EBA欧洲银行-28Mapping-Report-CRIF29_25页_666kb

Summary of Amended Mapping of CRIF Ratings S.r.l.'s Credit Assessments under the Standardised Approach

Core Content

This report outlines the amended mapping of CRIF Ratings S.r.l.'s credit assessments under the Standardised Approach (SA), based on the methodology specified in the Commission Implementing Regulation (EU) 2016/1799. The mapping remains consistent with the version published on 11 November 2015. The purpose of the mapping is to align CRIF's rating categories with a regulatory credit quality step (CQS) scale for prudential purposes, not for comparison with other credit rating agencies.

Main Ratings Scales

CRIF produces four main types of credit ratings:

• Long-term issuer ratings: Assess the issuer's ability to repay obligations over a medium-long time horizon.
• Long-term issue ratings: Evaluate the risk of default for a specific debt instrument over a medium-long time horizon.
• Short-term issuer ratings: Assess the risk of default over a time horizon shorter than 12 months.
• Short-term issue ratings: Evaluate the risk of default for a debt instrument over a time horizon shorter than 12 months.

These ratings are mapped to the credit quality steps (CQS) scale, which is used to determine risk weights under the SA.

Key Rating Categories and Their Mappings

Long-term Issuer Credit Ratings

Short-term Issuer Credit Ratings

Long-term Issue Credit Ratings

Short-term Issue Credit Ratings

Methodology and Rationale

Quantitative Factors

The mapping process used quantitative data from ESMA's Central Repository of Credit Rating Information (CEREP), which covers the period from 2010H2 to 2015H2. The long-run default rate was calculated based on the three-year horizon, with the only available data being from 2013H1. Due to insufficient data, the mapping was based on benchmarks and qualitative factors.

• The initial mapping was done using the quantitative data and the prior expectation of the equivalent international rating categories.
• The results were consistent regardless of the method applied (best choice or conservative assignment).

Qualitative Factors

Qualitative factors were used to refine the initial mapping, especially in categories where quantitative data was limited. These factors were based on the meaning and relative position of the rating categories in the international scale.

• The qualitative factors were applied in the final stage of the mapping process.
• The mapping of the long-term issuer rating scale was derived from both quantitative and qualitative considerations.

Additional Information

• Default Definition: A default occurs when an issuer files for insolvency or misses payments (excluding those cured within a grace period).
• Internal Relationships: CRIF established internal relationships between old and new rating scales, and between long-term and short-term ratings, to ensure consistency and alignment with the regulatory framework.
• CQS Allocation for Short-term Ratings: For short-term ratings, the CQS is determined based on the most frequent CQS assigned to the related long-term rating categories. If the most frequent CQS is 5 or 6, a conservative allocation of CQS 4 is made, as the risk weights for CQS 4 to 6 are equal to 150% under the CRR.

Conclusion

The mapping tables are consistent with the previous version and reflect additional quantitative data and internal relationships. The mapping is not intended for comparison with other ECAIs or as a report under the CRA, but rather as a regulatory alignment for prudential purposes. The final mapping incorporates both quantitative and qualitative assessments to ensure accurate risk weight calculation under the SA.