0270, "default_probability": 0.270, "description": "Highly speculative credit quality, high risk of default" }, "B": { "credit_risk": 0.0380, "default_probability": 0.380, "description": "Highly speculative credit quality, high risk of default" }, "B-": { "credit_risk": 0.0530, "default_probability": 0.530, "description": "Highly speculative credit quality, higher risk of default than B" }, "CCC+": { "credit_risk": 0.0750, "default_probability": 0.750, "description": "Substantial risk of default, may be in or near default" }, "CCC": { "credit_risk": 0.1000, "default_probability": 1.000, "description": "Substantial risk of default, may be in or near default" }, "CCC-": { "credit_risk": 0.1500, "default_probability": 1.500, "description": "Substantial risk of default, may be in or near default" }, "CC": { "credit_risk": 0.2000, "default_probability": 2.000, "description": "Very high risk of default, likely in or near default" }, "C": { "credit_risk": 0.3000, "default_probability": 3.000, "description": "Extremely high risk of default, likely in or near default" }, "D": { "credit_risk": 1.0000, "default_probability": 10.000, "description": "In default" } }, "Moody's": { "Aaa": { "credit_risk": 0.0001, "default_probability": 0.001, "description": "Highest credit quality, minimal risk of default" }, "Aa1": { "credit_risk": 0.0002, "default_probability": 0.002, "description": "Very high credit quality, low risk of default" }, "Aa2": { "credit_risk": 0.0003, "default_probability": 0.003, "description": "High credit quality, low risk of default" }, "Aa3": { "credit_risk": 0.0005, "default_probability": 0.005, "description": "High credit quality, slightly higher risk of default than Aa2" }, "A1": { "credit_risk": 0.0008, "default_probability": 0.008, "description": "Upper-medium credit quality, moderate risk of default" }, "A2": { "credit_risk": 0.0012, "default_probability": 0.012, "description": "Medium credit quality, moderate risk of default" }, "A3": { "credit_risk": 0.0018, "default_probability": 0.018, "description": "Medium credit quality, slightly higher risk of default than A2" }, "Baa1": { "credit_risk": 0.0027, "default_probability": 0.027, "description": "Lower-medium credit quality, elevated risk of default" }, "Baa2": { "credit_risk": 0.0040, "default_probability": 0.040, "description": "Lower-medium credit quality, elevated risk of default" }, "Baa3": { "credit_risk": 0.0060, "default_probability": 0.060, "description": "Lower-medium credit quality, higher risk of default than Baa2" }, "Ba1": { "credit_risk": 0.0090, "default_probability": 0.090, "description": "Speculative credit quality, significant risk of default" }, "Ba2": { "credit_risk": 0.0130, "default_probability": 0.130, "description": "Speculative credit quality, significant risk of default" }, "Ba3": { "credit_risk": 0.0190, "default_probability": 0.190, "description": "Speculative credit quality, higher risk of default than Ba2" }, "B1": { "credit_risk": 0.0270, "default_probability": 0.270, "description": "Highly speculative credit quality, high risk of default" }, "B2": { "credit_risk": 0.0380, "default_probability": 0.380, "description": "Highly speculative credit quality, high risk of default" }, "B3": { "credit_risk": 0.0530, "default_probability": 0.530, "description": "Highly speculative credit quality, higher risk of default than B2" }, "Caa1": { "credit_risk": 0.0750, "default_probability": 0.750, "description": "Substantial risk of default, may be in or near default" }, "Caa2": { "credit_risk": 0.1000, "default_probability": 1.000, "description": "Substantial risk of default, may be in or near default" }, "Caa3": { "credit_risk": 0.1500, "default_probability": 1.500, "description": "Substantial risk of default, may be in or near default" }, "Ca": { "credit_risk": 0.2000, "default_probability": 2.000, "description": "Very high risk of default, likely in or near default" }, "C": { "credit_risk": 0.3000, "default_probability": 3.000, "description": "Extremely high risk of default, likely in or near default" } } }, "SNC": { "Pass": { "repayment_capacity": { "cumulative_free_cash_flow_to_total_debt": ">50%", "description": "Strong projected repayment capacity over the loan term" }, "valuation": { "loan_to_value": "<70%", "description": "Conservative loan-to-value ratio, indicating sufficient collateral coverage" }, "liquidity": { "score": "Strong", "description": "More than covers a black swan shock with a 30% cushion to next 2-years costs" }, "solvency": { "debt_service_coverage_ratio": ">1.5x", "description": "Healthy debt service coverage, indicating strong ability to meet debt obligations" } }, "Special Mention": { "repayment_capacity": { "cumulative_free_cash_flow_to_total_debt": ">40%", "description": "Adequate projected repayment capacity, but potential concerns exist" }, "valuation": { "loan_to_value": "70-80%", "description": "Moderate loan-to-value ratio, potential for collateral shortfall" }, "liquidity": { "score": "Adequate", "description": "Covers shock and/or next 12-18 months fully burdened cash costs with a 20% cushion" }, "solvency": { "debt_service_coverage_ratio": "1.2x-1.5x", "description": "Adequate debt service coverage, but potential for deterioration" } }, "Substandard": { "repayment_capacity": { "cumulative_free_cash_flow_to_total_debt": ">30%", "description": "Weak projected repayment capacity, significant concerns exist" }, "valuation": { "loan_to_value": "80-90%", "description": "High loan-to-value ratio, significant risk of collateral shortfall" }, "liquidity": { "score": "Less than Adequate", "description": "Limited cushion to cover shock or fully burdened cash costs" }, "solvency": { "debt_service_coverage_ratio": "1.0x-1.2x", "description": "Weak debt service coverage, potential for default" } }, "Doubtful": { "repayment_capacity": { "waterfall_analysis": "Significant shortfall in projected repayment", "description": "Highly doubtful repayment capacity, significant risk of loss" }, "valuation": { "recovery_analysis": "Significant potential for loss given default", "description": "Collateral value insufficient to cover outstanding debt" }, "liquidity": { "score": "Less than Adequate", "description": "Limited cushion to cover shock or fully burdened cash costs" }, "solvency": { "debt_service_coverage_ratio": "<1.0x", "description": "Insufficient cash flow to cover debt obligations" } }, "Loss": { "repayment_capacity": { "waterfall_analysis": "Uncollectible", "description": "No reasonable expectation of repayment" }, "valuation": { "recovery_analysis": "Minimal or no recovery expected", "description": "Collateral value significantly below outstanding debt" }, "liquidity": { "score": "Less than Adequate", "description": "Limited cushion to cover shock or fully burdened cash costs" }, "solvency": { "debt_service_coverage_ratio": "<1.0x", "description": "Insufficient cash flow to cover debt obligations" } } }, "risk_score_mapping": { "very_low": { "score_range": [0, 0.2], "description": "Minimal risk, suitable for conservative investors" }, "low": { "score_range": [0.2, 0.4], "description": "Low risk, suitable for moderately conservative investors" }, "moderate": { "score_range": [0.4, 0.6], "description": "Moderate risk, suitable for balanced investors" }, "high": { "score_range": [0.6, 0.8], "description": "High risk, suitable for aggressive investors" }, "very_high": { "score_range": [0.8, 1.0], "description": "Very high risk, suitable for highly aggressive investors" } }, "cds_spreads_by_industry": { "Technology": { "1Y": 50, "3Y": 75, "5Y": 100 }, "Healthcare": { "1Y": 60, "3Y": 90, "5Y": 120 }, "Financials": { "1Y": 70, "3Y": 105, "5Y": 140 }, "Energy": { "1Y": 80, "3Y": 120, "5Y": 160 }, "Industrials": { "1Y": 55, "3Y": 85, "5Y": 110 }, "Consumer Staples": { "1Y": 45, "3Y": 70, "5Y": 95 }, "Consumer Discretionary": { "1Y": 65, "3Y": 95, "5Y": 125 }, "Materials": { "1Y": 75, "3Y": 110, "5Y": 150 }, "Real Estate": { "1Y": 90, "3Y": 130, "5Y": 170 }, "Utilities": { "1Y": 50, "3Y": 75, "5Y": 100 } }, "risk_free_rates": { "LIBOR": { "1M": 0.0531, "3M": 0.0542, "6M": 0.0553, "1Y": 0.0564, "2Y": 0.0570, "3Y": 0.0573 }, "SOFR": { "1D": 0.0536, "1W": 0.0538, "1M": 0.0540, "3M": 0.0546, "6M": 0.0556, "1Y": 0.0566, "2Y": 0.0572, "3Y": 0.0575 }, "Treasury_Curve": { "1M": 0.0495, "3M": 0.0505, "6M": 0.0515, "1Y": 0.0525, "2Y": 0.0520, "3Y": 0.0515, "5Y": 0.0510, "10Y": 0.0505, "30Y": 0.0500 } }, "currency_par_values": { "USD/EUR": 0.845, "USD/GBP": 0.775, "USD/JPY": 146.20, "USD/CHF": 0.895, "USD/CAD": 1.355, "USD/AUD": 1.555, "USD/CNY": 7.22 }, "global_indices": { "S&P500": { "date": "2024-10-27", "value": 4200.50, "historical_volatility": 0.18 }, "DJIA": { "date": "2024-10-27", "value": 33500.25, "historical_volatility": 0.15 }, "NASDAQ": { "date": "2024-10-27", "value": 13000.75, "historical_volatility": 0.22 }, "FTSE100": { "date": "2024-10-27", "value": 7400.00, "historical_volatility": 0.16 }, "N225": { "date": "2024-10-27", "value": 28500.00, "historical_volatility": 0.19 } }, "volatility_indices": { "VIX": { "date": "2024-10-27", "value": 18.50 }, "VXN": { "date": "2024-10-27", "value": 22.00 } }, "economic_data": { "USA": { "GDP_growth": 0.02, "inflation": 0.03, "unemployment": 0.04 }, "EUR": { "GDP_growth": 0.01, "inflation": 0.025, "unemployment": 0.06 }, "JPN": { "GDP_growth": 0.005, "inflation": 0.02, "unemployment": 0.025 } }, "sector_data": { "Technology": { "growth_outlook": 0.05, "risk_factor": 0.20 }, "Financials": { "growth_outlook": 0.03, "risk_factor": 0.18 }, "Healthcare": { "growth_outlook": 0.04, "risk_factor": 0.15 }, "Energy": { "growth_outlook": 0.02, "risk_factor": 0.25 } } }