ESAs consult on credit assessments of ECAIs

The European Supervisory Authorities (ESAs), comprising the European Banking Authority (EBA), European Insurance and Occupational Pensions Authority (EIOPA) and European Securities and Markets Authority (ESMA), have published consultation papers on the Implementing Regulations on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for credit risk under the Capital Requirements Regulation (CRR) and the Solvency II Directive (Solvency II). The consultations address the recent recognition of five new credit rating agencies (CRAs) and the deregistration of one CRA.

The updated Implementing Regulations provide a specified approach to establish the correspondence, or mapping, between credit ratings and the credit quality steps defined in the CRR and Solvency II. The mappings for the other 25 ECAIs covered in the Implementing Regulations remain unchanged. The ESAs have also published individual draft mapping reports illustrating how the methodology was applied to produce the five additional mappings.

Comments are due by 18 September 2017