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Single Rulebook Q&A

Question ID: 2018_4274
Legal act : Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic : Securitisation and Covered Bonds
Article: 263, 264
Paragraph: 2, 3
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
Article/Paragraph : Not applicable
Type of submitter: Competent authority
Subject matter : Mapping of SEC-ERBA credit quality steps
Question:

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?

Background on the question:

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.

Date of submission: 13/09/2018
Published as Final Q&A: 18/01/2019
EBA answer:

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)
Baa1(sf)

BB+ (sf)

BB+SF

12

BB

BB (sf)

Ba2 (sf)
Baa2 (sf)

BB (sf)

BBSF

13

BB-

BB- (sf)

Ba3 (sf)
Baa3 (sf)

BB- (sf)

BB-SF

14

B+

B+ (sf)

B1(sf)
Ba1(sf)

B+ (sf)

B+SF

15

B

B (sf)

B2 (sf)
Ba2 (sf)

B (sf)

BSF

16

B-

B- (sf)

B3 (sf)
Ba3 (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. 

Status: Final Q&A
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