{ "metadata": { "version": "2.0.0", "last_updated": "2025-04-01T20:45:00Z", "_comment_last_updated": "Timestamp of the last manual update or verification of static data within this file.", "description": "A comprehensive mapping file for corporate credit risk assessment, combining rating agency scales, regulatory classifications, market indicators, and economic context for LLM analysis.", "data_sources": [ "Public Rating Agency Reports (S&P, Moody's, Fitch)", "Regulatory Filings (e.g., SNC Reports)", "Market Data Providers (for CDS, Indices, FX, Rates)", "Internal Analysis", "Economic Data Providers (e.g., BLS, Eurostat, BOJ)" ], "update_frequency_recommendation": { "rating_agency_definitions": "Annually or as definitions change", "regulatory_classifications": "Annually or as definitions change", "market_indicators": "Daily/Intraday where possible", "economic_context": "Daily (Rates, FX), Monthly/Quarterly (Macro Data, Sector Outlook)", "default_probability_ranges": "Annually based on latest cohort studies (Note: values here are illustrative)" }, "version_notes": { "changes_from_v1": [ "Restructured entire file for better organization.", "Added Fitch Ratings.", "Replaced default probabilities with illustrative 1-year ranges.", "Added rating categories, outlooks, and watch statuses.", "Added inter-agency mapping.", "Formalized SNC indicative criteria.", "Added LGD ranges for SNC.", "Included comprehensive market indicators (CDS, distressed, indices, volatility) with timestamps.", "Replaced LIBOR with SOFR, added Treasury Curve with timestamps.", "Standardized currency pairs with timestamps.", "Added macroeconomic and sector context data with timestamps.", "Refined risk score framework and qualitative mapping guidance.", "Expanded metadata." ], "future_improvements": [ "Integrate real-time API calls for dynamic data.", "Expand historical data capabilities.", "Add more granular sector/industry risk factors.", "Incorporate Probability of Default (PD) models directly.", "Add Loss Given Default (LGD) estimates beyond SNC.", "Include covenant analysis metrics." ] } }, "rating_agencies": { "_comment": "Data includes illustrative 1-year default probability ranges based on historical averages. Actual probabilities are dynamic.", "S&P": { "AAA": { "description": "Highest rating. Extremely strong capacity to meet financial commitments.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0000, 0.0001], "equivalent_ratings": {"Moody's": "Aaa", "Fitch": "AAA"} }, "AA+": { "description": "Very strong capacity to meet financial commitments.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0001, 0.0002], "equivalent_ratings": {"Moody's": "Aa1", "Fitch": "AA+"} }, "AA": { "description": "Very strong capacity to meet financial commitments.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0002, 0.0003], "equivalent_ratings": {"Moody's": "Aa2", "Fitch": "AA"} }, "AA-": { "description": "Very strong capacity to meet financial commitments.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0003, 0.0005], "equivalent_ratings": {"Moody's": "Aa3", "Fitch": "AA-"} }, "A+": { "description": "Strong capacity to meet financial commitments, but somewhat more susceptible to adverse economic conditions.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0005, 0.0008], "equivalent_ratings": {"Moody's": "A1", "Fitch": "A+"} }, "A": { "description": "Strong capacity to meet financial commitments, but somewhat more susceptible to adverse economic conditions.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0008, 0.0012], "equivalent_ratings": {"Moody's": "A2", "Fitch": "A"} }, "A-": { "description": "Strong capacity to meet financial commitments, but somewhat more susceptible to adverse economic conditions.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0012, 0.0018], "equivalent_ratings": {"Moody's": "A3", "Fitch": "A-"} }, "BBB+": { "description": "Adequate capacity to meet financial commitments, but more subject to adverse economic conditions.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0018, 0.0027], "equivalent_ratings": {"Moody's": "Baa1", "Fitch": "BBB+"} }, "BBB": { "description": "Adequate capacity to meet financial commitments, but more subject to adverse economic conditions.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0027, 0.0040], "equivalent_ratings": {"Moody's": "Baa2", "Fitch": "BBB"} }, "BBB-": { "description": "Adequate capacity to meet financial commitments, but more subject to adverse economic conditions.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0040, 0.0060], "equivalent_ratings": {"Moody's": "Baa3", "Fitch": "BBB-"} }, "BB+": { "description": "Less vulnerable in the near term but faces major ongoing uncertainties to adverse business, financial, or economic conditions.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0060, 0.0090], "equivalent_ratings": {"Moody's": "Ba1", "Fitch": "BB+"} }, "BB": { "description": "Less vulnerable in the near term but faces major ongoing uncertainties to adverse business, financial, or economic conditions.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0090, 0.0130], "equivalent_ratings": {"Moody's": "Ba2", "Fitch": "BB"} }, "BB-": { "description": "Less vulnerable in the near term but faces major ongoing uncertainties to adverse business, financial, or economic conditions.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0130, 0.0190], "equivalent_ratings": {"Moody's": "Ba3", "Fitch": "BB-"} }, "B+": { "description": "More vulnerable to adverse conditions but currently has the capacity to meet financial commitments.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0190, 0.0270], "equivalent_ratings": {"Moody's": "B1", "Fitch": "B+"} }, "B": { "description": "More vulnerable to adverse conditions but currently has the capacity to meet financial commitments.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0270, 0.0380], "equivalent_ratings": {"Moody's": "B2", "Fitch": "B"} }, "B-": { "description": "More vulnerable to adverse conditions but currently has the capacity to meet financial commitments.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0380, 0.0530], "equivalent_ratings": {"Moody's": "B3", "Fitch": "B-"} }, "CCC+": { "description": "Currently vulnerable and depends on favorable conditions to meet financial commitments.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0530, 0.1500], # Wider range for CCC category "equivalent_ratings": {"Moody's": "Caa1", "Fitch": "CCC+"} }, "CCC": { "description": "Currently vulnerable and depends on favorable conditions to meet financial commitments.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.1000, 0.2500], # Wider range for CCC category "equivalent_ratings": {"Moody's": "Caa2", "Fitch": "CCC"} }, "CCC-": { "description": "Currently vulnerable and depends on favorable conditions to meet financial commitments.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.1500, 0.3500], # Wider range for CCC category "equivalent_ratings": {"Moody's": "Caa3", "Fitch": "CCC-"} }, "CC": { "description": "Currently highly vulnerable.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.2500, 0.5000], "equivalent_ratings": {"Moody's": "Ca", "Fitch": "CC"} }, "C": { "description": "Currently highly vulnerable, potentially in bankruptcy or similar proceedings, but still meeting some financial commitments.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.3000, 0.6000], "equivalent_ratings": {"Moody's": "C", "Fitch": "C"} }, "D": { "description": "In default or breach of an imputed promise. Payment default on a financial commitment.", "category": "Default", "typical_1yr_default_probability_range": [0.99, 1.0], # Represents already defaulted or near certain default within year "equivalent_ratings": {"Moody's": "/RD/SD", "Fitch": "RD/D"} }, "NR": { "description": "Not Rated. No rating has been requested, there is insufficient information, or the agency withdrew the rating.", "category": "Not Rated", "typical_1yr_default_probability_range": null, "equivalent_ratings": {"Moody's": "NR", "Fitch": "NR"} }, "outlook_modifiers": { "Positive": "May be raised.", "Negative": "May be lowered.", "Stable": "Not likely to change.", "Developing": "May be raised, lowered, or affirmed." }, "watch_modifiers": { "CreditWatch Positive": "Potential upgrade.", "CreditWatch Negative": "Potential downgrade.", "CreditWatch Developing": "Potential upgrade, downgrade, or affirmation." } }, "Moody's": { "Aaa": { "description": "Highest quality, minimal credit risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0000, 0.0001], "equivalent_ratings": {"S&P": "AAA", "Fitch": "AAA"} }, "Aa1": { "description": "High quality, very low credit risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0001, 0.0002], "equivalent_ratings": {"S&P": "AA+", "Fitch": "AA+"} }, "Aa2": { "description": "High quality, very low credit risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0002, 0.0003], "equivalent_ratings": {"S&P": "AA", "Fitch": "AA"} }, "Aa3": { "description": "High quality, very low credit risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0003, 0.0005], "equivalent_ratings": {"S&P": "AA-", "Fitch": "AA-"} }, "A1": { "description": "Upper-medium grade, low credit risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0005, 0.0008], "equivalent_ratings": {"S&P": "A+", "Fitch": "A+"} }, "A2": { "description": "Upper-medium grade, low credit risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0008, 0.0012], "equivalent_ratings": {"S&P": "A", "Fitch": "A"} }, "A3": { "description": "Upper-medium grade, low credit risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0012, 0.0018], "equivalent_ratings": {"S&P": "A-", "Fitch": "A-"} }, "Baa1": { "description": "Medium grade, moderate credit risk, possibly possessing speculative characteristics.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0018, 0.0027], "equivalent_ratings": {"S&P": "BBB+", "Fitch": "BBB+"} }, "Baa2": { "description": "Medium grade, moderate credit risk, possibly possessing speculative characteristics.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0027, 0.0040], "equivalent_ratings": {"S&P": "BBB", "Fitch": "BBB"} }, "Baa3": { "description": "Medium grade, moderate credit risk, possibly possessing speculative characteristics.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0040, 0.0060], "equivalent_ratings": {"S&P": "BBB-", "Fitch": "BBB-"} }, "Ba1": { "description": "Judged to have speculative elements and subject to substantial credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0060, 0.0090], "equivalent_ratings": {"S&P": "BB+", "Fitch": "BB+"} }, "Ba2": { "description": "Judged to have speculative elements and subject to substantial credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0090, 0.0130], "equivalent_ratings": {"S&P": "BB", "Fitch": "BB"} }, "Ba3": { "description": "Judged to have speculative elements and subject to substantial credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0130, 0.0190], "equivalent_ratings": {"S&P": "BB-", "Fitch": "BB-"} }, "B1": { "description": "Considered speculative and subject to high credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0190, 0.0270], "equivalent_ratings": {"S&P": "B+", "Fitch": "B+"} }, "B2": { "description": "Considered speculative and subject to high credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0270, 0.0380], "equivalent_ratings": {"S&P": "B", "Fitch": "B"} }, "B3": { "description": "Considered speculative and subject to high credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0380, 0.0530], "equivalent_ratings": {"S&P": "B-", "Fitch": "B-"} }, "Caa1": { "description": "Judged to be of poor standing and subject to very high credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0530, 0.1500], "equivalent_ratings": {"S&P": "CCC+", "Fitch": "CCC+"} }, "Caa2": { "description": "Judged to be of poor standing and subject to very high credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.1000, 0.2500], "equivalent_ratings": {"S&P": "CCC", "Fitch": "CCC"} }, "Caa3": { "description": "Judged to be of poor standing and subject to very high credit risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.1500, 0.3500], "equivalent_ratings": {"S&P": "CCC-", "Fitch": "CCC-"} }, "Ca": { "description": "Highly speculative, likely in or very near default, with some prospect of recovery.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.2500, 0.5000], "equivalent_ratings": {"S&P": "CC", "Fitch": "CC"} }, "C": { "description": "Lowest rated class, typically in default, with little prospect for recovery.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.3000, 0.6000], "equivalent_ratings": {"S&P": "C", "Fitch": "C"} }, "/RD/SD": { "description": "Indicates Selective Default (SD) or Restricted Default (RD).", "category": "Default", "typical_1yr_default_probability_range": [0.99, 1.0], "equivalent_ratings": {"S&P": "D", "Fitch": "RD/D"} }, "NR": { "description": "Not Rated.", "category": "Not Rated", "typical_1yr_default_probability_range": null, "equivalent_ratings": {"S&P": "NR", "Fitch": "NR"} }, "outlook_modifiers": { "POS": "Positive outlook.", "NEG": "Negative outlook.", "STA": "Stable outlook.", "DEV": "Developing outlook.", "(P)": "Provisional rating." }, "watch_modifiers": { "RUR": "Rating Under Review for possible upgrade.", "RDR": "Rating Under Review for possible downgrade.", "RWR": "Rating Under Review with uncertain direction." } }, "Fitch": { "AAA": { "description": "Highest credit quality. Denotes the lowest expectation of default risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0000, 0.0001], "equivalent_ratings": {"S&P": "AAA", "Moody's": "Aaa"} }, "AA+": { "description": "Very high credit quality. Very low expectation of default risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0001, 0.0002], "equivalent_ratings": {"S&P": "AA+", "Moody's": "Aa1"} }, "AA": { "description": "Very high credit quality. Very low expectation of default risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0002, 0.0003], "equivalent_ratings": {"S&P": "AA", "Moody's": "Aa2"} }, "AA-": { "description": "Very high credit quality. Very low expectation of default risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0003, 0.0005], "equivalent_ratings": {"S&P": "AA-", "Moody's": "Aa3"} }, "A+": { "description": "High credit quality. Low expectation of default risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0005, 0.0008], "equivalent_ratings": {"S&P": "A+", "Moody's": "A1"} }, "A": { "description": "High credit quality. Low expectation of default risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0008, 0.0012], "equivalent_ratings": {"S&P": "A", "Moody's": "A2"} }, "A-": { "description": "High credit quality. Low expectation of default risk.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0012, 0.0018], "equivalent_ratings": {"S&P": "A-", "Moody's": "A3"} }, "BBB+": { "description": "Good credit quality. Low expectation of default risk currently.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0018, 0.0027], "equivalent_ratings": {"S&P": "BBB+", "Moody's": "Baa1"} }, "BBB": { "description": "Good credit quality. Low expectation of default risk currently.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0027, 0.0040], "equivalent_ratings": {"S&P": "BBB", "Moody's": "Baa2"} }, "BBB-": { "description": "Good credit quality. Low expectation of default risk currently.", "category": "Investment Grade", "typical_1yr_default_probability_range": [0.0040, 0.0060], "equivalent_ratings": {"S&P": "BBB-", "Moody's": "Baa3"} }, "BB+": { "description": "Speculative. Elevated vulnerability to default risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0060, 0.0090], "equivalent_ratings": {"S&P": "BB+", "Moody's": "Ba1"} }, "BB": { "description": "Speculative. Elevated vulnerability to default risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0090, 0.0130], "equivalent_ratings": {"S&P": "BB", "Moody's": "Ba2"} }, "BB-": { "description": "Speculative. Elevated vulnerability to default risk.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0130, 0.0190], "equivalent_ratings": {"S&P": "BB-", "Moody's": "Ba3"} }, "B+": { "description": "Highly speculative. Material default risk is present, but a limited margin of safety remains.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0190, 0.0270], "equivalent_ratings": {"S&P": "B+", "Moody's": "B1"} }, "B": { "description": "Highly speculative. Material default risk is present, but a limited margin of safety remains.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0270, 0.0380], "equivalent_ratings": {"S&P": "B", "Moody's": "B2"} }, "B-": { "description": "Highly speculative. Material default risk is present, but a limited margin of safety remains.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0380, 0.0530], "equivalent_ratings": {"S&P": "B-", "Moody's": "B3"} }, "CCC+": { # Fitch combines CCC+/CCC/CCC- into 'CCC' often for probability stats "description": "Substantial credit risk. Default is a real possibility.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.0530, 0.1500], "equivalent_ratings": {"S&P": "CCC+", "Moody's": "Caa1"} }, "CCC": { "description": "Substantial credit risk. Default is a real possibility.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.1000, 0.2500], "equivalent_ratings": {"S&P": "CCC", "Moody's": "Caa2"} }, "CCC-": { "description": "Substantial credit risk. Default is a real possibility.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.1500, 0.3500], "equivalent_ratings": {"S&P": "CCC-", "Moody's": "Caa3"} }, "CC": { "description": "Very high levels of credit risk. Default of some kind appears probable.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.2500, 0.5000], "equivalent_ratings": {"S&P": "CC", "Moody's": "Ca"} }, "C": { "description": "Exceptionally high levels of credit risk. Default is imminent or inevitable.", "category": "Speculative Grade", "typical_1yr_default_probability_range": [0.3000, 0.6000], "equivalent_ratings": {"S&P": "C", "Moody's": "C"} }, "RD": { "description": "Restricted Default. Indicates an uncured payment default on a material financial obligation.", "category": "Default", "typical_1yr_default_probability_range": [0.99, 1.0], "equivalent_ratings": {"S&P": "D", "Moody's": "/RD/SD"} }, "D": { "description": "Default. Indicates a default has occurred.", "category": "Default", "typical_1yr_default_probability_range": [0.99, 1.0], "equivalent_ratings": {"S&P": "D", "Moody's": "/RD/SD"} }, "NR": { "description": "Not Rated.", "category": "Not Rated", "typical_1yr_default_probability_range": null, "equivalent_ratings": {"S&P": "NR", "Moody's": "NR"} }, "outlook_modifiers": { "Positive": "Rating may be raised.", "Negative": "Rating may be lowered.", "Stable": "Rating is not likely to change.", "Evolving": "Rating may be raised, lowered or affirmed." # Fitch uses Evolving instead of Developing sometimes }, "watch_modifiers": { "Rating Watch Positive": "Indicates a potential upgrade.", "Rating Watch Negative": "Indicates a potential downgrade.", "Rating Watch Evolving": "Indicates potential upgrade, downgrade, or affirmation." } } }, "regulatory_classifications": { "SNC": { "_comment": "Shared National Credit Program (US regulatory classification for large syndicated loans). Criteria are indicative.", "Pass": { "description": "Sound credit quality, performing as agreed, minimal risk identified.", "implication": "Loan is considered performing and not subject to criticism.", "indicative_criteria": { "repayment_capacity": {"metric": "Cumulative FCF / Total Debt", "threshold": 0.50, "condition": "greater_than", "period": "Loan Term", "description": "Strong projected repayment capacity."}, "valuation": {"metric": "Loan to Value (LTV)", "threshold": 0.70, "condition": "less_than", "description": "Conservative LTV."}, "liquidity": {"score": "Strong", "description": "More than covers stress scenario + 30% cushion for next 2 years costs."}, "solvency": {"metric": "Debt Service Coverage Ratio (DSCR)", "threshold": 1.5, "condition": "greater_than", "description": "Healthy DSCR."} }, "typical_loss_given_default_range": [0.0, 0.1] # Illustrative }, "Special Mention (SM)": { "description": "Potential weaknesses that deserve management's close attention. If left uncorrected, these may result in deterioration of repayment prospects.", "implication": "Elevated monitoring required; not yet impaired but trending negatively.", "indicative_criteria": { "repayment_capacity": {"metric": "Cumulative FCF / Total Debt", "threshold": 0.40, "condition": "greater_than", "period": "Loan Term", "description": "Adequate projected repayment, potential concerns."}, "valuation": {"metric": "Loan to Value (LTV)", "range": [0.70, 0.80], "description": "Moderate LTV."}, "liquidity": {"score": "Adequate", "description": "Covers stress or 12-18 months costs + 20% cushion."}, "solvency": {"metric": "Debt Service Coverage Ratio (DSCR)", "range": [1.2, 1.5], "description": "Adequate DSCR, potential for deterioration."} }, "typical_loss_given_default_range": [0.1, 0.25] # Illustrative }, "Substandard": { "description": "Inadequately protected by the current sound worth and paying capacity of the obligor or of the collateral pledged. Well-defined weakness(es) that jeopardize liquidation.", "implication": "Credit risk is elevated; loss potential exists if deficiencies are not corrected.", "indicative_criteria": { "repayment_capacity": {"metric": "Cumulative FCF / Total Debt", "threshold": 0.30, "condition": "greater_than", "period": "Loan Term", "description": "Weak projected repayment, significant concerns."}, "valuation": {"metric": "Loan to Value (LTV)", "range": [0.80, 0.90], "description": "High LTV."}, "liquidity": {"score": "Less than Adequate", "description": "Limited cushion for stress or costs."}, "solvency": {"metric": "Debt Service Coverage Ratio (DSCR)", "range": [1.0, 1.2], "description": "Weak DSCR, potential for default."} }, "typical_loss_given_default_range": [0.25, 0.50] # Illustrative }, "Doubtful": { "description": "Weaknesses make collection or liquidation in full highly questionable and improbable.", "implication": "High probability of loss, but the exact amount is not yet determined.", "indicative_criteria": { "repayment_capacity": {"analysis_type": "Waterfall Analysis", "finding": "Significant shortfall", "description": "Highly doubtful repayment."}, "valuation": {"analysis_type": "Recovery Analysis", "finding": "Significant potential Loss Given Default", "description": "Collateral likely insufficient."}, "liquidity": {"score": "Less than Adequate", "description": "Limited cushion for stress or costs."}, "solvency": {"metric": "Debt Service Coverage Ratio (DSCR)", "threshold": 1.0, "condition": "less_than", "description": "Insufficient cash flow for debt service."} }, "typical_loss_given_default_range": [0.50, 0.75] # Illustrative }, "Loss": { "description": "Considered uncollectible and of such little value that continuance as a bankable asset is not warranted.", "implication": "Loan should be charged-off. Recovery is highly unlikely.", "indicative_criteria": { "repayment_capacity": {"analysis_type": "Waterfall Analysis", "finding": "Uncollectible", "description": "No reasonable expectation of repayment."}, "valuation": {"analysis_type": "Recovery Analysis", "finding": "Minimal or no recovery expected", "description": "Collateral value significantly below debt."}, "liquidity": {"score": "Less than Adequate", "description": "Limited cushion for stress or costs."}, "solvency": {"metric": "Debt Service Coverage Ratio (DSCR)", "threshold": 1.0, "condition": "less_than", "description": "Insufficient cash flow for debt service."} }, "typical_loss_given_default_range": [0.75, 1.0] # Illustrative } } // Potentially add other regulatory frameworks here (e.g., EBA NPL definitions) }, "market_indicators": { "_comment": "Market data needs frequent updates. Timestamps indicate last update time for this file.", "cds_spreads_basis_points": { "last_updated": "2025-04-01T18:00:00Z", "source_example": "Market Data Provider X", "Technology": {"1Y": 45, "3Y": 70, "5Y": 95, "10Y": 130}, "Healthcare": {"1Y": 55, "3Y": 80, "5Y": 110, "10Y": 140}, "Financials (Banks)": {"1Y": 65, "3Y": 100, "5Y": 135, "10Y": 170}, "Energy (Oil&Gas)": {"1Y": 90, "3Y": 130, "5Y": 170, "10Y": 210}, "Consumer Discretionary": {"1Y": 70, "3Y": 105, "5Y": 140, "10Y": 180}, "Industrials": {"1Y": 60, "3Y": 90, "5Y": 120, "10Y": 155} // Add other relevant industries }, "distressed_secondary_prices": { "last_updated": "2025-04-01T18:00:00Z", "source_example": "Market Data Provider Y", "asset_type": "Broadly Syndicated Loans", "price_type": "Percentage of Par", "average_price_by_rating_category": { "CCC": 65.5, "B-": 80.0, "B": 88.5, "B+": 92.0 // ... other categories if available }, "example_individual_loans": [ {"loan_id": "LXYZ", "issuer_sector": "Retail", "rating_approx": "CCC+", "price": 68.0, "date": "2025-04-01"}, {"loan_id": "LABC", "issuer_sector": "Airlines", "rating_approx": "B-", "price": 75.0, "date": "2025-04-01"} ] }, "global_equity_indices": { "last_updated": "2025-04-01T18:00:00Z", "source_example": "Market Data Provider Z", "S&P500": {"value": 4950.75, "30d_historical_volatility": 0.16}, "DJIA": {"value": 38000.50, "30d_historical_volatility": 0.14}, "NASDAQ": {"value": 15500.25, "30d_historical_volatility": 0.20}, "FTSE100": {"value": 7600.00, "30d_historical_volatility": 0.15}, "N225": {"value": 39000.00, "30d_historical_volatility": 0.18} // Add other relevant indices (DAX, HSI, etc.) }, "volatility_indices": { "last_updated": "2025-04-01T18:00:00Z", "source_example": "Market Data Provider Z", "VIX": {"value": 19.20, "description": "CBOE Volatility Index (S&P 500)"}, "VXN": {"value": 23.50, "description": "CBOE NASDAQ 100 Volatility Index"} // Add other relevant volatility indices (e.g., V2X for Europe) } }, "economic_context": { "_comment": "Economic data needs periodic updates. Timestamps indicate last update time for this file.", "risk_free_rates": { "last_updated": "2025-04-01T18:00:00Z", "source_example": "Central Bank Data / Market Provider", "SOFR": { // Secured Overnight Financing Rate (USD Benchmark) "Overnight": 0.0525, "30D_Avg": 0.0528, "90D_Avg": 0.0530, "180D_Avg": 0.0535, "Term_1M": 0.0538, "Term_3M": 0.0540, "Term_6M": 0.0542, "Term_1Y": 0.0545 }, "Treasury_Curve_USD": { "1M": 0.0510, "3M": 0.0515, "6M": 0.0520, "1Y": 0.0518, "2Y": 0.0505, "3Y": 0.0495, "5Y": 0.0480, "7Y": 0.0475, "10Y": 0.0470, "20Y": 0.0485, "30Y": 0.0490 }, "ESTR": { // Euro Short-Term Rate (EUR Benchmark) "Overnight": 0.0390 // Add term structure if available }, "SONIA": { // Sterling Overnight Index Average (GBP Benchmark) "Overnight": 0.0515 // Add term structure if available } // Add other relevant benchmark rates (e.g., TONA for JPY) }, "currency_exchange_rates": { "last_updated": "2025-04-01T18:00:00Z", "source_example": "FX Market Data Provider", "base_currency": "USD", "rates": { "EURUSD": 1.0850, // 1 EUR = 1.0850 USD "GBPUSD": 1.2550, // 1 GBP = 1.2550 USD "USDJPY": 150.75, // 1 USD = 150.75 JPY "USDCHF": 0.9010, // 1 USD = 0.9010 CHF "USDCAD": 1.3600, // 1 USD = 1.3600 CAD "AUDUSD": 0.6500, // 1 AUD = 0.6500 USD "USDCNY": 7.2300 // 1 USD = 7.2300 CNY (Onshore rate) } }, "macroeconomic_data": { "last_updated": "2025-03-15T12:00:00Z", // Example: Reflects last data release used "data_period_example": "Q4 2024 / Feb 2025", "source_example": "National Statistics Offices / Central Banks", "USA": {"GDP_growth_qoq_ann": 0.018, "inflation_cpi_yoy": 0.031, "unemployment_rate": 0.039, "policy_rate": 0.0550}, "Eurozone": {"GDP_growth_qoq_ann": 0.005, "inflation_hcpi_yoy": 0.028, "unemployment_rate": 0.064, "policy_rate": 0.0400}, "China": {"GDP_growth_yoy": 0.050, "inflation_cpi_yoy": 0.015, "unemployment_rate_urban": 0.051, "policy_rate_1y_mlf": 0.0275}, "Japan": {"GDP_growth_qoq_ann": 0.002, "inflation_cpi_yoy": 0.022, "unemployment_rate": 0.024, "policy_rate": -0.001} // Add other key economies (UK, Canada, etc.) }, "sector_outlook": { "last_updated": "2025-03-20T10:00:00Z", "source_example": "Internal Research / Third-party Reports", "Technology": {"outlook": "Stable", "growth_forecast_range_pct": [3, 6], "key_risks": ["Regulatory scrutiny", "Supply chain disruption", "Geopolitical tensions"]}, "Healthcare": {"outlook": "Positive", "growth_forecast_range_pct": [4, 7], "key_risks": ["Drug pricing pressure", "Patent cliffs", "Regulatory changes"]}, "Financials (Banks)": {"outlook": "Stable", "growth_forecast_range_pct": [2, 4], "key_risks": ["Net interest margin compression", "Credit losses", "Regulatory capital requirements"]}, "Energy (Oil&Gas)": {"outlook": "Volatile/Stable", "growth_forecast_range_pct": [1, 5], "key_risks": ["Commodity price volatility", "Energy transition policies", "Geopolitical supply risks"]}, "Consumer Discretionary": {"outlook": "Cautious/Stable", "growth_forecast_range_pct": [2, 5], "key_risks": ["Inflation impact on spending", "Consumer confidence shifts", "Inventory management"]}, "Industrials": {"outlook": "Stable", "growth_forecast_range_pct": [3, 5], "key_risks": ["Input cost inflation", "Labor shortages", "Infrastructure spending delays"]} // Add other relevant sectors } }, "risk_score_framework": { "_comment": "Defines internal risk scoring buckets and guidance for mapping qualitative data.", "internal_risk_score_mapping": { "_comment": "Mapping from a normalized internal risk score (e.g., 0.0 to 1.0) to qualitative buckets.", "very_low": {"score_range": [0.0, 0.2], "description": "Minimal risk. Corresponds roughly to high Investment Grade.", "implied_action": "Standard monitoring."}, "low": {"score_range": [0.2, 0.4], "description": "Low risk. Corresponds roughly to mid/low Investment Grade.", "implied_action": "Standard monitoring, periodic review."}, "moderate": {"score_range": [0.4, 0.6], "description": "Moderate risk. Corresponds roughly to crossover/high Speculative Grade (BB area).", "implied_action": "Increased monitoring frequency."}, "high": {"score_range": [0.6, 0.8], "description": "High risk. Corresponds roughly to mid Speculative Grade (B area).", "implied_action": "Close monitoring, potential watchlist."}, "very_high": {"score_range": [0.8, 1.0], "description": "Very high risk. Corresponds roughly to low Speculative Grade (CCC area) or Default.", "implied_action": "Intensive monitoring, workout/recovery focus."} }, "qualitative_to_numeric_guidance": { "_comment": "Provides illustrative numerical weights (0=lowest risk, 1=highest risk) for qualitative inputs. Actual weights should be calibrated based on the specific model and context.", "SNC_Classification_Weights": { "source_type": "SNC Classification", "mapping": {"Pass": 0.1, "Special Mention (SM)": 0.3, "Substandard": 0.6, "Doubtful": 0.8, "Loss": 1.0}, "notes": "Illustrative weights. Consider non-linear scaling based on portfolio." }, "SNC_Liquidity_Score_Weights": { "source_type": "SNC Liquidity Assessment", "mapping": {"Strong": 0.1, "Adequate": 0.4, "Less than Adequate": 0.8}, "notes": "Illustrative weights for liquidity component." }, "Agency_Outlook_Weights": { "source_type": "Rating Agency Outlook", "mapping": {"Positive": -0.05, "Stable": 0.0, "Negative": 0.1, "Developing": 0.05}, "notes": "Illustrative *adjustments* to a base score derived from the rating itself." }, "Agency_Watch_Weights": { "source_type": "Rating Agency Watch Status", "mapping": {"Positive": -0.1, "Negative": 0.2, "Developing": 0.1}, "notes": "Illustrative *adjustments*, typically larger impact than outlook." } // Add guidance for other qualitative factors (e.g., Sector Outlook) if needed } } }