October 26, 2018

ESAs proposed amendments to the Implementing Regulations on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for credit risk. The Implementing Regulations are part of the EU Single Rulebook for banking and insurance. The consultation runs until December 31, 2018. ESAs also published individual draft mapping reports that illustrate how the methodology was applied to produce the amended mappings in line with the Capital Requirements Regulation (CRR) mandate. The draft mapping reports were published for nine credit rating agencies (CRAs), including Moody's, S&P, Fitch, and European Rating Agency.

In the Implementing Regulations on the mapping of ECAIs, adopted by EC on October 11, 2016, the three ESAs specified an approach that establishes the correspondence between credit ratings and the credit quality steps defined in the CRR and in the Solvency II Directive. ESAs are consulting on an amendment to the Implementing Regulation to reflect the outcome of a monitoring exercise on the adequacy of the mappings, based on a quantitative and qualitative assessment. ESAs are proposing to change the Credit Quality Steps allocation for two ECAIs, along with the introduction of new credit rating scales for ten ECAIs.

This change follows a first amendment to the Implementing Regulations, which was proposed by ESAs in 2017 and adopted by EC on April 24, 2018. The first change reflected the withdrawal of the registration of one CRA and the recognition of five additional credit rating agencies (CRAs) since the adoption of the Implementing Regulations in October 2016. Two ECAIs, Creditreform and Spread Research, 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 amended implementing technical standards (Mapping tables), along with two documents listing the applicable credit rating scales and credit rating types for each concerned ECAI.

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Comment Due Date: December 31, 2018

Keywords: Europe, EU, Banking, Insurance, Credit Risk, Standardized Approach, ECAIs, CRA, CRR, Solvency II, ESAs