EBA欧洲银行-28Mapping-Report-Axesor29_25页_751kb

Summary of the Mapping of Axesor SA Credit Assessments under the Standardised Approach

Core Content

This report outlines the mapping of Axesor SA's credit assessments under the Standardised Approach (SA) for credit risk, as mandated by the CRR (Regulation (EU) No 575/2013). The mapping is conducted by the Joint Committee (JC) using the methodology specified in the Commission's Implementing Regulation (EU) 2016/1799, which includes the provisions of Article 136(2) of the CRR.

The mapping is not intended to be a comparison of rating methodologies or a report under the Credit Rating Agencies Regulation (CRA), but rather a correspondence of Axesor's rating categories to a regulatory credit quality scale (CQS) for prudential purposes. This implies that prudence may be applied where quantitative evidence is insufficient to determine the risk level of the credit assessments.

Main Points

• Axesor's Status: Axesor is a registered ECAI since 1 October 2012 and provides Long-term corporate ratings that can be used under the SA.
• Mapping Purpose: The mapping aims to align Axesor's credit assessments with the CQS for prudential purposes, ensuring appropriate risk weighting.
• Methodology: The mapping is based on the methodology from the Implementing Regulation (EU) 2016/1799, which uses a combination of quantitative and qualitative factors.
• Quantitative Factors: Default rates were calculated using the long-run default rate benchmarks from the international rating scale. Due to insufficient data, the JC applied these benchmarks to assign CQS.
• Qualitative Factors: These were used to challenge the initial mapping, especially in rating categories where quantitative evidence is limited. The JC considered Axesor's default definition and the relationship between credit scorings and ratings to refine the mapping.
• Credit Scoring: Axesor assigns credit scorings as part of its rating process, which are used to estimate the distribution of hypothetical credit ratings. These scorings are weighted based on financial and business risk components.
• Default Definition: Axesor defines default as the failure to meet any economic obligation or the certainty that such failure will occur. This includes bankruptcy, receivership, and other legal procedures.
• Mapping Table: The final mapping of Axesor's Global rating scale to CQS is as follows:

Key Information

• Quantitative Limitations: The JC noted that the data from CEREP was limited, especially for the period 2012–2013, and therefore relied on default rate benchmarks from the international rating scale.
• Qualitative Adjustments: Axesor's default definition and the relationship between credit scorings and ratings were used to challenge the initial mapping. The JC found that the qualitative factors supported the initial mapping, reinforcing its prudence.
• Credit Scoring and Rating Relationship: Axesor’s credit ratings are derived from a combination of financial and business risk scores. The mapping process used this relationship to estimate the distribution of hypothetical ratings.
• Sector Distribution: The majority of rated and scored items belong to the sectors "Manufacturing", "Construction", "Wholesale and retail trade", and "Holding activities", representing more than 60% of the total.
• Default Rates: The observed default rates for Axesor's rated items were significantly lower than the benchmark-implied default rates, especially during the 2007–2009 period, which was marked by economic recession.
• Mapping Consistency: The mapping is consistent with the meaning and relative position of the rating categories in the international scale, and no changes were proposed after considering qualitative factors.

Conclusion

The mapping of Axesor's credit assessments to the CQS was based on both quantitative and qualitative factors. Despite the lack of sufficient data for direct default rate calculations, the JC applied default rate benchmarks and used the relationship between credit scorings and ratings to estimate the hypothetical distribution. The final mapping was found to be sufficiently prudent and consistent with the international rating scale, and no changes were proposed after the qualitative review.