CRR: EBA publishes final draft ITS on mapping of ECAIs' credit assessments for securitisation positions

The European Banking Authority (EBA) has published final draft implementing technical standards (ITS) on the mapping of external credit assessment institutions' (ECAIs') credit assessments for securitisation positions, developed under Article 270 of the CRR. The ITS will allow the credit ratings on securitisations assigned by registered credit rating agencies to be used for the purposes of calculating institutions' capital requirements.

The ITS specify the correspondence, or mapping, between credit ratings and credit quality steps that will determine the allocation of appropriate risk weights to credit ratings issued by ECAIs on securitisations where the standardised approach (SA) or the internal ratings based (IRB) approach are used.

The EBA is also considering developing a securitisation-specific systemic mapping methodology mainly based on the historical performance of securitisation ratings, but is delaying work due to a number of factors, including the representativeness of the data used and the ongoing review of the regulatory framework for capital requirements on securitisations.