Pursuant to its institutional role as a Credit Rating Agency, ICAP CRIF issues Credit Ratings which are issued through a rating system based on a publicly accessible methodology, with rating categories according to ICAP CRIF’s 10-point scale from AAA to D and may be used for regulatory purposes in accordance with EU law as implemented by the national legislation of EU Member States.
Based on a methodology developed in 2020 the Credit Rating Agency of ICAP CRIF rates Notes of Asset Backed Securities, including Securitizations of Performing or non-Performing Credit Exposures and Securitizations of Trade Credit Receivables, granted either to legal entities or natural persons, at European level. The service is specialized depending on the type of receivables, covering the whole range of credit (Secured or Unsecured, Consumer Loans, Mortgage Loans, Corporate Loans, Leasing, etc.).
Since 2020 ICAP CRIF has rated several securitization transactions based on portfolios with a gross book value exceeding €15 billion.
The rating reflects the level of confidence that the instrument will fulfill its contractual obligations, fully and on time. To determine this level of confidence, ICAP CRIF has developed a methodological approach that combines both quantitative and qualitative factors, which capture the risk characteristics of the underlying asset portfolio, the transaction structure, the legal risks, the counterparty risks, as well as the performance of the Servicer and all parties involved. ICAP CRIF’s methodology for estimating expected losses (EL) is based on an innovative generalization of the Vasicek credit loss distribution, in order to determine in detail, the probability of extreme loss events, estimating recovery rates and considering both microeconomic and macroeconomic factors.
The rating scale of Structured Finance Instruments Ratings is nine-grade with intermediate categories (notching).