EBA欧洲银行-28Mapping-Report-Fitch29_38页_1000kb

Summary of Amended Mapping of Fitch Ratings' Credit Assessments under the Standardised Approach

Core Content

This report outlines the mapping of Fitch Ratings' credit assessments under the Standardised Approach (SA) as per the methodology defined in Commission Implementing Regulation (EU) 2016/1799. The mapping is based on the quantitative and qualitative factors specified in the regulation, with the goal of aligning Fitch's rating categories with a regulatory credit quality step (CQS) scale for prudential purposes.

Main Ratings Scales and Mapping

The mapping process covers several rating scales used by Fitch:

• Long-term issuer default ratings scale
• Corporate finance obligations long-term ratings scale
• Long-term international insurer financial strength (IFS) ratings scale
• Derivative counterparty ratings scale
• Short-term ratings scale
• Short-term IFS ratings scale

The mapping tables are detailed in Annex III of the revised draft Implementing Technical Standards (ITS) and Appendix 4 of the report.

Key Points

1. Mapping Methodology

• The mapping methodology is based on the Implementing Regulation (EU) 2016/1799, which uses a combination of quantitative and qualitative factors.
• The quantitative factors include long-run and short-run default rates, which are compared to benchmark intervals.
• The qualitative factors are used to challenge the initial mapping, especially for rating categories where quantitative data is insufficient or does not reflect the expected risk profile.

2. Rating Categories and CQS Mapping

3. Short-term Ratings Mapping

The short-term ratings are mapped using the internal relationship between short-term and long-term ratings. The results are as follows:

• F1+: Mapped to CQS 1
• F1: Mapped to CQS 2
• F2: Mapped to CQS 3
• F3: Mapped to CQS 3
• B: Mapped to CQS 4
• C: Mapped to CQS 4
• RD/D: Mapped to CQS 4

The rationale for this mapping is based on the frequency and relative position of the long-term ratings and the risk weights assigned to CQS 4–6, which are all equal to 150% under Article 131 of the CRR.

4. Additional Rating Scales

• Corporate finance obligations long-term ratings scale: Mapped based on the meaning and relative position of the rating categories. The only exception is B, which is mapped to CQS 6 due to the presence of defaulted issuers.
• Long-term international IFS ratings scale: Mapped using the meaning and relative position of the rating categories, similar to the long-term issuer default scale.
• Derivative counterparty ratings scale: Mapped based on the meaning and relative position of the rating categories, with the same methodology as the long-term issuer default scale.
• Short-term IFS ratings scale: Mapped using the meaning and relative position of the short-term ratings, similar to the short-term issuer ratings scale.

5. Regulatory Context

• The mapping is not intended to be a comparison of rating methodologies between Fitch and other ECAIs.
• It is not the same as the mapping report required by Article 21(4b) of the CRA.
• The mapping is meant to reflect the correspondence between Fitch's rating categories and a regulatory scale for prudential purposes.

6. Quantitative Data and Benchmarks

• The quantitative data used in the mapping comes from the ESMA Central Repository (CEREP).
• The long-run default rate benchmark is from point (a) of Article 14 of the Implementing Regulation.
• The short-run default rate benchmark is from point (b) of Article 14 of the Implementing Regulation.
• Withdrawn ratings are weighted at 50%.

7. Qualitative Considerations

• Qualitative factors are particularly important for AAA, AA, and B rating categories.
• For AAA and AA, the meaning and relative position align with CQS 1.
• For B, the meaning and relative position suggest a mapping to CQS 5, but due to the risk weight equivalence, it is mapped to CQS 4.

8. Regulatory Alignment

• The mapping aims to ensure consistency across different rating scales and aligns with the prudential requirements of the CRR.
• The JC considered the need to balance prudential and market concerns, especially for newer ECAIs with limited quantitative data.

9. Conclusion

The mapping remains consistent with the version published on 11 November 2015. It reflects the updated quantitative information collected after the submission of the draft ITS and uses both quantitative and qualitative factors to determine the appropriate CQS for each Fitch rating category. The final mapping has been reviewed and finalized based on the internal relationships between rating scales and the risk weights defined in the CRR.