EBA欧洲银行-28Mapping-Report-RAEX29_13页_416kb

报告摘要

Summary of the Mapping of RAEX's Credit Assessments

Core Content

This document outlines the process by which the Joint Committee (JC) mapped the credit assessments of Rating-Agentur Expert RA GmbH (RAEX) under the Standardised Approach (SA) in accordance with the Commission's Implementing Regulation (EU) 2016/1799. The mapping aims to align RAEX's rating categories with a regulatory credit quality scale (CQS) for prudential purposes.

Main Objectives

To provide a mapping of RAEX's credit assessments to the regulatory CQS for use in calculating risk weights under the SA.
To ensure that the mapping reflects both quantitative and qualitative factors, while also considering the need for prudence in cases of limited data.
To support the entry of new ECAIs into the market by relaxing the quantitative requirements where necessary.

Key Information

RAEX Overview

RAEX is a credit rating agency registered with ESMA on 1 December 2015 and qualifies as an eligible External Credit Assessment Institution (ECAI).
It provides multiple types of credit ratings, including:
- Long-term issuer credit rating
- Sovereign government credit rating
- Reliability credit rating (specific to insurance companies)

Rating Scales

RAEX uses two rating scales:
- International credit rating scale
- International reliability rating scale

Mapping Methodology

The mapping is based on the methodology outlined in the Implementing Regulation, which includes:
- Quantitative factors: Long-run default rates, number of rated items, and observed defaults.
- Qualitative factors: Meaning and relative position of rating categories, time horizon, and stability.
For rating categories with insufficient quantitative data (e.g., D and E), the mapping was determined based on the meaning and relative position of the categories.

Mapping Results

International Credit Rating Scale

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

International Reliability Rating Scale

Credit Assessment	Corresponding Long-Term Credit Rating	Initial CQS	Final CQS	Reason for Mapping
AAA	AAA	1	1	Based on equivalent credit rating
AA	AA	1	1	Based on equivalent credit rating
A	A	2	2	Based on equivalent credit rating
BBB	BBB	3	3	Based on equivalent credit rating
BB	BB	4	4	Based on equivalent credit rating
B	B	5	5	Based on equivalent credit rating
CCC	CCC	6	6	Based on equivalent credit rating
CC	CC	6	6	Based on equivalent credit rating
C	C	6	6	Based on equivalent credit rating
D	D	6	6	Based on equivalent credit rating
E	E	6	6	Based on equivalent credit rating

Key Considerations

The mapping does not constitute a comparison of rating methodologies between RAEX and other ECAIs.
It is intended to be a correspondence between RAEX's rating categories and a regulatory scale for prudential purposes.
Where quantitative data is insufficient, the JC applied prudence and relied on qualitative assessments.
The definition of default used by RAEX is consistent with the benchmark definition in the Implementing Regulation, although no actual default events were recorded.
RAEX's reliability rating scale is treated as comparable to its credit rating scale, with the mapping derived from the relationship between the two scales.

Conclusion

The mapping of RAEX's credit assessments ensures consistency with the regulatory framework for credit risk under the CRR. It reflects both quantitative and qualitative assessments, and in the absence of sufficient data, prudence has been applied to align the ratings with the CQS. The final mapping is based on the meaning and relative position of the rating categories, with no adjustments required due to the lack of data.

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