ESAs Propose Amendments to Technical Standards on Mapping of ECAIs
ESAs launched a public consultation to amend the Implementing Regulations laying down technical standards on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for credit risk to reflect the recognition of five new credit rating agencies (CRAs) and the deregistration of one CRA. The Implementing Regulations are part of the EU Single Rulebook for banking and insurance.
The proposed revised draft implementing technical standards have been developed in accordance with Article 136 (1) and (3) of the Capital Requirements Regulation or CRR (Regulation 575/2013) and Article 109 (a) of the Solvency II Directive (2009/138/EC). The EC adopted the Implementing Regulations developed by ESAs, which aim to ensure that only credit ratings issued by ECAIs—those CRAs registered under Regulation (EC) No 1060/2009 or central banks issuing credit ratings exempt from the application of the same regulation—can be used for calculating capital requirements of financial institutions and insurance undertakings. The ESAs have, therefore, specified an approach that establishes the correspondence—or mapping—between credit ratings and the credit quality steps defined in the EU prudential regulation for banking (CRR and Solvency II). The Implementing Regulations will need to be amended to reflect the allocation of appropriate risk-weights to the newly established ECAIs and to remove the reference to the de-registered ECAI. The ESAs also published individual draft mapping reports that illustrate how the methodology was applied to produce the five additional mappings under the CRR mandate.
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Comment Due Date: September 18, 2017
Keywords: Europe, Banking, Insurance, CRA, CRR, Solvency II, Mapping, ECAI, ESAs
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