EU Publishes Corrigendum to CRR2, Amends Rule on Mapping of ECAIs
EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876). The corrigendum makes changes to text in various articles in the regulation, including articles related to the consolidated calculation for global systemically important institutions (G-SIIs) with multiple resolution entities; application of disclosure requirements on a consolidated basis; deductions from eligible liabilities items; index holdings of capital instruments and of liabilities; and qualifying additional tier 1, tier 1, tier 2 capital, and qualifying own funds. Additional corrections relate to articles on requirements for own funds and eligible liabilities for G-SIIs; exemptions from specific reporting requirements for market risk; own funds requirements for delta and vega risks; delta risk sensitivities; liquidity horizons; and net stable funding requirements.
Additionally, the European Commission (EC) published the Implementing Regulation 2021/2005, which amends Regulation 2016/1799, regarding the mapping tables specifying correspondence between the credit risk assessments of external credit assessment institutions (ECAIs) and the credit quality steps set out in the Capital Requirements Regulation (CRR or EU Regulation No 575/2013). Regulation 2016/1799 specifies, in its Annex III, the correspondence between the relevant credit assessments issued by an ECAI and the credit quality steps set out in CRR (mapping). Following the latest amendments, via the Implementing Regulation 2019/2028, to Annex III to Regulation 2016/1799, the quantitative and qualitative factors underpinning the credit assessments of some mappings in Annex III to Implementing Regulation 2016/1799 have changed. In addition, some ECAIs have extended their credit assessments to new market segments, resulting in new rating scales and new credit rating types. Therefore, it is necessary to update the mappings of the concerned ECAIs.
Since the adoption of Regulation 2019/2028, two additional credit rating agencies have been registered in accordance with Credit Rating Agencies Regulation (No 1060/2009), while two other ECAIs for which Regulation 2016/1799 provided a mapping have been deregistered. As Article 136(1) of CRR requires the specification of mappings for all ECAIs, the Regulation 2016/1799 is being amended to provide a mapping for the newly registered ECAIs and to remove the mapping for the deregistered ECAIs. In addition, one ECAI that registered in accordance with the Credit Rating Agencies Regulation and for which a mapping was provided in Regulation 2016/1799 has amended the symbols used to denote the rating categories of its rating scales. Thus, it is necessary to amend the mapping for that ECAI to reflect the current symbols used by that ECAI. Therefore, Regulation 2016/1799 has been amended accordingly. Annex III to Regulation 2016/1799 has been replaced by the text set out in the Annex to Regulation 2021/2005. The Regulation 2021/2005 shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
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Effective Date: December 07, 2021 (ECAI Rule)
Keywords: Europe, EU, Banking, Securities, CRR2, Corrigendum, Regulatory Capital, Market Risk, ECAI, Mapping, CRR, Basel, CRA Regulation, Credit Risk, Credit Quality Steps, EC
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