EBA, ESMA and EIOPA consult on draft technical standards on the mapping of ECAIs’ credit assessments

The Joint Committee of the three European Supervisory Authorities (EBA,
ESMA and EIOPA - ESAs) launched today a consultation on draft Implementing
Technical Standards (ITS) on the mapping of the credit assessments to risk
weights of External Credit Assessment Institution (ECAIs). These ITS will
be part of the Single Rulebook in banking aimed at enhancing regulatory
harmonisation across the European Union (EU). The consultation runs until
5 May 2014

Capital requirements under the Standardised Approach are based, among other
factors, on the credit quality of the exposure, which is calculated on the
basis of credit assessments provided by ECAIs. These draft ITS specify the
elements that should be taken into consideration to determine the
correspondence ('mapping') between risk weights and credit assessments
provided by a particular ECAI.

This 'mapping' has to be provided for all ECAIs, as defined by the
Capital Requirements Regulation (CRR), including any credit rating agency
that is registered or certified in accordance with the Regulation on
Credit Rating Agencies (CRA) or a central bank issuing credit ratings that
are exempt from the application of the CRA Regulation.

In particular, the following elements have been taken into account in the
mapping process:

• Specific requirements have been established for the calculation of the
default rate, which should improve the objectivity and consistency of the
'mappings';

• Default experience obtained from external ratings of other ECAIs or
credit scores produced by the ECAIs themselves have been considered;

• In case no external or internal default rate data is available, an
estimate of the quantitative factor has been required based on the
assessment provided by the ECAIs;

In addition, a description of the implementation of the qualitative factors
has been provided in the explanatory boxes of these draft ITS.

Click here (Link:
https://eiopa.europa.eu/consultations/consultation-papers/index.html )to
access the Consultation Paper and the template for comments


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