EBA欧洲银行-28Mapping-Report-GBB29_16页_543kb

Summary of the Mapping of GBB Credit Assessments under the Standardised Approach

Core Content

This report outlines the mapping of GBB-Rating Gesellschaft fuer Bonitaetsbeurteilung mbH's (GBB) credit assessments under the Standardised Approach (SA) in accordance with the European Union's Capital Requirements Regulation (CRR). The mapping is conducted by the Joint Committee and is based on the Commission's Implementing Regulation (EU) 2016/1799, which defines the methodology for aligning ECAI credit assessments with a regulatory credit quality scale (CQS). The purpose of the mapping is to ensure that GBB's credit ratings can be appropriately integrated into the prudential framework for risk-weighted assets.

Main Points

1. Purpose of the Mapping

• The mapping is not intended to be a comparison of methodologies between GBB and other ECAIs, nor does it serve the same purpose as the mapping reported by ESMA under the CRA Regulation.
• It aims to provide a regulatory correspondence of GBB's rating categories with a CQS, which is used for calculating risk weights under the SA.
• An appropriate degree of prudence may be applied where there is insufficient quantitative evidence to determine the underlying risk.

2. GBB's Credit Ratings and Rating Scales

• GBB provides one credit rating: Long-term credit rating (issuer rating), which is used for institutions and corporates.
• The rating scale includes the following categories: AAA, AA, A, BBB, BB, B, CCC, CC, C, D.
• Each category has a specific meaning, such as "highest financial standing" for AAA and "moratorium / insolvency" for D.

3. Methodology

• The mapping process uses a combination of quantitative and qualitative factors, as well as benchmarks from the ITS.
• The initial mapping is based on the long-run default rate (LR DR), calculated using data from the ESMA Central Repository (CEREP).
• In the absence of sufficient data, the qualitative factors are used to review and potentially adjust the mapping.
• The mapping is finalized in Annex III of the Implementing Technical Standards and is reflected in the table shown in Figure 1.

4. Key Findings

• The default definition used by GBB is consistent with the benchmark definitions in the ITS.
• The default rates of GBB are compared with those of S&P, and the results suggest that GBB's default definition is at least as strict as S&P's.
• The mapping of the Global long-term rating scale is as follows:

Key Information

Quantitative Factors

• The long-run default rate is calculated based on observed default events and the number of rated items.
• For ratings with insufficient data (e.g., AAA/AA, A, BBB, BB, B, CCC-C), the mapping is determined by comparing with the equivalent categories in the international rating scale.
• Withdrawn ratings are weighted at 50% for the calculation.
• The default rate for GBB's ratings is generally higher than S&P's, indicating a more conservative approach.

Qualitative Factors

• Qualitative factors are considered in the review stage, especially where quantitative data is limited.
• The meaning and relative position of each rating category are aligned with the international CQS.
• No specific adjustments were made to the initial mapping due to insufficient quantitative evidence.

Regulatory Context

• The mapping is aligned with the CRR and the Implementing Regulation.
• The Joint Committee ensures that the mapping reflects a balance between prudential concerns and market dynamics.
• Updates to the mapping may be required as more quantitative data becomes available.

Conclusion

The mapping of GBB's credit assessments is a structured process that aligns its rating categories with the regulatory credit quality scale (CQS) under the SA. The methodology combines quantitative default rate analysis with qualitative considerations, ensuring that the final mapping reflects both the risk profile and the regulatory requirements. The mapping table is finalized and included in Annex III of the Implementing Technical Standards, with no significant adjustments made due to the lack of sufficient quantitative data.