Draft Implementing Technical Standards on the Mapping of ECAIs’ Credit Assessments under CRR

JC 2023 050
13 November 2023
Final report
Draft implementing technical standards amending Implementing Regulation (EU) 2016/1799 on the mapping of ECAIs’ credit assessments under Article 136(1) and (3) of Regulation (EU) No 575/2013

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 2 Contents

1. Executive Summary 3
2. Background and rationale 5
3. Draft implementing technical standards amending Implementing Regulation (EU) 2016/1799 on
   the mapping of ECAIs’ credit assessment under Article 136(1) and (3) of Regulation (EU) No 575/2013 7
4. Accompanying documents 19
   4.1 Draft Cost-Benefit Analysis/Impact Assessment 19
   4.2 Feedback on the public consultation 25
   Summary of responses to the consultation and the ESAs’ analysis 26

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 3

1. Executive Summary
   The Capital Requirements Regulation (CRR) 1 establishes that risk weights under the Standardised Approach should be based on the exposure class to which the exposure is assigned and, if applicable, its credit quality determined by reference to the credit assessments of External Credit Assessment Institutions (ECAIs). The Joint Committee (JC) of the European Supervisory Authorities (ESAs) is mandated under Article 136(1) of the CRR to provide a correspondence (‘mapping’) between relevant credit assessments of ECAIs and Credit Quality Steps (CQS), as set out in Section 2 of Chapter 2 of Title II of Part Three of the CRR, where reference is made to the relevant risk weights for the calculation of credit risk capital requirements under the Standardised Approach. According to Article 136(1) CRR, ‘mappings’ should be specified for all ECAIs, which are defined according to Article 4(98) CRR as Credit Rating Agencies (CRAs) registered or certified in accordance with the CRA Regulation 2, 3 or a central bank issuing credit ratings that are exempt from the application of CRA Regulation. The European Commission adopted on 7 October 2016 Implementing Regulation (EU) 2016/1799 (‘the Implementing Regulation’) 4 laying down Implementing Technical Standards with regard to the mapping of credit assessments of ECAIs for credit risk. Annex III of the Implementing Regulation provided mapping tables for 26 ECAIs, which covered one central bank and all the CRAs registered or certified in accordance with the CRA Regulation at the time the ESAs started preparing the draft ITS. This Implementing Regulation was subsequently amended on 25 April 2018, 5 to incorporate mappings for the five new ECAIs, that had been registered or certified after the ESAs submitted the original draft ITS to the Commission, and to remove references to a de-registered ECAI, thereby providing in total mappings for 30 ECAIs. Further, a second amendment was adopted on 29 November 2019 6 to reflect a monitoring exercise on the adequacy of existing mappings, which was based on objective quantitative and qualitative information collected since the original mappings were produced. Finally, a third amendment was adopted on 16 November 2021 7 to reflect the production of mappings for two newly established ECAIs, together with an updated mapping for ten ECAIs following another monitoring exercise. 1 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms. OJ L 176, 27.6.2013, p. 1. 2 Regulation (EC) No 1060/2009 of 16 September 2009 on credit rating agencies (OJ L 302, 17.11.2009, p. 1-33). http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:02009R1060-20150621. 3 Please refer to the ESMA website for a list of CRAs registered or certified in accordance with the CRA Regulation. https://www.esma.europa.eu/supervision/credit-rating-agencies/risk 4 Implementing Regulation (EU) 2016/1799 of 7 October
   2016 (OJ L 275, 12.10.2016, p.3-18) 5 Implementing Regulation (EU) 2018/634 of 24 April 2018 (OJ L 105, 25.4.2018, p. 14–20). 6 Implementing Regulation (EU) 2019/2028 of 29 November 2019 (OJ L 313, 4.12.2019, p. 34–40). 7 Implementing Regulation (EU) 2021/2006 of 16 November 2021 (OJ L 407, 17.11.2021, p. 18–26).

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 4 Since the third amendment to the draft ITS was developed, ESMA has withdrawn the registration of three CRAs. 8 Further, the JC of the ESAs is required to monitor the existing mappings and has therefore analysed whether the mapping of existing ECAIs remains appropriate. The monitoring has identified that the existing mapping tables of the ITS are to be amended for 9 ECAIs, either as a result of i) changes in the allocation of CQS due to an updated assessment of risk in line with the EBA methodology, based on additional information collected since the last amendment was produced, ii) assignment of mappings for newly introduced or replaced credit rating scales by existing ECAIs, or iii) changes in the name of the CRA or the rating scale/ rating category symbols. The Implementing Regulation will therefore need to be amended accordingly. The revised draft ITS will propose amendments to the Mapping tables specified in Annex III of the Implementing Regulation 2016/1799. The following changes will be made:

• Removal from the mapping table of the three CRAs that have lost ECAI status following their
  de-registration as a CRA under the CRA Regulation, 9 and reflection of name changes of two registered entities. 10
• Amendments due to the re-allocation of CQS (EthiFinance Ratings, S.L. (previously Axesor Risk
  Management, S.L.)., Creditreform Ratings AG, ICAP CRIF S.A. (previously ICAP S.A.), Nordic Credit Rating AS) and amendments due to new or amended credit rating scales (ARC Ratings S.A., Banque de France, Bulgarian Credit Rating Agency (BCRA), EthiFinance Ratings, S.L. (previously Axesor Risk Management, S.L.)., Fitch Ratings Ireland Limited, Kroll Bond Rating Agency and Scope Ratings GmbH). Additionally, Fitch Ratings Ireland Limited informed the ESAs during the consultation that its derivative counterparty rating scale does not reflect the rating categoriesrelated to restricted default and default in the draft ITS. The ESAs agreed to reflect these rating categories, which are associated by definition to the credit quality step denoting the lowest creditworthiness, i.e. CQS 6. Individual mapping reports are published on the EBA website, including for those ECAIs that i) expanded to additional SA exposure classes or credit assessment types within their existing structure of credit rating scales or ii) updated their qualitative factors: EthiFinance Ratings, S.L. (previously Axesor Risk Management, S.L.), Fitch Ratings Ireland Limited, GBB- Rating Gesellschaft für Bonitätsbeurteilung GmbH and Scope Ratings GmbH. 8 Rating-Agentur Expert RA GmbH captured in the Consultation Paper, and additionally Qivalio SAS (previously Spread Research) and Scope Hamburg GmbH (previously Euler Hermes Rating GmbH) reflected as de-registered in the Final Report. Please refer to the ESMA website for a list of de-registered or de-certified CRAs:
  https://www.esma.europa.eu/supervision/credit-rating-agencies/risk 9 As per CRR Article 4(1) subparagraph 98, ‘external credit assessment institution’ or ‘ECAI’ means a credit rating agency that is registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies or a central bank issuing credit ratings which are exempt from the application of Regulation (EC) No 1060/2009. 10 “Axesor Risk Management S.L.” has been renamed “EthiFinance Ratings” and “ICAP S.A.” has been renamed “ICAP CRIF S.A.”.

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 5
2. Background and rationale
The nature of ITS under EU law
This draft ITS are produced in accordance with Article 15 of Regulation (EU) No 1093/2010 (EBA regulation), 11 Article 15 of Regulation (EU) No 1094/2010 (EIOPA Regulation) 12 and Article 15 of Regulation (EU) No 1095/2010 (ESMA Regulation). 13 Background As stated in Article 135(1) CRR, external credit assessments can only be used if they have been provided by an ECAI. ECAIs are defined as credit rating agencies registered or certified in accordance with the CRA Regulation or any central bank issuing credit ratings, and that are exempt from the application of the CRA Regulation. 14 Since the third amendment to the draft ITS was developed three CRAs have lost ECAI status following their deregistration as CRA under the CRA Regulation, 15 and two registered entities have been renamed. 16 Furthermore, in line with recital 24 of the Implementing Regulation, which stipulates that compliance with the CRR is required at all times and it is therefore necessary to monitor the performance of the mappings on a continuous basis, the adequacy of the existing mappings have also been reviewed. The performance of the mappings has been monitored based on the additional quantitative information collected after the Implementing Regulation entered into force and on the qualitative developments registered by the ECAIs. While ESMA updates the Central Repository of credit rating (CEREP) database infrastructure, expected in the course of 2023, the ESAs have conducted technical meetings and developed a bridge interim solution from ESMA’s CEREP and Ratings Data Repository (RADAR) that allows for the transmission of relevant statistics on ratings performance in an aggregate manner for this ITS amendment. As a result of this monitoring exercise, the Implementing Regulation needs to be amended to reflect developments on credit rating scales and the allocation of CQS for those ECAIs that have experienced changes in the quantitative or qualitative factors of their credit assessments. 11 Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p.12). 12 Regulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Insurance and Occupational Pensions Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/79/EC (OJ L 331, 15.12.2010, p. 48). 13 Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84). 14 CRR Article 4(1) subparagraph 98. 15 Please refer to the ESMA website for a list of de-registered or de-certified CRAs:

https://www.esma.europa.eu/supervision/credit-rating-agencies/risk 16 “Axesor Risk Management S.L.“ was renamed “EthiFinance Ratings S.L.” and “ICAP S.A.” was renamed “ICAP CRIF S.A.”

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 6

• Amendments due to re-allocation of credit quality steps: Nordic Credit Rating AS, EthiFinance
  Ratings, S.L. (previously Axesor Risk Management, S.L.), ICAP CRIF S.A. (previously ICAP S.A.), Creditreform Ratings AG.
• Amendments due to changes in credit rating scales: ARC Ratings S.A., Banque de France,
  Bulgarian Credit Rating Agency (BCRA), EthiFinance Ratings, S.L. (previously Axesor Risk Management, S.L.), Fitch Ratings Ireland Limited, Kroll Bond Rating Agency and Scope Ratings GmbH. Individual mapping reports are also published on the EBA website, including for those ECAIs that expanded to additional SA exposure classes or credit assessment types within their existing structure of credit rating scales, or those that updated their qualitative factors: EthiFinance Ratings, S.L. (previously Axesor Risk Management, S.L.), Fitch Ratings Ireland Limited, GBB-Rating Gesellschaft für Bonitätsbeurteilung GmbH and Scope Ratings GmbH. Structure of the ITS These revised draft ITS amend Annex III of the Implementing Regulation to take into account the performance of existing ECAIs’ mappings and their adequacy, together with the removal of the mapping of deregistered ECAIs. This is in line with the second subparagraph of Article 136(1) CRR, which states that revised draft ITS shall be submitted where necessary. Together with the revised draft ITS, individual amended mapping reports are also published on the EBA’s website.

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 7
3. Draft implementing technical
standards amending Implementing
Regulation (EU) 2016/1799 on the mapping of ECAIs’ credit assessment under Article 136(1) and (3) of Regulation (EU) No 575/2013

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 8 COMMISSION IMPLEMENTING REGULATION (EU) No …/… amending the technical standards laid down in Implementing Regulation (EU) 2016/1799 as regards the mapping tables specifying the correspondence between the credit risk assessments of external credit assessment institutions and the credit quality steps set out in Regulation (EU) No 575/2013 of the European Parliament and of the Council of XXX THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 17, and in particular the first subparagraph of Article 136(1) thereof, Whereas:
(1) Commission Implementing Regulation (EU) 2016/1799 18 specifies, in its Annex III, the correspondence between the relevant credit assessments issued by an external credit assessment institution (‘ECAI’) and the credit quality steps set out in Part Three, Title II, Chapter 2, Section 2 of Regulation (EU) No 575/ 2013 (‘mapping’). (2) Since the latest amendments introduced by Commission Implementing Regulation (EU) 2021/2005 19, the quantitative and qualitative factors underpinning the credit assessments of some mappings in Annex III to Implementing Regulation (EU) 2016/1799 have changed. In addition, some ECAIs have extended their credit assessments to new market segments, resulting in new rating scales and new credit rating types. It is therefore necessary to update the mappings of the ECAIs concerned. (3) Since the adoption of Implementing Regulation (EU) 2021/2005, three ECAIs for which Implementing Regulation (EU) 2016/1799 provided a mapping have been deregistered. As Article 136(1) of Regulation (EU) No 575/2013 requires the specification of mappings for all ECAIs, Implementing Regulation (EU) 2016/1799 should be amended to remove the mapping for the deregistered ECAIs. (4) In addition, two ECAIs registered in accordance with Articles 14 to 18 of Regulation (EC) No 1060/2009, and for which a mapping was provided in Implementing Regulation (EU) 2016/1799, have changed their name and one registered ECAI amended the symbols used to denote their rating categories of its rating scales. It is 17 OJ L 176, 27.6.2013, p. 1. 18 Commission Implementing Regulation (EU) 2016/1799 of 7 October 2016 laying down implementing technical standards with regard to the mapping of credit assessments of external credit assessment institutions for credit risk in accordance with Articles 136(1) and 136(3) of Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 275, 12.10.2016, p. 3). 19 Commission Implementing Regulation (EU) 2021/2005 of 16 November 2021 amending Implementing Regulation (EU) 2016/1799 as regards the mapping tables specifying the correspondence between the credit risk assessments of external credit assessment institutions and the credit quality steps set out in Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 407, 17.11.2021, p. 10-17).

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 9 therefore necessary to amend the mapping for those ECAIs to reflect the name changes and current symbols used by those ECAIs. (5) Implementing Regulation (EU) 2016/1799 should therefore be amended accordingly. (6) This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority, the European Securities and Markets Authority and the European Insurance and Occupational Pensions Authority jointly (the European Supervisory Authorities) to the Commission. (7) The European Supervisory Authorities have conducted open public consultations on the draft implementing technical standards, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council 20; the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council 21; and the opinion of the Insurance and Reinsurance Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1094/2010 of the European Parliament and of the Council. 22 HAS ADOPTED THIS REGULATION:
Article 1
Amendment to Regulation (EU) 2016/1799
Annex III to Implementing Regulation (EU) 2016/1799 is replaced by the text set out in the
Annex to this Regulation.
Article 2
Entry into force
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 20 Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC(OJ L 331, 15.12.2010, p. 12). 21 Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84). 22 Regulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Insurance and Occupational Pensions Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/79/EC (OJ L 331, 15.12.2010, p. 48).

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 10 For the Commission The President

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 11
ANNEX
ANNEX III
Mapping tables for the purposes of Article 16
Credit quality step 1 2 3 4 5 6
A.M. Best (EU) Rating Services B.V.
Long-term issuer credit rating scale aaa, aa+, aa, aa- a+, a, a- bbb+, bbb, bbb- bb+, bb, bb- b+, b, b￾ccc+, ccc, ccc-, cc, c, d, e, f, s Long-term issue rating scale aaa, aa+, aa, aa- a+, a, a- bbb+, bbb, bbb- bb+, bb, bb- b+, b, b￾ccc+, ccc, ccc-, cc, c, d, s Financial strength rating scale A++, A+ A, A- B++, B+ B, B- C++, C+ C, C-, D, E, F, S Short-term issuer rating scale AMB-1+ AMB-1- AMB-2, AMB-3 AMB- 4, d, e, f, s Short-term issue rating scale AMB-1+ AMB-1- AMB-2, AMB-3 AMB- 4, d, s ARC Ratings S.A. Medium- and long-term issuer rating scale AAA, AA A BBB BB B CCC, CC, C, D Medium- and long-term issue rating scale AAA, AA A BBB BB B CCC, CC, C, D Insurance Financial Strength Rating Criteria scale AAA, AA A BBB BB B CCC, CC, C, D

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 12 Credit quality step 1 2 3 4 5 6 Short-term issuer rating scale A-1+ A-1 A-2, A-3 B, C, D Short-term issue rating scale A-1+ A-1 A-2, A-3 B, C, D ASSEKURATA Assekuranz Rating-Agentur GmbH Long-term credit rating scale AAA, AA A BBB BB B CCC, CC/C, D Short-term corporate rating scale A++ A B, C, D Banque de France Global ANACOT long-term issuer credit rating scale 1+ 1, 1- 2+, 2, 2- 3+, 3, 3-, 4+, 4, 4-, 5+ 5, 5-, 6+, 6, 6- 7, 8, P BCRA — Credit Rating Agency AD Global long-term rating scale AAA, AA A BBB BB B CCC, CC, C, D Global short-term rating scale A-1+ A-1 A-2, A-3 B, C, D Pension-insurance company long-term scale AAA, AA A BBB BB B CCC, CC, C, D Pension-insurance company short-term scale A-1+ A-1 A-2, A-3 B, C, D Pension fund long-term scale AAA pf, AA pf A pf BBB pf BB pf B pf C pf Capital Intelligence Ratings Ltd International long-term issuer rating scale AAA, AA A BBB BB B C, RS, SD, D

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 13 Credit quality step 1 2 3 4 5 6 International long-term issue rating scale AAA, AA A BBB BB B CCC, CC, C, D International long-term insurer financial strength rating scale AAA, AA A BBB BB B C, RS, SD, D International short-term issuer rating scale A1+ A1 A2, A3 B, C, RS, SD, D International short-term issue rating scale A1+ A1 A2, A3 B, C, D International short-term insurer financial strength rating scale A1+ A1 A2, A3 B, C, RS, SD, D Cerved Rating Agency S.p.A. Corporate long-term rating scale A1.1, A1.2, A1.3 A2.1, A2.2, A3.1 B1.1, B1.2 B2.1, B2.2 C1.1 C1.2, C2.1 Corporate short-term rating scale S-1 S-2 S-3 V-1, R-1 Creditreform Rating AG Long-term issuer rating scale AAA, AA A BBB BB B C, SD, D Long-term issue rating scale AAA, AA A BBB BB B C, D Short-term rating scale L1 L2 L3 NEL, D CRIF Ratings S.r.l. Long-term issuer rating scale AAA, AA A BBB BB B CCC, CC, C, D1S, D

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 14 Credit quality step 1 2 3 4 5 6 Long-term issue rating scale AAA, AA A BBB BB B CCC, CC, C, DS SME rating scale SME1, SME2 SME3 SME4 SME5, SME6 SME7, SME8 Short-term issuer rating scale IG-1 IG-2 SIG-1, SIG-2, SIG-3, SIG-4 Short-term issue rating scale IG-1 IG-2 SIG-1, SIG-2, SIG-3, SIG-4 DBRS Ratings GmbH Long-term obligations rating scale AAA, AA A BBB BB B CCC, CC, C, D Commercial paper and short-term debt rating scale R-1 H, R-1 M R-1 L R-2, R-3 R-4, R-5, D Financial strength rating scale AAA, AA A BBB BB B CCC, CC, C, R Expected loss rating scale AAA(el), AA(el) A(el) BBB(el) BB(el) B(el) CCC(el), CC(el), C(el) Egan-Jones Ratings Co. Long-term credit rating scale AAA, AA A BBB BB B CCC, CC, C, D Short-term credit rating scale A-1+ A-1 A-2 A-3, B, C, D EthiFinance S.L. (formerly Axesor Risk Management S.L.) Global long-term rating scale AAA, AA A BBB BB B CCC, CC, C, D

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 15 Credit quality step 1 2 3 4 5 6 Global short-term rating scale EF1+ EF1, EF2 EF3, EF4 EF5 EuroRating Sp. z o.o. Global long-term rating scale AAA, AA A BBB BB B CCC, CC, C, D Fitch Ratings Ireland Limited Long-term issuer default rating scale AAA, AA A BBB BB B CCC, CC, C, RD, D Corporate finance obligations — long-term rating scale AAA, AA A BBB BB B CCC, CC, C Long-term international Insurer Financial Strength rating scale AAA, AA A BBB BB B CCC, CC, C Derivative counterparty rating scale AAA dcr, AA dcr A dcr BBB dcr BB dcr B dcr CCC dcr, CC dcr, C dcr, RD dcr, R dcr Short-term rating scale F1+ F1 F2, F3 B, C, RD, D Short-term IFS rating scale F1+ F1 F2, F3 B, C GBB-Rating Gesellschaft für Bonitätsbeurteilung GmbH Global long-term rating scale AAA, AA A BBB BB B CCC, CC, C, D HR Ratings de México, S.A. de C.V.

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 16 Credit quality step 1 2 3 4 5 6 Global long-term rating scale HR AAA(G)/HR AA(G) HR A(G) HR BBB(G) HR BB(G) HR B(G) HR C(G)/HR D(G) Global short-term rating scale HR+1(G)/HR1(G) HR2(G) HR3(G) HR4(G), HR5(G), HR D(G) ICAP CRIF S.A. (previously ICAP S.A.) Global long-term issuer rating scale AAA, AA A BBB BB B, CCC CC, C, D Global long-term issue rating scale AAA, AA A BBB BB B, CCC CC, C, D INBONIS S.A. Long-term rating scale AAA/AA A BBB BB B CCC, CC, C, D Japan Credit Rating Agency Ltd Long-term issuer rating scale AAA, AA A BBB BB B CCC, CC, C, LD, D Long-term issue rating scale AAA, AA A BBB BB B CCC, CC, C, D Short-term issuer rating scale J-1+ J-1 J-2 J-3, NJ, LD, D Short-term issue credit rating scale J-1+ J-1 J-2 J-3, NJ, D Kroll Bond Rating Agency Europe Limited Long-term credit rating scale AAA, AA A BBB BB B CCC, CC, C, D Short-term credit rating scale K1+ K1 K2, K3 B, C, D

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 17 Credit quality step 1 2 3 4 5 6 Insurance Financial Strength rating scale AAA, AA A BBB BB B CCC, CC, C, D modeFinance S.r.l. Global long-term rating scale A1, A2 A3 B1 B2 B3 C1, C2, C3, D Moody’s Investors Service Global long-term rating scale Aaa, Aa A Baa Ba B Caa, Ca, C Global short-term rating scale P-1 P-2 P-3 NP Nordic Credit Rating AS Long-term rating scale AAA/AA A BBB BB B CCC, CC, C, D, SD Short-term rating scale N1 N2 N3 N4, N5, N6 Scope Ratings GmbH Long-term rating scale AAA, AA A BBB BB B CCC, CC, C, D/SD Short-term rating scale S-1+ S-1 S-2 S-3, S-4, D/SD S&P Global Ratings Europe Limited Long-term issuer credit rating scale AAA, AA A BBB BB B CCC, CC, R, SD/D

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 18 Credit quality step 1 2 3 4 5 6 Long-term issue credit rating scale AAA, AA A BBB BB B CCC, CC, C, D Insurer financial strength rating scale AAA, AA A BBB BB B CCC, CC, SD/D, R Long-term Financial Institution Resolution Counterparty Ratings AAA, AA A BBB BB B CCC, CC, SD, D Mid-Market Evaluation rating scale MM1 MM2 MM3, MM4 MM5, MM6 MM7, MM8, MMD Short-term issuer credit rating scale A-1+ A-1 A-2, A-3 B, C, R, SD/D Short-term issue credit rating scale A-1+ A-1 A-2, A-3 B, C, D Short-term Financial Institution Resolution Counterparty Ratings A-1+ A-1 A-2, A-3 B, C, SD/D

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 19
4. Accompanying documents
4.1 Draft Cost-Benefit Analysis/Impact Assessment
Procedural issues
In accordance with the Regulations of the three ESAs, an analysis of costs and benefits is conducted when drafting ITS, unless the analysis is disproportionate in relation to the scope and impact of the draft ITS concerned. Problem identification According to Article 135(1) of the CRR, an external credit assessment may be used to determine the risk weight of an exposure under the Standardised Approach only if it has been issued by an ECAI or has been endorsed by an ECAI in accordance with the CRA Regulation. Recital 98 of the CRR advises that the ECAI market should be open to more credit rating agencies given the dominance of three undertakings. Accordingly, Article 4(98) of the CRR automatically recognises credit rating agencies registered or certified in accordance with the CRA Regulation as ECAIs. Central banks issuing credit ratings which are exempt from the application of the CRA Regulation are also recognised as ECAIs. The usage of external credit ratings for determining own fund requirements requires a mapping between the credit assessments issued by an ECAI and the Credit Quality Steps (CQS) of the Standardised Approach set out in Section 2 of Chapter 2 of Title II of Part Three of the CRR. Mappings should be made available for all existing credit rating agencies registered or certified in accordance with the CRA Regulation and to central banks producing ratings that are not subject to that Regulation. Recital 24 of Implementing Regulation (EU) 2016/1799 points out that, given the fact that compliance with Regulation (EU) No 575/2013 is required at all times, it is necessary to monitor the performance of the mapping on a continuous basis and implement amendments in case of de-/registrations under the CRA Regulation. Policy objectives The main objective of the present revised draft ITS is to amend the Implementing Regulation to include changes in the mappings that have occurred since the third amendment to the draft ITS on Mapping was produced. As a result, the specific objectives of the revised draft ITS are to amend Annex III on the mapping tables in order to:

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 20

• Remove the mapping for three deregistered ECAIs: Rating-Agentur Expert RA GmbH, Qivalio
  SAS (previously Spread Research) and Scope Hamburg GmbH (previously Euler Hermes Rating GmbH).
• Reflect name changes of two registered entities: EthiFinance Ratings, S.L. (previously Axesor
  Risk Management, S.L.) and ICAP CRIF S.A. (previously ICAP S.A.)
• Reflect amendments due to re-allocation of credit quality steps: Creditreform Ratings AG,
  EthiFinance Ratings, S.L. (previously Axesor Risk Management, S.L.), ICAP CRIF S.A. (previously ICAP S.A.) and Nordic Credit Rating AS.
• Register amendments due to changes in credit rating scales: ARC Ratings S.A., Banque de
  France, Bulgarian Credit Rating Agency (BCRA), EthiFinance Ratings, S.L. (previously Axesor Risk Management, S.L.), Fitch Ratings Ireland Limited, Kroll Bond Rating Agency, Nordic Credit Rating AS and Scope Ratings GmbH.
  Figure 1: Deregistered ECAI
  ECAI Country of residence Status
  Rating-Agentur Expert RA GmbH Germany Deregistered Qivalio SAS (previously Spread Research) France Deregistered Scope Hamburg GmbH (previously Euler Hermes Rating GmbH) Germany Deregistered
  Figure 2: Renamed ECAI
  ECAI Previous name Country of residence
  EthiFinance Ratings, S.L. (previously
  Axesor Risk Management, S.L.) Axesor Risk Management S.L. Spain ICAP CRIF S.A. (previously ICAP S.A.) ICAP S.A. Greece

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 21
Figure 3: Mapping amendments from the monitoring exercise
Amendments to:
ECAI Credit Quality Steps
Allocation
Credit rating scales
ARC Ratings S.A. No Yes
Banque de France No Yes
Bulgarian Credit Rating Agency No Yes
Creditreform Ratings AG Yes No
EthiFinance Ratings, S.L. (previously Axesor Risk Management, S.L.) Yes Yes Fitch Ratings Ireland Limited No Yes ICAP CRIF S.A. (previously ICAP S.A.) Yes No Kroll Bond Rating Agency No Yes Nordic Credit Rating As Yes Yes Scope Ratings GmbH No Yes Individual mapping reports are also published on the EBA website, including for those ECAIs that expanded to additional SA exposure classes or credit assessment types within their existing structure of credit rating scales, or for those ECAIs that amended their qualitative factors: EthiFinance Ratings, S.L. (previously Axesor Risk Management, S.L.), Fitch Ratings Ireland Limited, GBB-Rating Gesellschaft für Bonitätsbeurteilung GmbH and Scope Ratings GmbH. Notwithstanding the principle stated in the previous paragraphs, the G-20 conclusions and the Financial Stability Board (FSB) principles for reducing reliance on external credit ratings should also be taken into account. Therefore, although the analysis behind the ‘mapping’ of each ECAI and its regular monitoring over time should alleviate any mechanistic overreliance of the credit risk rules on external ratings, institutions should be encouraged to use internal ratings rather than external credit ratings, even for the purpose of calculating own fund requirements as a way to reduce overreliance on external credit ratings. These ITS will contribute to a common understanding among institutions and the EU’s national competent authorities about the methodology that the Joint Committee should use to specify the

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 22 'mappings'. Given that the mappings of any ECAI will be equally applicable in all EU Member States, these ITS will also contribute to ensure a high level of harmonisation and consistent practice in this area and contribute to achieving the objectives in the CRR of enhancing the risk sensitivity of the credit risk rules. Baseline scenario The Commission adopted on 7 October 2016 the Implementing Regulation laying down ITS with regard to the mapping of credit assessments of ECAIs for credit risk in accordance with Articles 136(1) and 136(3) of the CRR. 1 That Implementing Regulation provided mapping tables for 26 ECAIs, which covered one central bank and all the CRAs registered or certified in accordance with the CRA Regulation at the time the ESAs started preparing the draft ITS. The Implementing Regulation was subsequently amended on 25 April 2018 2 to incorporate mappings for the five new ECAIs, that had been registered or certified after the ESAs submitted the original draft ITS to the Commission, and to remove references to a de-registered ECAI, thereby providing in total mappings for 30 ECAIs. A second amendment was adopted on 29 November 2019 3 to reflect a monitoring exercise on the adequacy of existing mappings, which was based on objective quantitative and qualitative information collected since the original mappings were produced. The third and most recent amendment was adopted on 16 November 2021 4 to reflect the production of mappings for two newly established ECAIs, together with an updated mapping for 9 ECAIs identified by the monitoring exercise. Options considered The ITS are to be amended following Article 136(1) of Regulation (EU) No 575/2013, which requires the specification of mappings for all ECAIs. Therefore, three deregistered ECAIs were removed from the mapping. Further, given the fact that compliance with Regulation (EU) No 575/2013 is required at all times, it is necessary to monitor the performance of the mapping on a continuous basis. The current draft ITS aims to amend the Implementing Regulation to include changes in the mappings resulting from this continuous monitoring. The elements that describe the degree of risk expressed by a credit assessment of an ECAI (quantitative and qualitative factors) and the levels of risk that should be used to define each credit quality step (“benchmarks”) remain unchanged with respect to the Implementing Regulation adopted by the Commission in October 2016. Regarding the monitoring exercise, the triggers are based on the quantitative and qualitative factors specified in the Implementing Regulation. Additionally, ECAIs may have extended their credit assessments to new segments and the associated new rating scales and/or new credit rating types will need to be reflected accordingly in the mapping reports. Finally, ECAIs may have made amendments to existing credit
rating scales. 1 Implementing Regulation (EU) 2016/1799 of 7 October 2016 (OJ L 275, 12.10.2016, p.3-18). 2 Implementing Regulation (EU) 2018/634 of 24 April 2018 (OJ L 105, 25.4.2018, p. 14–20). 3 Implementing Regulation (EU) 2019/2028 of 29 November 2019 (OJ L 313, 4.12.2019, p. 34–40). 4 Implementing Regulation (EU) 2021/2006 of 16 November 2021 (OJ L 407, 17.11.2021, p. 18–26).

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 23 Quantitative factors to calibrate the mapping are drawn from statistics on the rating activity and the rating performance of ECAIs produced by ESMA (CEREP 5 and RADAR 6 ), based on the information provided by the ECAIs as part of their reporting obligations. 7 Currently, the latest data available cover up to the reference date 30 June 2021. Qualitative factors are taken into account to produce the mapping, as per Article 136(2) CRR. Further, recital 11 of the Implementing Regulation specifies that both quantitative and qualitative factors should be used to produce a mapping, with the qualitative factors being considered in a second stage, as and when necessary and especially where quantitative factors are not adequate. Following this approach, changes in qualitative factors are assigned lower priority with respect to quantitative factors. The qualitative factors identified in the Implementing Regulation are:

• the definition of default considered by the ECAI;
• the time horizon of a rating category considered by the ECAI;
• the meaning of a rating category and its relative position within the rating scale;
• the creditworthiness of the items assigned the same rating category;
• the estimate provided by the ECAI of the long run default rate;
• the relationship established by the ECAI (‘internal mapping’), where available, between on the
  one hand, the rating category which is being mapped, and on the other hand, other rating categories produced by the same ECAI, where a mapping for the latter categories has already been set out;
• any other relevant information that can describe the degree of risk expressed by a rating
  category.
  Moreover, as noted in recital 26 of the Implementing Regulation, in March 2016 the Commission notified the JC of the ESAs of its intention to endorse the draft ITS 8 with amendments, which affected the level of conservatism of the mapping. An Opinion was issued by the ESAs rejecting the amendments proposed by the Commission. 9 However, as indicated in recital 27 of the Implementing Regulation, the Commission proceeded to amend the draft ITS in respect of some provisions that relate to smaller/newer ECAIs that entered the market recently. As a result, the Commission did not adopt the more conservative treatment in cases of limited data, after the end of the phase-in period in 2019. Therefore, the approach of an “indefinitely extended” phase-in period is also adopted here. 5 https://cerep.esma.europa.eu/cerep-web/ 6 Commission Delegated Regulation (EU) 2015/2 RADAR RTS. 7
  Article 11(2) of the CRA Regulation.
  8 http://www.eba.europa.eu/documents/10180/1269185/Final+Draft+ITS+on+ECAIs%27%20Mapping.pdf/3f4b46bb-825e￾4211-b199-519b6b3bf865 9 http://www.eba.europa.eu/documents/10180/1359456/ESAs+2016+41+%28Joint+Opinion+on+EC+amend+ITS+ECAIs+Ma pping+CRR%29.pdf

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 24 E. Assessment of the options Costs The mappings, as well as their review of adequacy, are produced following the methodology adopted by the Commission. The Commission highlights the need to avoid the automatic application of a more conservative mapping to all ECAIs which did not produce sufficient ratings, for the sole reason that they did not produce sufficient ratings, without taking into account the quality of their ratings. Subsequently, qualitative factors were captured via the notifications sent to ESMA by the ECAIs as part of their reporting obligations under the CRA Regulation. There are potential risks that ECAIs with insufficient ratings could leverage on the Commission’s amendments and produce credit assessments that are less conservative than the mapping would suggest. Less conservative credit assessments would be associated with lower risk weights under the Standardised Approach, which would result in an underestimation of own funds requirements. Further, in order to limit the compliance costs with this Regulation by ECAIS, the qualitative and quantitative elements to derive the mapping have been sourced from the credit assessment information that CRAs are mandated to submit to ESMA as part of their reporting obligations under Regulation (EU) No 1060/2009 (CRA Regulation) and Regulation (EU) 2015/2. This contributes to reduce the reporting burden to ECAIs and ensures harmonization. Benefits The inclusion of smaller ECAIs to the mapping exercise allows the use of those credit assessments for determining own fund requirements. This increases competition in the industry, where certain ECAIs exercise a significant market power. 10 ECAIs having extended their credit assessments to new segments will see the associated new rating scales becoming operational for the purposes of risk-weight determination under the Standardised Approach. Moreover, ECAIs having amended, added or removed rating scales will have their mapping reflecting these changes. Overall, these changes will benefit the financial sector by providing it with an accurate and updated picture of the correspondence between their credit assessments by ECAIs and the CQS of the Standardised Approach, which allows the use of those credit assessments for determining own fund requirements. The analysis performed to arrive at each individual mapping and its regular monitoring over time should contribute to mitigate any mechanistic overreliance of the credit risk rules on external ratings, although due caution should continue to be exercised. This is one of the objectives of the CRR derived from the G-20 conclusions and the FSB principles for reducing reliance on external credit ratings. 10 The market share is concentrated in three ECAIs that represent over 90% of the market. Market share calculation based on 2021 applicable turnover from credit rating activities and
ancillary services in the EU. Please refer to: Report on CRA market share (ESMA, 2021).

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) EBA REGULAR USE 25
4.2 Feedback on the public consultation
The ESAs publicly consulted on the draft proposal contained in this paper.
The consultation period opened on 25 May 2023 and ended on 26 June 2023. A total of four responses were received, of which two were published. This paper presents a summary of the key points and other comments arising from the consultation, the analysis and discussion triggered by these comments, and the actions taken to address them if deemed necessary. One change to the draft ITS has been incorporated as a result of the responses received during the public consultation. Summary of key issues The main issues identified in the Consultation Period refer to the request by an ECAI of inclusion of additional ratings, which were notified after the collection of qualitative and quantitative information from all ECAIs had already been finalised, and subsequently analysed by the ESAs. The ESAs consider it would not be appropriate to delay the publication of the Final Report to accommodate for the assessment of those ratings notified late in the process, these will be duly considered in the next monitoring exercise.

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) 26 Summary of responses to the consultation and the ESAs’ analysis Comments Summary of responses received ESAs’ analysis Amendments to the proposals Responses to questions in Consultation Paper EBA/CP/2023/15 Question 1. Do you agree with the proposed revised draft Implementing Technical Standards? Credit ratings and rating scales A submitter requested that the
annex should additionally include
their newly developed ratings.
The newly reported ratings were reported after the collection of qualitative and quantitative information from all ECAIs had already been finalised, and subsequently analysed by the ESAs. The ESAs consider it would not be appropriate to delay the publication of the Final Report to accommodate for the assessment of those ratings notified late in the process, these will be duly considered in the next monitoring exercise. No change Missing rating categories A submitter noted that one of its rating scales does not include the rating categories related to restricted default and default The ESAs agreed to reflect those rating categories, restricted default and default, considering their mapping is associated by definition to the credit quality step denoting the lowest creditworthiness. Inclusion of the restricted default and default rating categories to the mapping of the relevant credit rating scale Editorial changes to a mapping report. A submitter provided editorial changes to its mapping report. The ESAs agreed to adjust the relevant mapping report to reflect the editorial changes, which leave the substance of that mapping report unchanged. Adjustment of the relevant mapping report to reflect the editorial changes Information on withdrawn ratings A submitter requested further transparency on the treatment of The treatment of withdrawn ratings in the quantitative analysis of the credit assessment is explained in recital (14) and Article 4(3) of the Commission Implementing Regulation (EU) 2016/1799. No change

FINAL REPORT ON REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS CRR ART 136(1) AND (3) 27 Comments Summary of responses received ESAs’ analysis Amendments to the proposals withdrawn ratings in the mapping process. In addition, to enhance transparency, the ESAs publish mapping reports illustrating how the methodology is applied to derive the mapping. Information on withdrawn ratings is provided directly by ECAIs to ESMA as per the reporting obligations in the CRA Regulation.