Featured Product

    ESAs Propose to Amend Standards on Mapping of ECAI Credit Assessments

    January 29, 2021

    ESAs proposed to amend the implementing technical standards on mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for credit risk, with the consultation period ending on March 05, 2021. The draft implementing standards are intended to amend the Implementing Regulation 2016/1799 and have been developed in accordance with the Capital Requirements Regulation (CRR) and Solvency II Directive. ESAs also published individual draft mapping reports illustrating how the methodology was applied to produce the amended mappings in line with the CRR mandate.

    The amendments aim to assign mappings for two newly established ECAIs. Another aim of the amendments is to reflect the outcomes of a monitoring exercise on the adequacy of existing mappings—namely changes to the Credit Quality Steps allocation for two ECAIs and the introduction of new credit rating scales for nine ECAIs. In particular, the consultation proposes the following changes to the mapping tables:

    • Introduction of mappings for Nordic Credit Rating A.S. and INBONIS S.A, which are the two newly established ECAIs
    • Removal, from the mapping tables, of credit rating agencies that have lost ECAI status following their de-registration as a Credit Rating Agency (CRA) under the CRA Regulation
    • Amendments to credit mappings due to the re-allocation of Credit Quality Steps, for Creditreform Rating AG and GBB-Rating Gesellschaft für Bonitätsbeurteilung GmbH
    • Amendments due to the new credit rating scales for these nine ECAIs: ARC Ratings S.A., Axesor Risk Management S.L., Banque de France, Cerved Rating Agency S.p.A., CRIF Ratings S.r.l., DBRS Ratings GmbH, ICAP S.A., Rating-Agentur Expert RA GmbH, and S&P Global Ratings Europe Limited

    ESAs have proposed to amend these mappings, as the Joint Committee of ESAs is mandated under CRR to provide a correspondence or a mapping between relevant credit assessments of ECAIs and Credit Quality Steps. CRR establishes that risk-weights under the standardized approach should be based on the exposure class to which the exposure is assigned and, if applicable, its credit quality determined by reference to the credit assessments of ECAIs. According to CRR, "mappings" should be specified for all ECAIs, which are defined according to Article 4(98) CRR as CRAs registered or certified in accordance with the CRA Regulation or a central bank issuing credit ratings that are exempt from the application of CRA Regulation. 

    This change to the implementing regulation follows a second amendment, which was the ESAs proposed in May 2019 and the EC adopted on November 29, 2019. The first amendment reflected the withdrawal of the registration of one credit rating agency and the recognition of five additional credit rating agencies since the adoption of the Implementing Regulations in October 2016. The second amendment, however, reflected the outcomes of a monitoring exercise on the adequacy of existing mappings, namely changes to the Credit Quality Steps allocation for two ECAIs and the introduction of new credit rating scales for 10 ECAIs. Two ECAIs, Creditreform and ACRA Europe, have not consented to the publication of their mapping reports. In the absence of a consent, ESAs published only the outcome of the revision—that is, the relevant mappings in Annex III of the draft implementing technical standards, along with the two documents listing the applicable credit rating scales and credit rating types for each concerned ECAI. 


    Related Links

    Comment Due Date: March 05, 2021

    Keywords: Europe, EU, Banking, Insurance, Credit Risk, CRR, Solvency II, Standardized Approach, ECAIs, CRA, Credit Quality Steps, Basel, Regulatory Capital, ESAs

    Featured Experts
    Related Articles

    ESAs Issue Multiple Regulatory Updates for Financial Sector Entities

    The three European Supervisory Authorities (ESAs) issued a letter to inform about delay in the Sustainable Finance Disclosure Regulation (SFDR) mandate, along with a Call for Evidence on greenwashing practices.

    November 15, 2022 WebPage Regulatory News

    ISSB Makes Announcements at COP27; IASB to Propose IFRS 9 Amendments

    The International Sustainability Standards Board (ISSB) of the IFRS Foundations made several announcements at COP27 and with respect to its work on the sustainability standards.

    November 10, 2022 WebPage Regulatory News

    IOSCO Prioritizes Green Disclosures, Greenwashing, and Carbon Markets

    The International Organization for Securities Commissions (IOSCO), at COP27, outlined the regulatory priorities for sustainability disclosures, mitigation of greenwashing, and promotion of integrity in carbon markets.

    November 09, 2022 WebPage Regulatory News

    EBA Finalizes Methodology for Stress Tests, Issues Other Updates

    The European Banking Authority (EBA) issued a statement in the context of COP27, clarified the operationalization of intermediate EU parent undertakings (IPUs) of third-country groups

    November 09, 2022 WebPage Regulatory News

    OSFI Sets Out Work Priorities and Reporting Updates for Banks

    The Office of the Superintendent of Financial Institutions (OSFI) published an annual report on its activities, a report on forward-looking work.

    November 07, 2022 WebPage Regulatory News

    APRA Finalizes Changes to Capital Framework, Issues Other Updates

    The Australian Prudential Regulation Authority (APRA) finalized amendments to the capital framework, announced a review of the prudential framework for groups.

    November 03, 2022 WebPage Regulatory News

    BIS Hub and Central Banks Conduct CBDC and DeFI Pilots

    The Bank for International Settlements (BIS) Innovation Hubs and several central banks are working together on various central bank digital currency (CBDC) pilots.

    November 03, 2022 WebPage Regulatory News

    ECB Sets Deadline for Banks to Meet Its Climate Risk Expectations

    The European Central Bank (ECB) published the results of its thematic review, which shows that banks are still far from adequately managing climate and environmental risks.

    November 02, 2022 WebPage Regulatory News

    ESAs, ECB, & EC Issue Multiple Regulatory Updates for Financial Sector

    Among its recent publications, the European Banking Authority (EBA) published the final standards and guidelines on interest rate risk arising from non-trading book activities (IRRBB)

    October 31, 2022 WebPage Regulatory News

    EC Adopts Final Rules Under CRR, BRRD, and Crowdfunding Regulation

    The European Commission (EC) recently adopted regulations with respect to the calculation of own funds requirements for market risk, the prudential treatment of global systemically important institutions (G-SIIs)

    October 26, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8582