EBA欧洲银行-28Mapping-Report-INC29_8页_283kb

Summary of the Mapping of INC Rating Sp. z o.o.'s Credit Assessments

Core Content

This report outlines the mapping of the credit assessments provided by INC Rating Sp. z o.o. under the Standardised Approach (SA) for credit risk, as per the Implementing Regulation (EU) 2016/1799 and Regulation (EU) No 575/2013 (CRR). The mapping aims to align INC Rating's credit rating categories with a regulatory credit quality scale (CQS) for prudential purposes, not for direct comparison with other ECAIs or for investor comparison.

Main Points

• Objective of the Mapping: To provide a correspondence between INC Rating's credit rating categories and the regulatory CQS, which is used for calculating risk weights under the SA.
• Methodology: The mapping process follows the methodology outlined in the Implementing Regulation, combining quantitative and qualitative factors.
• Quantitative Factors: These are based on statistics from the Central Repository of credit rating data (CEREP). However, since INC Rating does not issue corporate ratings, the quantitative factors could not be used to derive the long-run default rate.
• Qualitative Factors: Used to challenge and refine the initial mapping. These include the meaning and relative position of rating categories, as well as the time horizon of the ratings.
• Mapping Outcome: The final mapping is shown in Annex III of the revised draft ITS, and it assigns the following credit rating categories to the CQS:

• Rationale for Mapping:
  • The lack of quantitative data led to the use of qualitative factors as the primary basis for the mapping.
  • The mapping aims to ensure prudential consistency and reflects the risk level of each rating category.
  • The time horizon is set to long-term (10 years), but the three-year stability could not be assessed due to insufficient data.

Key Information

• INC Rating's Eligibility: INC Rating is an eligible ECAI, registered with ESMA on 27 October 2015.
• Rating Scales: INC Rating provides international issuer credit ratings for regional and local governments.
• Regulatory Context: The mapping is part of the prudential framework under the CRR, and it is not intended for market comparison or methodology comparison with other ECAIs.
• Adjustments Based on Qualitative Factors: The mapping was reviewed and adjusted using qualitative criteria, including the meaning and relative position of rating categories.
• Limitations:
  • The long-run default rate could not be calculated due to the absence of corporate ratings.
  • The three-year time horizon was not assessable due to lack of data.
  • The rating category D (default) was not analyzed as it already reflects a default situation.

Conclusion

The mapping of INC Rating's credit assessments serves to align its rating categories with the regulatory CQS under the SA. Given the limited quantitative data available, the mapping was primarily based on qualitative assessments, ensuring that prudential considerations are adequately addressed. This approach supports the market entry of newer ECAIs while maintaining prudential consistency across the credit rating framework.