EBA欧洲银行-Mapping-Report-RAEX-28JC-2017-3629_13页_414kb

报告摘要

Summary of the Mapping of Rating-Agentur Expert RA GmbH's Credit Assessments under the Standardised Approach

Core Content

This report outlines the mapping of credit assessments from Rating-Agentur Expert RA GmbH (RAEX) under the Standardised Approach (SA) for credit risk purposes, as per the Commission's Implementing Regulation (EU) 2016/1799 and Regulation (EU) No 575/2013 (CRR). The mapping is designed to align RAEX’s rating categories with a regulatory credit quality scale (CQS) for prudential purposes.

The mapping process considers both quantitative factors (based on historical default data) and qualitative factors (related to the meaning and relative position of rating categories). The report emphasizes that the mapping is not a comparison of methodologies between RAEX and other ECAIs, nor does it serve as a tool for investors to compare all credit ratings. Instead, it ensures that credit risk assessments under the SA reflect an appropriate level of prudence, especially for ECAIs with limited quantitative data.

Main Rating Scales

RAEX provides two distinct rating scales:

International credit rating scale
International reliability rating scale

These scales are used to assess different types of entities:

Exposure Class	Credit Rating	Rating Scale
Long-term ratings	Long-term issuer credit rating	International credit rating scale
Central governments or central banks	Sovereign government credit rating	International credit rating scale
Regional Governments or Local Authorities	Long-term issuer credit rating	International credit rating scale
Public Sector Entities	Long-term issuer credit rating	International credit rating scale
Multilateral Development Banks	Long-term issuer credit rating	International credit rating scale
Corporates	Long-term issuer credit rating	International credit rating scale
Corporates	Reliability credit rating	International reliability credit rating scale
Institutions	Long-term issuer credit rating	International credit rating scale
Institutions	Reliability credit rating	International reliability credit rating scale

Key Methodology and Findings

1. Quantitative Factors

The long-run default rates for each rating category were calculated using the Central Repository of credit rating data (CEREP).
Rating categories D and E are considered default situations and do not require a default rate calculation.
The initial mapping was based on the minimum number of rated items and observed default events.
Quantitative data was limited for RAEX, so the mapping was based on the default benchmark associated with the equivalent category in the international rating scale.

2. Qualitative Factors

Qualitative factors were considered in the final mapping to ensure that the meaning and relative position of each rating category were consistent with the regulatory scale.
RAEX defines default as the non-fulfillment of any type of financial or insurance liabilities on time and in full.
The mapping for all rating categories was ultimately assigned to CQS 1 through CQS 6, with the final CQS being the same as the initial mapping in most cases.

3. Final Mapping

The final mapping for RAEX’s international credit rating scale is as follows:

Credit Assessment	Credit Quality Step (CQS)
AAA	1
AA	1
A	2
BBB	3
BB	4
B	5
CCC	6
CC	6
C	6
D	6
E	6

For the international reliability rating scale, the mapping is indirectly derived from the international credit rating scale, with the same CQS assigned to each category.

Key Information

RAEX is an eligible ECAI registered with ESMA on 1 December 2015.
The mapping process is based on Article 6 and Article 7 of the Implementing Regulation, which allow for a more flexible approach for ECAIs with limited quantitative data.
The final mapping reflects a prudent approach, considering the meaning and relative position of rating categories.
The mapping tables are provided in Appendix 4 of the report.
Updates to the mapping may be necessary if additional quantitative data becomes available in the future.