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These draft ITS specify the correspondence or ‘mapping' between credit ratings and credit quality steps that shall 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 for securitisations are used.
In the short-term, these draft ITS propose to maintain the current mapping in place for all ECAIs. The proposed mapping is motivated by the outcome of an impact analysis as well as by qualitative considerations. The EBA is also considering developing a securitisation-specific systematic mapping methodology fully based on securitisation ratings' historical performance, as it is the case for the ECAI mapping on non-securitisation exposures under the SA. However, the EBA deems that some caution is needed for the time being 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 at both the international and EU levels.
Furthermore, these draft ITS include a proposal that the overall approach to the mapping of securitisation ratings be reviewed by 2018 and that the performance of issued securitisation ratings be constantly monitored in order to assess, at any time, the appropriateness of a specific mapping table.
Comments can be sent to the EBA by 7 August 2015. A public hearing will take place at the EBA premises on 11 June 2015 from 10:00 to 11:00 UK time.