03 May 2022
The European Banking Authority (EBA) published today its final draft Implementing Technical Standards (ITS) to amend the Implementing Regulation on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for securitisation positions. The changes reflect the relevant amendments introduced by the new Securitisation Framework, as well as the mappings for three 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 amendments to the Capital Requirements Regulation (CRR) brought in by the new Securitisation Framework have made it necessary to update the mapping tables of ECAIs credit assessments for securitisation positions. 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 credit quality steps (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instruments, two existing ECAIs have extended their credit assessments to cover securitisations, and ESMA has withdrawn the registration of an ECAI.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.
The proposed revised draft ITSs have been developed according to Article 270e of Regulation 575/2013 (CRR).
Following its consultation process, the EBA received positive feedback in agreement with its proposals. Therefore, no changes to the draft ITS have been incorporated as a result of the responses received during the public consultation.
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 CQS defined in Chapter 5 of the CRR.