- Question ID
-
2018_4274
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Securitisation and Covered Bonds
- Article
-
270a, 271e
- Paragraph
-
2, 3
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- 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.
- Submission date
- Final publishing date
-
- Final 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
- Answer prepared by
-
Answer prepared by the EBA.
- Note to Q&A
-
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.
Disclaimer
The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.