EBA欧洲银行-Final-Joint-Revised-Draft-ITS-Mapping-CRR-28JC-2017-6129_23页_482kb

Summary of Final Report: Revised Draft ITS on the Mapping of ECAIs' Credit Assessments

Core Content

This document outlines the revised draft Implementing Technical Standards (ITS) that amend Implementing Regulation (EU) 2016/1799, which provides the mapping of credit assessments from External Credit Assessment Institutions (ECAIs) to credit quality steps under the Capital Requirements Regulation (CRR). The revised ITS reflect changes in the ECAI population, including the addition of five new ECAIs and the removal of one deregistered CRA.

Main Points

• Objective: The revised ITS aim to ensure that the mapping of ECAIs' credit assessments is up-to-date, reflecting the current status of ECAIs and their credit rating scales.

• Scope: The ITS are relevant for institutions using the Standardised Approach to calculate credit risk capital requirements, particularly where credit risk is less material. These include less sophisticated institutions, insignificant exposure classes, or where internal rating approaches are overly burdensome.

• Regulatory Basis: The ITS are based on the CRA Regulation (Regulation (EC) No 1060/2009) and are developed in accordance with the mandates of Article 136(1) and Article 136(3) of the CRR. They are also aligned with the G-20 conclusions and the Financial Stability Board (FSB) principles, which encourage a reduction in reliance on external credit ratings.

• ECAI Population Changes:

  • One CRA (Feri EuroRating Services AG) has been deregistered.
  • Five new ECAIs have been added: Egan-Jones Ratings Co., HR Ratings de México, S.A. de C.V., INC Rating Sp. z o.o., modeFinance S.r.l., and Rating-Agentur Expert RA GmbH.

• Structure of the ITS:

  • The revised ITS update Annex III of the Implementing Regulation to include mappings for the newly added ECAIs and remove the mapping for the deregistered CRA.
  • Each ECAI has specific credit rating scales mapped to the credit quality steps (CQS) of the CRR.

• Implementation:

  • The revised ITS will be submitted to the European Commission for endorsement.
  • Once endorsed, they will be published in the Official Journal of the European Union.
  • The standards will apply from the twentieth day following publication.

• Compliance and Application:

  • The mappings are binding and directly applicable in all EU Member States.
  • The ITS support a common understanding of the methodology for mapping ECAIs' credit assessments.

Key Information

• Credit Quality Steps (CQS) are defined in Section 2 of Chapter 2 of Title II of Part Three of the CRR.
• The mapping tables are provided in Annex III, detailing how each ECAI's credit ratings correspond to the CQS.
• The ESAs (European Banking Authority, European Insurance and Occupational Pensions Authority, and European Securities and Markets Authority) have conducted public consultations and considered the cost-benefit analysis.
• The revised ITS are based on the draft ITS submitted by the Joint Committee of the ESAs.
• The G-20 and FSB principles are considered in the context of reducing reliance on external credit ratings, even though the ITS provide a mechanistic mapping.

List of ECAIs and Their Mappings

Summary of Mappings

The revised ITS provide detailed mappings for the credit assessments of ECAIs to the credit quality steps under the Standardised Approach. These mappings are essential for the calculation of credit risk capital requirements and ensure consistency across the EU. The mappings are regularly updated to reflect the current status of ECAIs, promoting a harmonised and consistent application of the CRR across the EU.