pyratings 0.5.4

Collection of functions in order to translate ratings from various rating agencies into equivalent rating scores and vice versa.

Documentation

The full documentation can be found at https://hsbc.github.io/pyratings/.

A “Getting started” section shows the relevant functions provided by pyratings in order to compute an average credit rating for a portfolio with multiple securities.

Capabilities

This library consists of functions, which will be helpful in order to work with credit ratings in a pandas.DataFrame.

pyratings offers the following capabilities:

• Preparing regular ratings for further processing, i.e. stripping off of rating watches.

• Transform long- and short-term ratings into rating scores and vice versa.

• Compute best/second best/worst ratings on a security level basis within a portfolio context.

• Compute average ratings/rating scores on a portfolio level.

• Compute Weighted Average Rating Factor (WARF) on a portfolio level.

• Compute WARF buffer, i.e. distance from current WARF to next maxWARF.

Transformations from ratings to scores/WARF and vice versa will take place according to the following translation table:

Long-term ratings

Moody’s	S&P	Fitch	ICE	DBRS	Bloomberg	Score	WARF	MinWARF*	MaxWARF*
Aaa	AAA	AAA	AAA	AAA	AAA	1	1	1	5
Aa1	AA+	AA+	AA+	AAH	AA+	2	10	5	15
Aa2	AA	AA	AA	AA	AA	3	20	15	30
Aa3	AA-	AA-	AA-	AAL	AA-	4	40	30	55
A1	A+	A+	A+	AH	A+	5	70	55	95
A2	A	A	A	A	A	6	120	95	150
A3	A-	A-	A-	AL	A-	7	180	150	220
Baa1	BBB+	BBB+	BBB+	BBBH	BBB+	8	260	220	310
Baa2	BBB	BBB	BBB	BBB	BBB	9	360	310	485
Baa3	BBB-	BBB-	BBB-	BBBL	BBB-	10	610	485	775
Ba1	BB+	BB+	BB+	BBH	BB+	11	940	775	1145
Ba2	BB	BB	BB	BB	BB	12	1350	1145	1558
Ba3	BB-	BB-	BB-	BBL	BB-	13	1766	1558	1993
B1	B+	B+	B+	BH	B+	14	2220	1993	2470
B2	B	B	B	B	B	15	2720	2470	3105
B3	B-	B-	B-	BL	B-	16	3490	3105	4130
Caa1	CCC+	CCC+	CCC+	CCCH	CCC+	17	4770	4130	5635
Caa2	CCC	CCC	CCC	CCC	CCC	18	6500	5635	7285
Caa3	CCC-	CCC-	CCC-	CCCL	CCC-	19	8070	7285	9034
Ca	CC	CC	CC	CC	CC	20	9998	9034	9998.5
C	C	C	C	C	C	21	9999	9998.5	9999.5
D	D	D	D	D	DDD	22	10000	9999.5	10000

MinWARF is inclusive, while MaxWARF is exclusive.

Short-term ratings

Moody’s	S&P	Fitch	DBRS	Score
P-1	A-1+	F1+	R-1 (high)	1
—	—	—	R-1 (mid)	2
—	—	—	R-1 (low)	3
—	A-1	F1	R-2 (high)	5
—	—	—	R-2 (mid)	6
P-2	A-2	F2	R-2 (low)	7
—	—	—	R-3 (high)	8
P-3	A-3	F3	R-3 (mid)	9
—	—	—	R-3 (low)	10
NP	B	—	R-4	12
—	—	—	R-5	15
—	C	—	—	18
—	D	—	D	22

Dependencies

This library supports Python >= 3.9.

Under the hood pyratings only depends on the basic python libraries that are used for matrix and dataframe manipulation:

• numpy

• pandas