Credit Ratings
Posted: 24 January 2015 05:42 AM   [ Ignore ]
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Hi,

I’m trying to get the credit ratings history for all US companies between 2005-2015. So, i’m at Compustat Monthly Updates - Ratings. I guess i have to provide all the company tickers but is there any way to get the rating date not just a monthly update of what the rating is?

What i mean is - i want the history of the rating changes. Is this possible?

Thanks in advance.

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Posted: 25 January 2015 09:00 AM   [ Ignore ]   [ # 1 ]
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hi Upper2,

Compustat Monthly Updates will give the rating at the end of each month. You could drop records where the ratings are unchanged relative to the prior month.

/* sort (needed for 'by gvkey' in datastep) */
proc sort data=cRatingsby gvkey datadate;run;

/* keep first record and changes */
data cRatingsChg;
set cRatings
by gvkey/* repeat by gvkey*/
retain prev_rating;
if 
first.gvkey then prev_rating ""/* clear prev rating for first record */
if rating ne prev_rating then output/* only keep first record and if rating changes */
prev_rating rating;
run

best regards,

Joost

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Posted: 25 January 2015 09:20 AM   [ Ignore ]   [ # 2 ]
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Thanks for your reply!

I guess compustat monthly updates is not what i’m looking for. Do i need daily or Capital IQ to get my hands on the exact date of rating changes?

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Posted: 25 January 2015 09:50 AM   [ Ignore ]   [ # 3 ]
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ok, I see.

I’ve not used Capital IQ data (or other ratings data). Markit would be a good source as well (they would have daily ratings and CDS spreads). My institution doesn’t have access to these though.

best regards,

Joost

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