Credit Rating of Company

Research
1

is there any such thing within P-1.2.3. that
can evaluate the

“Credit Rating”

of a company?

thanks…

2

Altman Z-Score is embedded function in P123 originally designed to determine the default probability of corporate entities. I personally don’t find the Z-Score particularly useful, it is definitely not a Moody’s or S&P type of credit rating, and it is completely backward looking. However, it’s probably your best of the box metric without referring to external datasets for creditworthiness.

3

With the new Factset data coming in 2020, will this information now be available going forward?

4

I’m curious of credit rating has been added. It still does not appear to be present.

5

I second this that having credit rating would be beneficial. If available. But not at a big additional cost.

6

FactSet offers credit ratings for fixed income instruments, but not for companies. And it requires a subscription to one or more of the ratings providers (S&P, Moody’s, etc.). Companies are not given credit ratings: their bonds are. So, for example, Arch Capital (ACGL) offers five different bonds, one of which gets a BBB+ rating and four of which get an A-. Zions Bancorporation offers two bonds: one gets a BBB and one gets a BBB+. Most brokers will offer free ratings for their bonds, and you could probably use those to create a custom factor. I just downloaded a spreadsheet from Fidelity for 8,400 bonds. https://fixedincome.fidelity.com/ftgw/fi/FILanding#tbindividual-bonds|corporate . . . But extracting the company name from each bond would be a major project . . .