S&P Valuation and Risk Strategies
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Methodology Documentation



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Welcome to the Methodology Documentation Center. You may access the methodology documents for the below-listed products and services through the links provided. If you have questions or issues, please contact us at GDSsupport@standardandpoors.com for further information.


Market Approach Valuation*
Independent and evaluated prices across asset classes for over 3.2 million global fixed income instruments. Supplemental coverage of approximately 1.8 million trade and indicative prices sourced from third party providers.


Risk-to-Price®*
A relative measure of how well a security may be compensating its owner, through yield, for the embedded market and credit risks. Daily R2P scores are created for over 8,900 U.S. and European corporate debt issues by evaluating their probability of default, volatility and option-adjusted spread.

Click here to view Risk-to-Price methodology documentation


Market Derived Signals

Offer an early warning of potential credit changes based on a statistical model that evaluates five-year credit default swaps (CDS) spreads for approximately 1,500 entities to capture the market’s daily view about a company’s perceived risk.

Click here to view Market Derived Signals methodology documentation



Probability of Default – Credit Risk Tracker

A reduced-form PD model for North America non-financial corporate firms produces forward-looking one-year PD estimates based on a time series of financial, industry-specific and macroeconomic variables. This model generates estimates for more than 8,000 publicly-trade firms in the U.S. and Canada consistent with the Basel II internal ratings-based approach for calculating regulatory capital.




Model Approach Valuation*
Our model valuation approach offers a new alternative and a complementary viewpoint to the traditional market approach. The model valuation creates a risk-neutral adjustment factor, achieved through the analysis of credit default swaps (CDS) which isolate the market’s view of credit risk
inherent within a particular security.

Click here to view Model Valuation Documentation


 

 
 
 

 


 

 






Evaluated prices and model valuation provided by Standard & Poor’s Securities Evaluations, Inc. (SPSE) is a part of S&P Capital IQ and a registered investment adviser with the U.S. Securities and Exchange Commission.  SPSE’s advisory services include market and model valuations of fixed income securities and other instruments, and analyses of certain U.S. and European fixed income securities using its proprietary Risk-to-Price scoring methodology.  SPSE is analytically and editorially independent from any other analytical group at Standard & Poor’s. Products and Services provided by SPSE may not be available in all countries or jurisdictions.

Analytic services and products provided by Standard & Poor’s are the result of separate activities designed to preserve the independence and objectivity of each analytic process. Standard & Poor’s has established policies and procedures to maintain the confidentiality of non-public information received during each analytic process. Standard & Poor's and its affiliates provide a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address.


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