Credit Benchmark Rating Scale
Credit Benchmark’s rating scale provides a standardized way to translate Probabilities of Default (PDs) into a credit rating. The scale ranges from aaa (highest credit quality) to d (default). Our scale is a consensus construct derived from the PD scales of 40+ banks. Each bank maintains its own master scale, including PD cutoffs for each internal grade. We aggregate those PD cutoffs across contributors and interpolate a single set of lower and upper through-the-cycle (TTC) PD boundaries for each category in the Credit Benchmark 21-category scale. These boundaries are:- Aggregated from multiple independent sources - A true consensus, not a vendor opinion
- Expressed as annual TTC PD ranges - To reduce procyclicality
- Reviewed periodically - To maintain stability and comparability across sectors, regions, and size buckets
Rating Categories and PD Mappings
| Notch | Rating | PD Lower (bps) | PD Upper (bps) | Category |
|---|---|---|---|---|
| 1 | aaa | 0 | 1.25 | IG |
| 2 | aa+ | 1.25 | 2.25 | IG |
| 3 | aa | 2.25 | 3.25 | IG |
| 4 | aa- | 3.25 | 4.75 | IG |
| 5 | a+ | 4.75 | 6.25 | IG |
| 6 | a | 6.25 | 8.5 | IG |
| 7 | a- | 8.5 | 14 | IG |
| 8 | bbb+ | 14 | 20 | IG |
| 9 | bbb | 20 | 30 | IG |
| 10 | bbb- | 30 | 48 | IG |
| 11 | bb+ | 48 | 76 | HY |
| 12 | bb | 76 | 112 | HY |
| 13 | bb- | 112 | 195 | HY |
| 14 | b+ | 195 | 365 | HY |
| 15 | b | 365 | 650 | HY |
| 16 | b- | 650 | 1000 | HY |
| 17 | ccc+ | 1000 | 1700 | HY |
| 18 | ccc | 1700 | 2500 | HY |
| 19 | ccc- | 2500 | 3700 | HY |
| 20 | cc | 3700 | 6800 | HY |
| 21 | c | 6800 | 10000 | HY |
| — | d | — | — | Default |
Credit Benchmark also maintains a secondary
CCR100 scale for finer PD-based granularity in some published fields. The headline CCR continues to use the 21-category scale. See Consensus PD for how CCR100 fields are published.How We Create the Consensus Scale
Credit Benchmark’s PD scale represents the collective wisdom of 40+ leading global banks. Each bank has its own internal rating system with unique naming conventions and PD boundaries. Our challenge is to harmonize these disparate systems into a single, standardized consensus scale.The Challenge: Multiple Rating Systems
Each contributor bank has its own internal rating system with unique naming conventions:| Bank Type | Example Rating System |
|---|---|
| European Bank | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 |
| US Regional Bank | A1, A2, A3, B1, B2, B3, C1, C2, C3, D |
| Asian Bank | AAA, AA, A, BBB, BB, B, CCC, CC, C, D |
The Solution: Standardization Process
We create a consensus definition of what PD maps to each credit grade by using each bank’s internally assigned Credit Rating Agency Equivalent (e.g., S&P, Moody’s, Fitch) as our common language. This allows us to compare like-for-like credit quality across different internal scales.Internal Rating Mapping
Each bank provides us with its internal rating definitions and how they map to standard credit rating agency equivalents. For example:
- European Bank’s 6 -> Equivalent to S&P BBB
- US Regional Bank’s B1 -> Equivalent to S&P BBB
- Asian Bank’s BBB -> Equivalent to S&P BBB
PD Collection and Analysis
For each S&P equivalent rating (e.g., BBB), we collect the PD values from all banks and analyze the lower, midpoint, and upper boundaries contributed across the network. For example:
- European Bank (Grade 6) — 17–32 bps, midpoint 23 bps
- US Regional Bank (B1) — 19–34 bps, midpoint 25 bps
- Asian Bank (BBB) — 18–31 bps, midpoint 24 bps
Consensus Calculation
We analyze the PD distributions across all banks for each rating category and calculate the consensus boundaries:
- BBB consensus range: 20-30 basis points
- BBB midpoint: 25 basis points
- This becomes our bbb rating range in the Credit Benchmark scale