C-Score

Proprietary credit Quality factor

C-Score – a timely measure of market-implied credit quality

• Model-based measure that reflects market participants’ assessment of credit risk
• Measured on a 0-100 scale - more granular than CRA ratings
• Daily C-Scores are more timely and responsive indicators of changes in issuer quality and market environment
• Offers the opportunity to exploit dislocations in credit quality
• Better suited to higher frequency Factor Investing strategies than conventional quality signals, which may be slower-moving or operate with a time lag