EBA欧洲银行-28Mapping-Report-CERVED29_20页_612kb

Summary of the Mapping of Cerved Rating Agency S.p.A.'s Credit Assessments under the Standardised Approach

Core Content

This document outlines the mapping of Cerved Rating Agency S.p.A. (CERVED) credit assessments under the Standardised Approach (SA) for credit risk purposes. The mapping is based on the methodology defined in the Commission's Implementing Regulation (EU) 2016/1799, which establishes the Implementing Technical Standards (ITS) for mapping ECAI credit assessments under Articles 136(1) and (3) of Regulation (EU) No 575/2013 (CRR).

The mapping is not intended to be a direct comparison between CERVED and other ECAIs, nor is it a report as required under the CRA Regulation. Instead, it represents the correspondence of CERVED's rating categories with a regulatory credit quality scale (CQS) for prudential purposes.

Main Points

• Purpose of Mapping: The mapping is used to align CERVED's credit ratings with the regulatory credit quality steps for use in the Standardised Approach.
• Methodology: The mapping is derived using a combination of quantitative and qualitative factors, as specified in the ITS.
• Credit Assessment Scale: CERVED uses a Corporate Long-Term Rating Scale with specific categories (A1.1, A1.2, A1.3, A2.1, A2.2, A3.1, B1.1, B1.2, B2.1, B2.2, C1.1, C1.2, C2.1).
• Data Sources: CERVED's public and private ratings were used, with public ratings being the only ones considered for regulatory purposes due to their compliance with the CRA Regulation.
• Quantitative Factors: Default rates were calculated based on historical data, but for some rating categories, the number of ratings was insufficient. In such cases, the long-run default rate benchmark from the international rating scale was used.
• Qualitative Factors: The meaning and relative position of the rating categories were considered, especially where quantitative data was limited.
• Withdrawn Ratings: Withdrawn ratings were weighted by 50% for the calculation of default rates.
• Default Definition: CERVED's default definition includes legal defaults (bankruptcy, debt restructuring) and non-legal defaults (trade protests, judicial actions), with legal defaults representing 39% of total defaults.

Key Information

• Mapping Table:

  Credit Assessment	Credit Quality Step
  A1.1	1
  A1.2	1
  A1.3	1
  A2.1	2
  A2.2	2
  A3.1	2
  B1.1	3
  B1.2	3
  B2.1	4
  B2.2	4
  C1.1	5
  C1.2	6
  C2.1	6

• Qualitative Rationale for Mapping:

  • A1.1 – A1.3: Reflect minimal or very low credit risk, consistent with CQS 1.
  • A2.1 and A2.2: Reflect low credit risk, consistent with CQS 2.
  • A3.1: Reflects low credit risk and good capacity to meet financial commitments, consistent with CQS 2 and 3.
  • B1.1 and B1.2: Reflect moderate credit risk, consistent with CQS 3.
  • B2.1 and B2.2: Reflect credit risk not far but below average, consistent with CQS 4.
  • C1.1: Reflects high credit risk, consistent with CQS 5.
  • C1.2 and C2.1: Reflect very high credit risk, consistent with CQS 6.

• Default Rates: The weighted default rates for the rating categories are calculated based on a combination of public and private ratings. These rates are used to support the mapping process.

• Regulatory Considerations: The mapping process aims to balance prudential concerns with market dynamics, especially for newer ECAIs with limited quantitative data.

Conclusion

The mapping of CERVED's credit assessments under the Standardised Approach is based on a comprehensive analysis of both quantitative and qualitative factors. It aims to provide a prudential alignment of CERVED's rating categories with the regulatory credit quality steps, ensuring appropriate risk weighting for financial institutions.