EBA欧洲银行-Mapping-Report-HRR-28JC-2017-3329_16页_394kb

Summary of HR Ratings de Mexico, S.A. de C.V. Credit Assessments Mapping

Core Content

This document outlines the mapping of credit assessments from HR Ratings de Mexico, S.A. de C.V. (HR Ratings) under the Standardised Approach (SA) for credit risk, as defined in the CRR (Regulation (EU) No 575/2013) and the Implementing Regulation (EU) 2016/1799. The mapping is intended to align HR Ratings' credit rating categories with a regulatory credit quality scale (CQS), enabling the application of appropriate risk weights in accordance with prudential requirements.

Main Views

• Mapping Purpose: The mapping is not a direct comparison of rating methodologies between HR Ratings and other ECAIs, but rather a correspondence between HR Ratings' rating categories and a regulatory CQS scale for prudential purposes.
• Methodology: The mapping is based on the methodology outlined in the Implementing Regulation, combining quantitative and qualitative factors.
• Quantitative Factors: The calculation of long-run default rates is used to determine the initial mapping. However, due to limited data, the mapping for HR Ratings is adjusted to reflect a more prudent approach.
• Qualitative Factors: These are considered in the final review of the mapping, especially where quantitative evidence is insufficient. The qualitative meaning and relative position of each rating category are taken into account to ensure alignment with regulatory expectations.
• Short-Term Ratings: The mapping for short-term ratings is derived indirectly from the long-term scale using the internal relationship between the two scales, as specified in Article 13 of the Implementing Regulation.
• Risk Weights: The CQS 4 to 6 are associated with a 150% risk weight, which influences the final mapping for short-term ratings.

Key Information

HR Ratings Credit Ratings and Rating Scales

HR Ratings provides both long-term and short-term credit ratings, which are assigned to two distinct rating scales:

• Global Long-Term Rating Scale: This includes ratings from HR AAA(G) to HR D(G), with each rating category associated with a specific meaning and credit risk level.
• Global Short-Term Rating Scale: This includes ratings from HR+1(G) to HR D(G), with a focus on short-term payment capacity and risk.

Mapping of Global Long-Term Rating Scale

The mapping of the long-term rating scale was carried out in two stages:

1. Initial Mapping Based on Quantitative Factors:

   • Default rates were calculated using the number of defaulted and non-defaulted rated items, along with the prior expectation of equivalent rating categories in the international scale.
   • HR AAA(G)/HR AA(G)/HR A(G)/HR BBB(G)/HR BB(G)/HR B(G) are mapped to CQS 1 to 5, respectively.
   • HR C(G) and HR D(G) are mapped to CQS 6, as they exhibit a high probability of default.

2. Final Mapping After Qualitative Review:

   • Qualitative factors were used to ensure that the meaning and relative position of each rating category align with the regulatory CQS.
   • The mapping was confirmed for all rating categories, with no changes proposed based on the qualitative analysis.

Mapping of Global Short-Term Rating Scale

• The short-term ratings are indirectly mapped using the internal relationship between long-term and short-term rating scales.
• The CQS for each short-term rating is determined based on the most frequent CQS associated with the corresponding long-term rating category.
• In cases of ambiguity, the most conservative CQS is selected.
• The final mapping for short-term ratings is as follows:
  • HR+1(G): Mapped to CQS 1.
  • HR1(G): Mapped to CQS 1.
  • HR2(G): Mapped to CQS 2.
  • HR3(G): Mapped to CQS 3.
  • HR4(G): Mapped to CQS 4.
  • HR5(G): Mapped to CQS 4.
  • HR D(G): Mapped to CQS 4.

Regulatory Considerations

• The mapping is aligned with the prudential requirements of the CRR, ensuring that appropriate risk weights are applied.
• The Joint Committee (JC) has considered the need to balance prudential and market concerns, especially for newer ECAIs with limited quantitative data.
• The mapping is subject to updates if additional quantitative data becomes available, as outlined in the revised draft ITS.

Conclusion

The mapping of HR Ratings' credit assessments under the Standardised Approach has been completed in accordance with the Implementing Regulation and CRR. The process involves both quantitative and qualitative analysis, with the final mappings ensuring alignment with regulatory credit quality steps. The mapping is intended to support the consistent application of risk weights and to reflect the prudential considerations of the European regulatory framework.