ICAP has since 2010 developed and implements a methodology for assessing the impact of the economic cycle in the default rate of Greek companies based on the evolution of the macroeconomic indicators. The default rate estimate is used in the credit assessment process.
In 2014, ICAP proceeded with the review of the macroeconomic models, in order to take into account the most recent default and macroeconomic data.
In accordance with the amended regulation 1060/2009 for Credit Rating Agencies (CRAs), ICAP was accepting feedback from all interested parties on the aforementioned proposed changes till 16/02/2015. Following the end of this period, no comments have been received and therefore, the revised models are considered as final.
The revised macroeconomic adjustments were implemented in the credit assessment process on February 24th 2015.
The document summarizing the methodology, the main conclusions and the impact study on ICAP Credit Ratings can be found here.