Circular PPB-2007-2-CPB: Recognition of External Credit Assessment Institutions (OECI) (Update September 11, 2007)

rue du Congrès 12-14 | 1000 Brussels t +32 2 220 53 42 | f +32 2 220 54 93 | www.cbfa.be Prudential Policy Brussels, February 8, 2007

CIRCULAR PPB-2007-2-CPB to credit institutions, stock exchange companies, wealth management companies, order execution companies for financial instruments, liquidation bodies and bodies assimilated to liquidation bodies, and to financial companies.

Subject: Recognition of External Credit Assessment Institutions (OECI)

Madam, Sir,

Pursuant to Articles V.12 and VII.4 of the Regulation on the own funds of credit institutions and investment firms of October 17, 2006, external credit assessments published by OECIs may only be used by institutions in the calculation of risk-weighted assets when these institutions have been recognized as eligible by the CBFA.

This circular establishes the list of OECIs recognized as eligible by the CBFA, as well as the correspondence between external credit assessments and credit quality steps.

The following are considered eligible OECIs for the segments indicated:

OECI/Segments	Commercial Entities¹	Public Finances	Securitization
Fitch Ratings	X
Standard & Poor’s Ratings Services		X
Moody’s Investors Service			X

The CBFA, pursuant to Article V.14, §2, authorizes the use of unsolicited ratings from these three agencies.

…/…

1 Including enterprises, establishments, and financial establishments as defined by the Regulation of the Banking, Financial and Insurance Commission of October 17, 2006 concerning the own funds of credit institutions and investment firms.

PPB-2007-2-CPB - 2 rue du Congrès 12-14 | 1000 Brussels t +32 2 220 53 42 | f +32 2 220 54 93 | www.cbfa.be

Pursuant to Articles V.13 and VII.5, the assessments of the eligible OECIs defined above are associated with the following credit quality steps:

Standardized Approach: Long-term Mapping

Credit Quality Steps	Credit Assessments
	Fitch
1	AAA to AA-
2	A+ to A-
3	BBB+ to BBB-
4	BB+ to BB-
5	B+ to B-
6	CCC+ and below

Short-term Mapping

Credit Quality Steps	Credit Assessments
	Fitch
1	F1+, F1
2	F2
3	F3
4	Below F3
5
6

Securitization: Long-term Mapping: Standardized Approach

Credit Quality Steps	Credit Assessments
	Fitch
1	AAA to AA-
2	A+ to A-
3	BBB+ to BBB-
4	BB+ to BB-
5	B+ and below

…/…

PPB-2007-2-CPB - 3 rue du Congrès 12-14 | 1000 Brussels t +32 2 220 53 42 | f +32 2 220 54 93 | www.cbfa.be

Long-term Mapping: IRB Approach

Credit Quality Steps	Credit Assessments
	Fitch
1	AAA
2	AA
3	A+
4	A
5	A-
6	BBB+
7	BBB
8	BBB-
9	BB+
10	BB
11	BB-
Below 11	Below BB-

Short-term Mapping: Standardized Approach

Credit Quality Steps	Credit Assessments
	Fitch
1	F1+, F1
2	F2
3	F3
All other credit assessments	Below F3

Short-term Mapping: IRB Approach

Credit Quality Steps	Credit Assessments
	Fitch
1	F1+, F1
2	F2
3	F3
All other credit assessments	Below F3

…/…

PPB-2007-2-CPB - 4 rue du Congrès 12-14 | 1000 Brussels t +32 2 220 53 42 | f +32 2 220 54 93 | www.cbfa.be

Collective Investment Undertakings

Credit Quality Steps	Credit Assessments
	Fitch
1	AAA to AA-
2	A+ to A-
3	BBB+ to BBB-
4	BB+ to BB-
5	B+ to B-
6	CCC+ and below

A copy of this circular is sent to your (your) auditor(s).

We ask you to accept, Madam, Sir, the expression of our best sentiments.

The Vice-President, J-P Servais.