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

    US Regulators Release Stress Test Scenarios for Banks

    The U.S. regulators recently released baseline and severely adverse scenarios, along with other details, for stress testing the banks in 2024. The relevant U.S. banking regulators are the Federal Reserve Bank (FED), the Federal Deposit Insurance Corporation (FDIC), and the Office of the Comptroller of the Currency (OCC).

    February 28, 2024 WebPage Regulatory News

    Asian Governments Aim for Interoperability in AI Governance Frameworks

    The regulatory landscape for artificial intelligence (AI), including the generative kind, is evolving rapidly, with governments and regulators aiming to address the challenges and opportunities presented by this transformative technology.

    February 28, 2024 WebPage Regulatory News

    EBA Proposes Operational Risk Standards Under Final Basel III Package

    The European Union (EU) has been working on the final elements of Basel III standards, with endorsement of the Banking Package and the publication of the European Banking Authority (EBA) roadmap on Basel III implementation in December 2023.

    February 26, 2024 WebPage Regulatory News

    EFRAG Proposes XBRL Taxonomy and Standard for Listed SMEs Under ESRS

    The European Financial Reporting Advisory Group (EFRAG), which plays a crucial role in shaping corporate reporting standards in European Union (EU), is seeking comments, until May 21, 2024, on the Exposure Draft ESRS for listed SMEs.

    February 23, 2024 WebPage Regulatory News

    ECB to Expand Climate Change Work in 2024-2025

    Banking regulators worldwide are increasingly focusing on addressing, monitoring, and supervising the institutions' exposure to climate and environmental risks.

    February 23, 2024 WebPage Regulatory News

    BIS Bulletin Examines Cognitive Limits of Large Language Models

    The use cases of generative AI in the banking sector are evolving fast, with many institutions adopting the technology to enhance customer service and operational efficiency.

    January 25, 2024 WebPage Regulatory News

    ECB is Conducting First Cyber Risk Stress Test for Banks

    As part of the increasing regulatory focus on operational resilience, cyber risk stress testing is also becoming a crucial aspect of ensuring bank resilience in the face of cyber threats.

    January 24, 2024 WebPage Regulatory News

    EBA Continues Momentum Toward Strengthening Prudential Rules for Banks

    A few years down the road from the last global financial crisis, regulators are still issuing rules and monitoring banks to ensure that they comply with the regulations.

    January 24, 2024 WebPage Regulatory News

    EU and UK Agencies Issue Updates on Final Basel III Rules

    The European Commission (EC) recently issued an update informing that the European Council and the Parliament have endorsed the Banking Package implementing the final elements of Basel III standards

    December 19, 2023 WebPage Regulatory News

    Industry Agency Expects Considerable Uptake for Swiss Climate Scores

    The Swiss Federal Council recently decided to further develop the Swiss Climate Scores, which it had first launched in June 2022.

    December 18, 2023 WebPage Regulatory News
    RESULTS 1 - 10 OF 8952