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Summary of Amended Mapping of BCRA Credit Assessments under the Standardised Approach

Core Content

This report outlines the updated mapping of BCRA's credit assessments under the Standardised Approach (SA) in accordance with the Commission Implementing Regulation (EU) 2016/1799. The mapping exercise was conducted by the Joint Committee (JC) and aims to align BCRA's rating categories with the regulatory credit quality steps (CQS) for prudential purposes.

Main Points

• Executive Summary: The updated mapping tables remain unchanged from the version published on 11 November 2015. The mapping is not intended to be a comparison of methodologies between BCRA and other ECAIs, nor does it serve the purpose of the ESMA report under Regulation (EC) No 1060/2009. Instead, it reflects the correspondence between BCRA's rating categories and a regulatory scale for prudential risk assessment.

• Methodology: The mapping is based on the methodology outlined in the Implementing Regulation, which includes both quantitative and qualitative factors. Quantitative factors are derived from data collected after the initial submission of the draft Implementing Technical Standards (ITS) to the European Commission. Qualitative factors remain consistent with the previous version.

• Credit Rating Scales: BCRA has consolidated its credit rating scales into a global scale, with additional rating types introduced for sovereigns and certain corporate entities. The mapping is applied to the following scales:

  • Global long-term rating scale
  • Global short-term rating scale
  • Pension-insurance company long-term and short-term scales
  • Pension fund long-term scale
  • Guarantee fund long-term and short-term scales

• Mapping Process:

  • Quantitative Factors: Default rates are calculated using the long-term default rate as per Article 6 of the Implementing Regulation. Withdrawn ratings are weighted at 50%.
  • Qualitative Factors: These are used to adjust the initial mapping, especially for rating categories with insufficient quantitative data.
  • Short-term Ratings: Derived from the relationship between short-term and long-term ratings, with the most frequent CQS assigned to the related long-term categories used as a basis. In case of a tie, the most conservative CQS is selected.

Key Information

Global Long-Term Rating Scale Mapping

• Quantitative Stage: Default rates were calculated using the long-term default rate from Article 6 of the Implementing Regulation. Ratings such as AAA, AA, A, BBB, BB, and B were mapped to CQS 1–5 based on the number of rated items and their default status.
• Qualitative Stage: The meaning and relative position of rating categories were considered, especially for BB and B, which were aligned with CQS 4 and 5 respectively. Ratings CCC, CC, C, and D were mapped to CQS 6.

Global Short-Term Rating Scale Mapping

• Short-term ratings are derived from the internal relationship between short-term and long-term ratings as described in Article 13 of the Implementing Regulation.
• The risk weights for CQS 4–6 are all 150% under Article 131 of the CRR, leading to the allocation of CQS 4 for all short-term ratings except those with higher risk.

Additional Rating Scales

The mapping for other BCRA rating scales (Pension-insurance company, Pension fund, and Guarantee fund) is based on the meaning and relative position of their rating categories compared to the global long-term and short-term scales. The JC used the same methodology as for the global scales, assigning the most frequent or most conservative CQS accordingly.

Conclusion

The mapping exercise ensures consistency and alignment of BCRA's credit ratings with the regulatory framework for prudential purposes. It reflects both quantitative data and qualitative judgments, maintaining the integrity of the rating system while addressing the limitations of data availability for certain categories. The final mapping tables are included in Annex III of the revised draft ITS and are supported by detailed explanations in the report.