May 20, 2019

ESAs published a second amendment to the implementing technical standards on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for credit risk under the Capital Requirements Regulation (CRR). The amendment reflects the outcome of a monitoring exercise on the adequacy of existing mappings. ESAs also published the individual draft mapping reports that illustrate how the methodology was applied to produce the amended mappings in line with the CRR mandate.

The October 2016 Implementing Regulation on the mapping of ECAIs under the CRR had specified an approach that establishes the correspondence between credit ratings and the credit quality steps defined in the CRR and provided mappings for 26 ECAIs. In the consultation proposing this amendment, ESAs had proposed to change the credit quality steps allocation for two ECAIs and to introduce new credit rating scales for ten ECAIs. ESAs have also addressed the mappings of CRAs that were recently registered in accordance to the CRA Regulation and are related to the previously mapped ECAIs.

A first amendment to the Implementing Regulation was adopted by the Commission on 24 April 2018, to incorporate mappings for the five new ECAIs that had been registered or certified after the ESAs submitted the original draft implementing technical standards to EC and to reflect the deregistration of one CRA. The implementing technical standards are part of the EU Single Rulebook for banking and are intended to create a safe and sound regulatory framework that is consistently applicable across EU.

 

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Keywords: Europe, EU, Banking, Insurance, Securities, CRR, CRA, ECAIs, CRA Regulation, Credit Risk, ESAs

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