Summary
Credit Spreads Pro 2.0 is smartZebra's interest rate engine for group financing, tax and accounting. It combines three things practitioners normally source separately: risk-free yield curves for the major economies (Svensson and Nelson-Siegel), a synthetic rating tool that scores unlisted subsidiaries across five credit assessment areas with weightings you control, and credit spreads matched to currency, rating, sector and tenor — drawn from a database of more than 100,000 active and historical corporate bonds, with maturities from 1 to 30 years across 15 sectors.
The result is the CUP-based logic that OECD Chapter X and German case law (BFH I R 4/17) expect: a maturity- and currency-matched base rate plus a rating-appropriate spread, evidenced as of the pricing date, with source timestamps and the calculation logic exposed rather than hidden. Version 2.0 is built around the point most teams lose time on — turning a borrower's financials into a rating, and a rating into a documented range you can hand to an auditor.
What the session covers?
- From financials to rating — deriving a synthetic and shadow rating for an unrated subsidiary, and where implicit group support enters the picture
- Setting the base rate — pulling maturity- and currency-matched government yields instead of eyeballing a curve
- Benchmarking the spread — filtering the bond universe by rating, tenor, currency and sector, and reading the resulting range
- Custom loan terms — interpolating to the actual tenor, currency and structure of your loan rather than the nearest standard bucket
- Documentation — the Excel and PDF exports that carry the pricing date, bond sample, range and chosen point
- Beyond loans — cash pooling, financial guarantees, thin-capitalisation limits, and IFRS 16 / 9 / 3 lease and financial-instrument measurement
- Live Q&A with Peter Schmitz
Who should watch?
Transfer pricing and tax teams pricing or defending intercompany financing; valuation professionals deriving cost of debt for WACC; accountants measuring leases and financial instruments under IFRS; and advisors who would rather not rebuild a Bloomberg query every time a loan is granted.
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