The Bank of Russia has released an updated table comparing the national rating scales of Russian credit rating agencies (CRAs) listed in its register. This comparison table, which incorporates data on one-year theoretical probabilities of default according to the national rating scale for the Russian Federation, is designed for public dissemination.
The comparison utilizes a cluster-based approach that categorizes CRA rating scales into six credit quality grades (CQG). The clusters are determined based on expected probabilities of default and the practice of assigning credit ratings to identical entities by different CRAs. Specifically, the clustering employs K-means, a widespread algorithm known for its interpretability and ability to specify the number of clusters required.
The updated table includes mean values of expected probabilities of default for each CRA credit rating level within each CQG. For instance, under CQG 1 with an average default rate of 0.15%, ACRA (JSC) assigns ratings such as AAA(RU), AA+(RU), and AA(RU); JSC Expert RA uses ruAAA, ruAA+, and ruAA; NRA LLC applies AAA.ru, AA+.ru, and AA.ru; while another agency uses AAA|ru| and AA+|ru| among others.
This latest update follows an earlier published comparison that was based on definitions of rating categories and the practical assignment of credit ratings by Russian CRAs. The current methodology adds data on expected probabilities of default by credit rating level.
The Bank of Russia mandates that this comparative analysis be published at least every three years in accordance with Ordinance No. 6374-U dated March 15, 2023.
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