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In the Implementing Regulations on the mapping of External Credit Assessment Institutions (ECAIs), adopted by the European Commission on 11 October 2016, the three ESAs specified an approach that establishes the correspondence between credit ratings and the credit quality steps defined in the Capital Requirements Regulation (CRR) and in the Solvency II Directive.
The ESAs are now consulting on an amendment to the Implementing Regulation to reflect the outcome of a monitoring exercise on the adequacy of the mappings, based on a quantitative and qualitative assessment. In particular, the ESAs are proposing to change the CQS allocation for two ECAIs, together with the introduction of new credit rating scales for ten ECAIs.
The ESAs also published individual draft mapping reports illustrating how the methodology was applied to produce the amended mappings in line with the CRR mandate.
Comments to the Consultation Paper on the mapping under Article 136 of the CRR can be sent by 31 December 2018.
Implementing Technical Standards on the mapping of ECAIs_credit assessments under the_CRR