Fixed income credit analysis

Invocation Protocol

Non-Negotiables (see AGENTS.md): no analysis without a Path Sheet · no numbers without a doc §section citation (engine_undefined otherwise) · no report outside dev/templates/ · no delivery without a QA Verdict · no invented dimensions or vocabulary · follow the path's Playbook (dev/engine/path-playbooks/<path_id>.md).

When this Skill is invoked:

1. Path-sheet-driven (preferred). If the user message carries a Path Sheet produced by the credit-analysis-router skill, read dev/engine/path-playbooks/<path_id>.md first, then the engine documents in the sheet's engine_reading_order order, and validate against its quality_gates.
2. Explicit registered path_id. If the user explicitly names a registered path (e.g., "run WP-RO-01"), treat that as the path selection: load the Playbook, then the core set — dev/engine/engine-overview.md + dev/engine/dual-track-methodology.md — plus any topic-specific doc the request names.
3. No Path Sheet and no explicit path_id (strict). If the request would produce a credit conclusion/rating/score, STOP — do not analyze. Route through the credit-analysis-router skill first, or ask the Q1–Q4 questions (role / object / depth / data) yourself to pick a path from dev/engine/work-path-registry.md. Exception: pure knowledge questions (e.g., "what is the SRI formula?", "explain the veto mechanism") may be answered directly from engine documents with citations.
4. Use only thresholds, weights, rating mappings, and veto rules found in those documents.
5. For every quantitative judgment, cite the source document and section.
6. If a required threshold, weight, or mapping is missing from the engine documents, output engine_undefined and do not invent a value.
7. Do not invoke Mode B or generate external-data values unless the user has explicitly provided a CSV upload, API endpoint, or MCP server. Treat Mode B fields as data gaps until then.
8. Before delivering: hand the analysis artifact to credit-report-builder (if a report is requested) and obtain a passing QA Verdict from credit-qa-verifier. No verdict, no delivery.

Fixed Income Credit Analysis Engine v0.0.7

Overview

A systematic methodology for evaluating corporate credit quality in fixed income markets. The engine operates in three layers: (1) a Mosaic Engine that assembles fragmented public data into coherent signals; (2) a Dual-Track Engine combining industry-specific multi-layer analysis pyramids with market-based pricing signals; and (3) a System-Intelligence Layer that models cross-industry contagion, portfolio concentration, and a market-wide Systemic Risk Index (SRI). Combines multi-stakeholder perspectives into a unified assessment framework.

Core principles:

1. Traditional financial analysis systematically fails in policy-driven, technology-barrier, and asset-lease industries. The heaviest credit factor is rarely on the balance sheet.
2. External credit ratings consistently lag true credit deterioration by 17+ months.
3. Mosaic theory: Individual public data fragments are meaningless alone; assembled together they form coherent signals.
4. Information completeness theory: Data gaps are not defects — they are risk signals. "We don't have this data" itself tells the user something meaningful.

When to Use

• Building an industry credit analysis framework from scratch
• Evaluating a specific company for lending or bond investment decisions
• Constructing a multi-dimensional investment dashboard (relative value + sector allocation fit + curve positioning + event calendar)
• Assembling fragmented public data into a coherent credit assessment using mosaic theory
• Retroactively validating analytical frameworks against historical defaults
• Evaluating sovereign-linked or government-supported credit → read dev/engine/external-support-framework.md
• Conducting ESG/governance risk scans and fraud detection → read dev/engine/esg-framework.md and dev/engine/governance-fraud-risk.md
• Performing LGD/recovery rate analysis for default scenarios → read dev/engine/lgd-recovery-framework.md
• Assessing external support (government, parent company) impact on creditworthiness → read dev/engine/external-support-framework.md
• Evaluating financial bonds → read dev/engine/financial-bond-framework.md
• Analyzing holding companies → read dev/engine/holding-company-framework.md
• Assessing cross-industry contagion risk from a stressed issuer or sector
• Evaluating portfolio concentration across industry, region, rating, tenor, and funding-channel dimensions
• Computing the Systemic Risk Index (SRI) and interpreting the four-level thermometer
• Mapping an industry to one of the six analytical paradigms (cyclical, defensive, growth, regulated-utility, financial, sovereign-linked)

Mandatory Density Rules (mandatory)

• Critical dimension signal density <20% → MUST NOT output a numeric score for that dimension; state insufficient information to evaluate and list the missing signals.
• Weighted-average density across scored dimensions <50% → MUST NOT output a final letter rating; output a qualitative directional assessment plus a prioritized gap list.
• Density 50–80% → MAY rate but MUST label medium confidence and widen the implied interval by ±1 notch.
• The completeness report is mandatory for every analysis; omitting it is a protocol violation.

Full confidence/density model and gap-to-risk mapping: references/mosaic-engine-architecture.md (threshold single source: dev/engine/mosaic-engine.md).

Mode B: External Data Source Adapter (Placeholder)

Mode B guardrail: Unless the user explicitly provides a CSV upload, API endpoint, or MCP server, do not invoke Mode B interfaces or generate external data values. When Mode B is not active, all Mode B fields must be treated as data gaps.

Defined but not implemented. Adapter contract (query_bond_analytics / query_market_data / query_industry_benchmark) and connection priority (CSV > REST API > MCP > DB): dev/engine/mosaic-engine.md.

Veto & Rating Ceiling (mandatory)

• One-vote veto: When any analysis layer triggers a one-vote veto condition, the issuer's rating ceiling is locked at CCC and may not be raised. Veto conditions for each layer: dev/engine/industry-framework.md §5.
• Rating mapping must use the official 12-notch table (dev/engine/dual-track-methodology.md §6); do not create custom notches.
• For sovereign-linked entities (P6): fiscal capacity and institutional strength govern, and support willingness determines the final notch (dev/engine/external-support-framework.md).

Two-Track Parallel Structure (Core)

Track A (fundamental, qualitative+scoring, L1 heaviest → L4 lightest) and Track B (market pricing: credit spreads / volatility / fund flows / rating migration) run in parallel, then feed a Cross-Comparison Matrix. Consensus reinforces; divergence is the most valuable insight.

When tracks diverge, prioritize Track A (auditable financial facts) over Track B (external ratings).

Full pyramid weights, Track-B thresholds, and the cross-comparison matrix: references/industry-scoring.md and dev/engine/dual-track-methodology.md.

System-Intelligence Layer

Aggregates issuer assessments into portfolio/market signals: cross-industry contagion (19×19 matrix), five-dimensional concentration, and the Systemic Risk Index SRI = Σ(industry_risk_score × industry_weight_pct) (scale 0–3+).

SRI thermometer: 🟢 normal (<0.5), 🟡 watch (0.5–1.0), 🟠 alert (1.0–1.8), 🔴 danger (≥1.8).

Full specification: references/system-intelligence.md and dev/engine/systemic-warning-framework.md.

Key Design Principles

1. Financial analysis is NEVER the heaviest layer. The heaviest factor is structural/external.
2. Each industry has a different heaviest factor determined by 10-dimension scoring.
3. Don't jump layers. L1 must pass before L2 is meaningful.
4. L4 validates, never overrules. Poor financials with strong upper layers = may be investing through cycle. Strong financials with weak upper layers = MORE dangerous (peak cycle or fraud).
5. Public data is sufficient across the 13 covered industries.
6. Track B is independent, not subordinate. Divergence generates the most valuable questions.
7. When tracks clash, prioritize auditable financial facts over external ratings.
8. Data gaps are not defects — they are risk signals. Every analysis includes a completeness report.
9. The framework identifies structural unsustainability but cannot predict default timing or specific triggers.

Chaining

• Upstream: credit-analysis-router — consumes its Path Sheet (see Invocation Protocol).
• Output: After analysis completes, output the Analysis Artifact (schema at dev/engine/pipeline-contract.md §2.2); path_id is inherited from the Path Sheet.
• Downstream (REQUIRED NEXT SUB-SKILL): credit-report-builder — hand the Analysis Artifact to this skill for report assembly; this skill does not perform report assembly.

References

Details have been moved to references/ (single source of truth remains dev/engine/ engine documents):

• references/mosaic-engine-architecture.md — Mosaic Engine Mode A: signal confidence / density assessment / gap mapping / completeness output
• references/industry-scoring.md — Track A industry pyramid · six paradigms (P1-P6) · D1-D10
• references/system-intelligence.md — Cross-industry contagion · five-dimensional concentration · SRI thermometer
• references/stakeholder-paths.md — Multi-stakeholder views · portfolio manager dashboard · Path Sheet consumption guide
• dev/.claude/skills/credit-analysis-router/SKILL.md — Requirement interpretation / routing layer, outputs Path Sheet
• dev/engine/work-path-registry.md — Work path registry (path sheet single source of truth)

Version History

Version	Date	Changes
0.1.0	2026-07-07	Initial release. 10-dim scoring, 4-layer pyramid, dual-track, 7 industries, solar forward-validated
0.3.0	2026-07-08	Mosaic engine architecture (Mode A+B). Multi-stakeholder coverage map. P0 bond investment dashboard. Signal confidence + density metrics. Completeness reporting. Mode B adapter interface (placeholder).
0.4.0-alpha	2026-07-08	LGD/recovery, external support, outlook/monitoring, LGFV, ESG + governance/fraud, non-credit overlay, financial bond, holding company frameworks. Layered output. Multi-stakeholder coverage completed.
0.7.0-alpha	2026-07-13	System-intelligence layer: contagion theory/matrix, five-dimensional concentration, systemic warning (SRI), 13-industry coverage, six analytical paradigms.
0.7.1-release	2026-07-15	Dev-stack reorganization finalized; validation artifacts separated (root validation/, never in snapshots). Version headers promoted.
0.7.4	2026-07-15	SKILL.md slimmed to a navigator (≤150 lines); detail sunk to references/ (mosaic / industry / system-intelligence / stakeholder). Invocation Protocol is now path-sheet-driven (engine_reading_order). LGV→LGFV naming unified.
v0.0.1	2026-07-18	International release: 19-industry GICS contagion matrix, six international paradigms (P1-P6), six buy-side roles, S&P/Moody's/Fitch rating alignment, IFRS/US GAAP framework. LGFV framework retired (China-specific).
v0.0.2	2026-07-21	Paradigm taxonomy unified on industry-framework P1-P6; references rebuilt (ghost LGFV/Corporate-Financing references removed); outlook migration matrix completed for all 18 tiers.