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
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: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.1
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
2
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
3
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