NR Ratings
Our Corporate Default (CD) Rating represents our opinion on a listed corporates' ability to minimise specific post-trade exposures suffered by investors when investing in them. NR Ratings produces Default Rating Reports with accompanying data probabilities for the Listed Issuer. Our assessment and information on corporate credit liquidity, reflects earning quality and local capital market infrastructure changes which impact risks.
Our CD Ratings can be very useful as a monitor of deteriorating credit situations long before they are reflected by other Africa Research. This kind of monitoring can be accomplished quite simply by setting up and keeping an eye on our watch list.
For Access to the 1st and Leading provider of Credit Fundamentals on Africa's Blue Chip Corporates, send an email to This email address is being protected from spambots. You need JavaScript enabled to view it.
Our Corporate Default Rating approach:
We use Default Models to rank corporates under scrutiny. These act as part of the Credit scoring process and is largely statistical, regressing instances of default against various risk indicators, such as a obligor's revenue, assets and liabilities, owner status, etc.
Default models directly model the default process, and are typically calibrated to market variables, such as the obligor's stock price or the credit spread on its bonds.
Our approach is dynamic in nature, showing sensitivity to business cycles and other fluctuations in the business environment. For example it is possible to compare the risk exposures which investors in Egypt, Mauritius and Nigeria are exposed to when buying or selling debt securities in those markets.
Applying Default Probabilities:
Default Probability (DP) estimation. The rating agencies provide very valuable historical data although their data tends to be heavily concentrated on the default of bond issuers as opposed to the default of companies.
Default Probabilities play an essential role in:
- Credit Approvals as related to Basel II/III requirements
- Risk Management
- Internal Capital Allocation
- Corporate Governance
Value Proposition
"Our Value Proposition":
What do you get with our offering -
- Dynamic Default Ratings
- Market Value of Assets
- Market Value of Debt
- Asset Volatility
- Distance to Default
- Default Probability
- Historical Default Data on selected firms (up to 2years for selected firms)
What risks do we capture in our Corporate Default (CD) Rating:
- Idiosyncratic default (“credit risk”)
- Market risk; spread fluctuation
- Correlation and recovery rates (“market risk”)
- Credit event documentation (“basis risk”)
Alpha Scale
|
No |
Alpha Scale |
Summary Definition |
|---|---|---|
|
1 – 3 |
A+/A/A |
Investors have a better than average chance of benefiting from good stable performance. |
|
4 - 6 |
B+/B/B- |
The firm is, however, more susceptible to the adverse effects of changes in circumstances and economic conditions than those entities rated 'A'. |
|
7 - 9 |
C+/C/ C- |
The firm is thus more sensitive to uncertainties and adverse circumstances to a greater degree than higher-rated entities. |
|
10 - 11 |
D/D* |
Vulnerable to a greater degree of adverse change in sector circumstances and economic conditions than does entities rated ‘C’. |
For more informaton on African Corporates that have been included in our Default and Credit Database please write to This email address is being protected from spambots. You need JavaScript enabled to view it.
