EBA proposes amendments to technical standards on the mapping of ECAIs for securitisation positions

The European Banking Authority (EBA) launched today a public consultation to amend the Implementing Regulation on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for securitisation. The changes reflect the relevant amendments introduced by the new Securitisation Framework, as well as the mappings for two ECAIs that extended their credit assessments to cover securitisations. The Implementing Regulation is part of the EU Single Rulebook for banking aimed at creating a safe and sound regulatory framework consistently applicable across the European Union (EU). The consultation runs until 31 January 2022.

The Implementing Regulation developed by the EBA and adopted by the European Commission on 11 October 2016, aims at ensuring that credit assessments issued by ECAIs can be used for calculating capital requirements for securitisation positions. To this aim, the EBA specifies the correspondence or ‘mapping' between credit ratings and the credit quality steps (CQS) defined in Chapter 5 of the Capital Requirements Regulation (CRR).

The CRR amendments brought by the new Securitisation Framework have made it necessary to update the mapping tables accordingly. Following the amendments to Chapter 5 of the CRR, a hierarchy of approaches was set out to calculate capital requirements for positions in a securitisation, whereby institutions using the Securitisation External Ratings Based Approach (SEC-ERBA) shall calculate risk-weighted exposure amounts based on CQSs set out in the CRR. The amended Regulation reflects 18 CQSs for long-term external credit assessments, which ensures enhanced granularity and risk sensitivity with respect to the approaches previously considered in the Regulation. 

In addition, since the adoption of the Implementing Regulation, one additional ECAI has been established in the EU with methodologies and processes in place for producing credit assessments for securitisation instruments, two existing ECAIs have extended their credit assessments to cover securitisations, and ESMA has withdrawn the registration of an ECAI. These changes have been reflected in the mapping tables accordingly.

 The EBA also published individual draft mapping reports illustrating how the methodology was applied to produce the mappings. 

Consultation process

Comments to the Consultation Paper can be sent by clicking on the "send your comments" button on the EBA's consultation page. Please note that the deadline for the submission of comments is 31 January 2022.

All contributions received will be published following the close of the consultation, unless requested otherwise.

A public hearing on the draft ITS will be held via conference call on18 January 2022 at 14:00 CET. The registration link can be found here.

Legal basis

The proposed revised draft ITSs have been developed according to Article 270e of Regulation 575/2013 (CRR).