Response to joint Consultation on draft Implementing Technical Standards on the mapping of ECAIs’ credit assessments
Go back
Q2. Do you agree with the proposed definition of sufficient for the number of credit ratings and the rest of the requirements imposed for the calculation of the short-run default rate when a sufficient number of credit ratings is available?
See attachedQ4. Do you agree with the proposed options to calculate the quantitative factors when a sufficient number of credit ratings is not available?
See attachedQ5. Do you agree with the proposed use of the default definition used by the ECAI as a relevant factor for the mapping? Do you agree with the proposed assessment of the comparability of the default definition of an ECAI? If not, what alternatives would you propose? Do you think that the adjustment factor depends on certain characteristics of the rated firms such as size and credit quality and if so, how can this be reflected?
See attachedQ6. Do you agree with the proposed use of the time horizon of the rating category as a relevant factor for the mapping? Do you agree with the proposed use of transition probabilities to identify the expected level of risk during the three-year horizon?
See attachedQ7. Do you agree with the proposed use of the range and meaning of credit assessments as a relevant factor for the mapping? Do you agree with the proposed restriction of this factor to adjacent rating categories?
See attachedQ8. Do you agree with the proposed use of the risk profile of a credit assessment as a relevant factor for the mapping?
See attachedQ9. Do you agree with the proposed use of the estimate provided by the ECAI for the long-run default rate associated with all items assigned the same rating category as a relevant factor for the mapping? Do you agree with the proposed role played by this factor depending on the availability of default data for the rating category?
See attachedQ10. Do you agree with the proposed use of the internal mapping of a rating category established by the ECAI?
See attachedQ11. Do you agree with the proposed specification of the long-run and short-run benchmarks? Do you agree with the proposed mechanism to identify a weakening of assessment standards?
See attachedQ12. Do you agree with the analysis of the impact of the proposals in this CP? If not, can you provide any evidence or data that would explain why you disagree or which might further inform our analysis of the likely impacts of the proposals?
See attachedUpload files
BSG - ECAI Mapping submission.doc
(90.5 KB)