EBA欧洲银行-28Mapping-Report-Creditreform29_17页_524kb

Summary of Creditreform Rating AG's Credit Assessments under the Standardised Approach

Core Content

This document outlines the methodology and results of mapping Creditreform Rating AG's credit ratings to the credit quality steps (CQS) under the Standardised Approach (SA) as specified in the Commission Implementing Regulation (EU) 2016/1799. The mapping is designed to align Creditreform's rating scales with a prudential regulatory scale, enabling financial institutions to calculate risk weights based on these ratings.

Main Points

1. Methodology Overview

• The mapping methodology is based on the Commission Implementing Regulation (EU) 2016/1799, which references the provisions of Article 136(2) of the Capital Requirements Regulation (CRR).
• The mapping process combines quantitative and qualitative factors, as well as benchmarks, to determine the appropriate CQS for each rating category.
• The information base includes additional data collected after the JC submitted the draft Implementing Technical Standards (ITS) to the European Commission.

2. Purpose and Scope

• The mapping is not intended for investor comparison of ratings or a comparison of rating methodologies between Creditreform and other ECAIs.
• It serves to align Creditreform's rating categories with a regulatory scale for prudential purposes, not for market comparison.

3. Credit Rating Scales

Creditreform provides the following credit rating scales:

• Long-term issuer rating scale: Used for assessing the financial strength of entities (e.g., banks, corporations, SMEs).
• Long-term issue rating scale: Used for assessing individual debt instruments (e.g., corporate bonds, loans).
• Short-term rating scale: Used for short-term credit assessments, with a focus on liquidity.

4. Mapping Process

• The mapping was derived in two stages:
  • Initial mapping: Based on quantitative factors, particularly the long-run default rate.
  • Final mapping: Incorporating qualitative factors, especially for rating categories with limited default data.

5. Key Results

Long-term issuer rating scale mapping

Short-term rating scale mapping

Long-term issue rating scale mapping

Key Information

• The long-run default rate is the primary quantitative factor used in the initial mapping.
• For AAA/AA/A rating categories, no defaults were recorded, so they are mapped to CQS 1 or 2.
• BBB and BB categories were mapped to CQS 4 and CQS 5, respectively, based on updated data.
• B and C categories were mapped to CQS 6 due to insufficient data to meet the minimum required number of rated items.
• SD and D categories are already indicative of a default situation and are mapped to CQS 6.
• The short-term rating scale is derived from the long-term rating scale using internal relationships established by Creditreform.
• The mapping tables are specified in Annex III of the revised draft ITS and are also presented in Appendix 4 of the document.
• The Joint Committee has not received consent from Creditreform to publish the information transmitted by the ECAI, which is relevant for the mapping process.

Conclusion

The mapping process aims to ensure that Creditreform's credit assessments are aligned with the prudential regulatory scale under the Standardised Approach. It reflects a balance between quantitative default data and qualitative judgment, particularly in cases where data is limited. The resulting mapping provides a standardized framework for financial institutions to apply risk weights based on Creditreform's ratings.