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The Implementing Regulations developed by the ESAs and adopted by the European Commission on 7 and 11 October 2016, aim at ensuring that only credit ratings issued by External Credit Assessment Institutions (ECAIs) – those credit rating agencies (CRAs) registered under Regulation (EC) No 1060/2009 or central banks issuing credit ratings exempt from the application of the same regulation - can be used for calculating capital requirements of financial institutions and insurance undertakings.
To this aim, the three ESAs have specified an approach that establishes the correspondence -or ‘mapping'- between credit ratings and the credit quality steps defined in the EU prudential regulation for banking (Capital Requirements Regulation – CRR) and EU insurance regulation (Solvency II Directive).
Since the adoption of these Implementing Regulations, ESMA has withdrawn the registration of one CRA and five additional CRAs have been recognised.
The Implementing Regulations will, therefore, need to be amended to reflect the allocation of appropriate risk weights to the newly established ECAIs and to remove the reference to the de-registered ECAI. The mappings for the other 25 ECAIs covered in the Implementing Regulations remain unchanged.
The ESAs also published individual draft mapping reports illustrating how the methodology was applied to produce the five additional mappings under the Capital Requirements Regulation (CRR) mandate.
The consultation runs until 18/09/2017.
Consultation Paper on Revised Draft ITS Mapping CRR
Consultation Paper on Revised Draft ITS Mapping Solvency II