What mappings will be applicable between the first date of application of Regulation (EU) 575/2013 as amended by Regulation (EU) 2017/2401 (i.e. 1 January 2019) and the entry into force of the ITS (implementing technical standards) on Articles 270a?
Before the amendment introduced by Regulation (EU) 2017/2401, Article 261 CRR (Ratings Based Method) foresaw 3 credit quality steps for short-term credit assessments and 11 credit quality steps for other credit assessments. The EBA prepared ITS (Regulation (EU) 2016/1801) on the mapping of credit assessments to these credit quality steps, based on the mandate given in Article 270 CRR.
SEC-ERBA (Article 263 CRR as amended by Regulation (EU) 2017/2401; equivalent in Article 264 for STS securitisations) still has 3 credit quality steps for short-term credit assessments but 17 credit quality steps for long-term credit assessments.
The EBA is mandated by Article 270e CRR to prepare new ITS. In the absence of new ITS, advice is sought on which mapping to use when Regulation (EU) 2017/2401 becomes applicable on 01 January 2019.
Article 270e of Regulation (EU) No 575/2013 (CRR) as amended by Regulation (EU) 2017/2401 requires EBA to submit updated draft implementing technical standards to the European Commission with all ECAI mappings based on the new credit quality steps.
Until a revised ITS is formally adopted and subsequently published in the Official Journal of the European Union, credit institutions shall apply the ECAI mappings as set out below.
For short-term credit assessments, since no additional credit quality steps have been introduced in the CRR, credit institutions should use the short-term rating mapping found in Annex II of Commission Implementing Regulation (EU) No. 2016/1801 (on laying down technical standards with regard to the mapping of credit assessments for securitisation).
For long-term credit assessments, credit institutions should use the following mapping of credit quality steps based on the illustrative Basel long-term rating designations (Basel, July 2016, ‘Revisions to the Securitisation Framework’).
|
CQS |
ARC Ratings SA |
Axesor SA |
Creditreform Ratings AG |
DBRS Ratings Limited |
Fitch Ratings |
|
1 |
AAASF |
AAA(sf) |
AAAsf |
AAA (sf) |
AAAsf |
|
2 |
AA+SF |
AA+(sf) |
AA+sf |
AA (high) (sf) |
AA+sf |
|
3 |
AASF |
AA(sf) |
AAsf |
AA (sf) |
AAsf |
|
4 |
AA-SF |
AA-(sf) |
AA-sf |
AA (low) (sf) |
AA-sf |
|
5 |
A+SF |
A+(sf) |
A+sf |
A (high) (sf) |
A+sf |
|
6 |
ASF |
A(sf) |
Asf |
A (sf) |
Asf |
|
7 |
A-SF |
A-(sf) |
A-sf |
A (low) (sf) |
A-sf |
|
8 |
BBB+SF |
BBB+(sf) |
BBB+sf |
BBB (high) (sf) |
BBB+sf |
|
9 |
BBBSF |
BBB(sf) |
BBBsf |
BBB (sf) |
BBBsf |
|
10 |
BBB-SF |
BBB-(sf) |
BBB-sf |
BBB (low) (sf) |
BBB-sf |
|
11 |
BB+SF |
BB+(sf) |
BB+sf |
BB (high) (sf) |
BB+sf |
|
12 |
BBSF |
BB(sf) |
BBsf |
BB (sf) |
BBsf |
|
13 |
BB-SF |
BB-(sf) |
BB-sf |
BB (low) (sf) |
BB-sf |
|
14 |
B+SF |
B+(sf) |
B+sf |
B (high) (sf) |
B+sf |
|
15 |
BSF |
B(sf) |
Bsf |
B (sf) |
Bsf |
|
16 |
B-SF |
B-(sf) |
B-sf |
B (low) (sf) |
B-sf |
|
17 |
CCC+SF CCC SF CCC- SF |
CCC+(sf) CCC (sf) CCC- (sf) |
CCC+sf CCC sf CCC- sf |
CCC (high) (sf) CCC (sf) CCC (low) (sf) |
CCC+sf CCCsf CCC-sf |
|
All other |
Below CCC-SF |
Below CCC-(sf) |
Below CCC-sf |
Below CCC (low) (sf) |
Below CCC-sf |
|
CQS |
Japan Credit Rating Agency Ltd |
Kroll Bond Rating Agency |
Moody's Investors Service |
Standard & Poor's Ratings Services |
Scope Rating AG |
|
1 |
AAA |
AAA (sf) |
Aaa (sf) |
AAA (sf) |
AAASF |
|
2 |
AA+ |
AA+ (sf) |
Aa1 (sf) |
AA+ (sf) |
AA+SF |
|
3 |
AA |
AA (sf) |
Aa2 (sf) |
AA (sf) |
AASF |
|
4 |
AA- |
AA- (sf) |
Aa3 (sf) |
AA- (sf) |
AA-SF |
|
5 |
A+ |
A+ (sf) |
A1 (sf) |
A+ (sf) |
A+SF |
|
6 |
A |
A (sf) |
A2 (sf) |
A (sf) |
ASF |
|
7 |
A- |
A- (sf) |
A3 (sf) |
A- (sf) |
A-SF |
|
8 |
BBB+ |
BBB+ (sf) |
Baa1 (sf) |
BBB+ (sf) |
BBB+SF |
|
9 |
BBB |
BBB (sf) |
Baa2 (sf) |
BBB (sf) |
BBBSF |
|
10 |
BBB- |
BBB- (sf) |
Baa3 (sf) |
BBB- (sf) |
BBB-SF |
|
11 |
BB+ |
BB+ (sf) |
Ba1(sf) |
BB+ (sf) |
BB+SF |
|
12 |
BB |
BB (sf) |
Ba2 (sf) |
BB (sf) |
BBSF |
|
13 |
BB- |
BB- (sf) |
Ba3 (sf) |
BB- (sf) |
BB-SF |
|
14 |
B+ |
B+ (sf) |
B1(sf) |
B+ (sf) |
B+SF |
|
15 |
B |
B (sf) |
B2 (sf) |
B (sf) |
BSF |
|
16 |
B- |
B- (sf) |
B3 (sf) |
B- (sf) |
B-SF |
|
17 |
CCC+ CCC CCC- |
CCC+ (sf) CCC (sf) CCC- (sf) |
Caa1 (sf) Caa2 (sf) Caa3 (sf) |
CCC+ (sf) CCC (sf) CCC- (sf) |
CCC+SF CCC SF CCC- SF |
|
All other |
Below CCC- |
Below CCC- (sf) |
Below Caa3 (sf) |
Below CCC- (sf) |
Below CCC-SF |
The present answer does not pre-empt the above mentioned implementing technical standards and is without prejudice thereto. The present Q&A will be reviewed once said standards entry into force and/or in case of any changes in the list of credit rating agencies that are registered or certified in accordance with Regulation (EC) No 1060/2009.
NOTE: On 28 August 2019 the rating designations for Moody’s corresponding to CQS 11 to 16 have been adjusted as highlighted to redress a clerical error.
Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.