Methodology for Cbonds Credit Ratings Database
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1 Cbonds.Ru Ltd. 21, Pirogovskaya nab., Saint-Petersburg Tel: +7 (812) Methodology for Cbonds Credit Ratings Database Cbonds Credit Ratings Database contains data only on long-term credit ratings of organizations from different sectors and its bond. The information is updated on a daily basis as it is published by primary sources. The database provides data based solely on rating actions performed by international and national rating agencies. Data on expected ratings (usually marked exp.) are not recorded in the database. Detailed information on the rating actions is published in the newswire on Cbonds website. Information on the rating coverage geography, international and Russian national scales correspondence, and comparison of Cbonds rating scales with the rating scales of international rating agencies is displayed in the tables below. Table 1. Rating Coverage Geography Region Russia and CIS Poland Rating type International rating agencies National rating agencies * Sector Sector Sovereign Corporate Municipal Sovereign Corporate Municipal. - - ** *** EM (excl. Russia and CIS) DM SPV and subsidiaries of Russian organizations * - Russia: National Rating Agency, RA Expert, Rus-Rating, RIA Rating, AK&M; Poland: EuroRating;
2 Ukraine: Rating, UCRA, IBI-Rating, NRA-Ryurik, Expert-Rating; Kazakhstan: Expert RA Kazakhstan. ** - Mark «(Moody's)» means rating coverage only from the international rating agency Moody's Investors Service. *** - Mark means rating coverage only from the international rating agency Fitch Ratings. Table 2. Comparison between international rating scales of Moody s, Standard & Poor's and Fitch Moody's Investors Service Standard & Poor's Fitch Ratings 1 Aaa AAA AAA 2 Aa1 AA+ AA+ 3 Aa2 AA. AA 4 Aa3 AA-. AA- 5 A1 A+ A+ 6 A2 A. A 7 A3 A- A- 8 Baa1 BBB+ BBB+ 9 Baa2 BBB. BBB. 10 Baa3 BBB-. BBB- 11 Ba1 BB+ BB+ 12 Ba2 BB. BB. 13 Ba3 BB-. BB-. 14 B1 B+ B+ 15 B2 B. B. 16 B3 B-. B-. 17 Caa1 CCC+ CCC+ 18 Caa2 CCC. CCC. 19 Caa3 CCC-. CCC-. 20 Ca CC CC 21 C C C Table 3. Comparison between national rating scales (Russia) of international rating agencies Moody's Investors Service Moody's Interfax Rating Agency Standard & Poor's Standard & Poor's (national scale) Fitch Ratings Fitch Ratings (national scale) 1 Baa1 Aaa.ru BBB+ ruaaa BBB+ AAA 2 Baa2 Aaa.ru BBB. ruaaa BBB. AAA / AA+ 3 Baa3 Aaa.ru BBB-. ruaa+ BBB- AA+ 4 Ba1 Aaa.ru / Aa1.ru BB+ ruaa+ BB+ AA 5 Ba2 Aa2.ru BB. ruaa BB. AA- 6 Ba3 Aa3.ru BB-. ruaa- BB-. A+ 7 B1 A1.ru / A2.ru B+ rua+ / rua B+ A / A-
3 8 B2 A3.ru / Baa1.ru B. rua / rua-/ rubbb+ B. 9 B3 Baa2.ru / Baa3.ru B-. rubbb / rubbb- B-. BBB / BBB- BB / BB- 10 Caa1 Ba1 / Ba2.ru CCC+ rubb+ /../ rubb- CCC+ B+ 11 Caa2 12 Caa3 Ba3.ru /../ B3.ru Caa1.ru /../ Caa3.ru CCC. rub+ /../ rub- CCC. B / B- CCC-. rub- /../ ruccc- CCC-. B- /../ ССС- For tables 2 and 3, we used the data of Bank for International Settlements 1, Annex to the Meeting Minutes of the Expert Council on Rating Agencies dated November 25, 2011 No In addition, we studied current ratings of the operating in the Russian bond market, using specialized tools. These comparison tables are used in issuer filters, advanced issue search, and the upgraded Yield Curve service. Table 4. Comparison of Cbonds rating scales with the rating scales of international rating agencies Cbonds scales LT Int. Scale (foreign curr.) Scales of international rating agencies Moody s Fitch S&P LT Issuer Rating (Foreign) Long Term Issuer Default Rating LT Bank Deposits (Foreign) Insurance financial strength rating (IFSR) (Foreign) LT Corporate Family Ratings (Foreign) Insurer Financial Strength Foreign Currency LT BACKED Senior Unsecured (Foreign) LT Issuer Rating LT Bank Deposits Long Term Issuer Default Rating LT LT Int.l Scale (local curr.) Insurance financial strength rating (IFSR) LT Corporate Family Ratings National Scale BACKED Senior Unsecured NSR LT Issuer Rating National Long Term Rating National Scale LT 1 Long-term Rating Scales Comparison January 10, Annex to the Meeting Minutes of the Expert Council on Rating Agencieswww.minfin.ru/common/img/uploaded/library/2012/03/Tablitsa_sootvetstviya_kreditnye_reytingov_reytingovykh_agentstv,_akkredito vannykh_v_poryadke,_ustanovlennom_zakonodatelstvom_rossiyskoy_federatsii.xls January 10, 2014
4 NSR LT Bank Deposits (Russian)National scale (IFS) rating (Russian) National Insurer Financial Strength NSR LT Corporate Family Ratings In addition to the mentioned scales of international rating agencies, which are used for rating both organizations and bonds, Cbonds database also provides sf rating scales for mortgage bonds and structured products. Table 5. Comparison Cbonds sf rating scales with the sf rating scales of international rating agencies Cbonds scales LT Int. Scale foreign curr. (sf) Scales of international rating agencies Moody s Fitch S&P Structured Finance Long Term Issuer Foreign Currency Ratings (Foreign) Default Rating sf LT (sf) LT Int. Scale loc. curr. (sf) Structured Finance Ratings Long Term Issuer Default Rating sf LT (sf) Rating outlooks in the database are based on the ones from respective rating agencies, with the exception of RusRating outlooks, which are displayed as follows: Table 6. RusRating outlooks in Cbonds database RusRating outlooks Stable Possible increase Possible decrease Outlook in Cbonds database Stable Positive Negative Information on ratings review (placing ratings on CreditWatch) is not reflected in Cbonds database. The subscript emr, which is appended to a rating to denote embedded market risk, is not reflected in Cbonds database. This kind of credit ratings is rated according to standard rating scales (Long-term international local currency rating, Long-term international foreign currency rating, Long-term national scale rating). If a scale loses its relevance while rating scales conversion, the rating on this scale is reflected with the status «Withdrawn». Issue Credit Ratings Issue credit ratings scales are divided into: Long-term international local currency rating Long-term international foreign currency rating Long-term national scale rating This issue rating scale division (including sf rating scales) into Long-term international local currency rating and Long-term international foreign currency rating is performed according to the following rule: if the issue currency coincides with the currency of the actual
5 issuer's country, the issue is rated by the Long-term international local currency rating scale, if they are different - by the Long-term international foreign currency rating scale. Please note that this methodology developed by the International Projects experts at Cbonds, is a subjective assessment of rating scale correspondence. Cbonds News Agency is not liable for the use of any data contained in this methodology, and is not responsible for any losses that may be incurred through any operations with securities and/or other financial instruments carried out with account of the data contained in this methodology. Contact details: Dmitriy Alekseev Nikita Kalinin Head of International Projects tel.: (812) , ext.116, d.alekseev@cbonds.info Expert on CEE bond markets tel. (812) , ext.219, kalinin@cbonds.info
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