ESAs publish amended technical standards on the mapping of External Credit Assessment Institutions

The JC of the ESAs has published two amended draft ITS related to the mapping of credit assessments from ECAIs in accordance with CRR and the Solvency II Directive. The Solvency II Delegated Regulation allows insurance and reinsurance companies to use external credit assessments for calculating the Solvency Capital Requirement. The CRR establishes that risk weights under the SA should be based on credit quality determined by ECAIs. The amendments align with the mandate of the JC to monitor the adequacy of existing ECAI mappings, contributing to the EU Single Rulebook for banking and insurance. The amendments to these mappings reflect the results of a monitoring exercise assessing the adequacy of existing mappings and the deregistration of three CRAs.
The amendments propose changes to the CQS allocation for four ECAIs and the introduction of new or amended credit rating scales for seven ECAIs. The amended ITS no longer include mapping tables for the three ECAIs whose licenses have been revoked. The ESAs have published individual draft mapping reports explaining the methodology applied for the amended mappings.
The ITS on ECAIs aim to ensure that EU-based financial institutions only use external credit assessments from recognized institutions for calculating their capital requirements. The reports include details on the changes for specific ECAIs, the reasons for amendments, and the correction of inconsistencies. The ESAs have also considered methodological alignment and addressed issues raised by Fitch Ratings Ireland Limited.
The Solvency II-related draft ITS (JC 2023 049) emphasize the need to specify the allocation of credit assessments of ECAIs to CQS aligning with regulatory requirements. The report outlines the changes made, including the removal of three CRAs and adjustments due to reallocation of SQS and changes in credit rating scales. The report also addresses changes related to methodological alignment and corrections to inconsistencies between mappings for Solvency II and CRR. Individual mapping reports for specific ECAIs are available on the EBA website.
The CRR-related draft ITS (JC 2023 050) highlight the mandate under Article 136(1) CRR to provide mappings between credit assessments of ECAIs and CQS. The report details the changes made, including the removal of three CRAs and adjustments due to reallocation of CQS and changes in credit rating scales. Individual mapping reports for specific ECAIs are available on the EBA website.