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
(Text with EEA relevance)
TITLE I
QUANTITATIVE FACTORS, QUALITATIVE FACTORS AND BENCHMARK
CHAPTER 1
Quantitative factors
Article 1
Quantitative factors of the mapping of a rating category
Article 2
Items used for the calculation of the quantitative factors
Section 1
Calculation of the quantitative factors of a rating category where a sufficient number of credit ratings is available
Article 3
Determination of whether a sufficient number of credit ratings is available
Article 4
Short run default rates of a rating category where a sufficient number of credit ratings is available
Article 5
Long run default rate of a rating category where a sufficient number of credit ratings is available
Section 2
Calculation of the quantitative factors of a rating category where a sufficient number of credit ratings is not available
Article 6
Items used and long run default rate of a rating category where a sufficient number of credit ratings is not available
CHAPTER 2
Qualitative factors
Article 7
Qualitative factors of the mapping of a rating category
Article 8
Definition of default used by the ECAI
Article 9
Time horizon of a rating category
Article 10
Meaning and relative position of a rating category
Article 11
Creditworthiness of items assigned the same rating category
Article 12
Estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category
Article 13
Internal mapping of a rating category established by the ECAI
CHAPTER 3
Benchmark and related references
Article 14
Benchmark
Article 15
Reference meaning of the rating category per credit quality step
TITLE II
MAPPING TABLES
Article 16
Mapping tables
TITLE III
FINAL PROVISION
Article 17
Entry into force
ANNEX I
Benchmarks for the purposes of Article 14
Credit Quality Step |
Long run benchmark |
||
Mid value |
Lower bound |
Upper bound |
|
1 |
0,10 % |
0,00 % |
0,16 % |
2 |
0,25 % |
0,17 % |
0,54 % |
3 |
1,00 % |
0,55 % |
2,39 % |
4 |
7,50 % |
2,40 % |
10,99 % |
5 |
20,00 % |
11,00 % |
26,49 % |
6 |
34,00 % |
26,50 % |
100,00 % |
Credit Quality Step |
Short run benchmarks |
|
Monitoring level |
Trigger level |
|
1 |
0,80 % |
1,20 % |
2 |
1,00 % |
1,30 % |
3 |
2,40 % |
3,00 % |
4 |
11,00 % |
12,40 % |
5 |
28,60 % |
35,00 % |
6 |
not applicable |
not applicable |
ANNEX II
Reference meaning of the rating category per credit quality step for the purposes of Article 15
Credit Quality Step |
Meaning of the rating category |
1 |
The rated entity has extremely/very strong capacity to meet its financial commitments and is subject to minimal/very low credit risk. |
2 |
The rated entity has strong capacity to meet its financial commitments and is subject to low credit risk but is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than rated entities in CQS 1. |
3 |
The rated entity has adequate capacity to meet its financial commitments and is subject to moderate credit risk. However, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity of the rated entity to meet its financial commitments. |
4 |
The rated entity has the capacity to meet its financial commitments but is subject to substantial credit risk. It faces major ongoing uncertainties and exposure to adverse business, financial, or economic conditions, which could lead to the rated entity's inadequate capacity to meet its financial commitments. |
5 |
The rated entity has the capacity to meet its financial commitments but is subject to high credit risk. Adverse business, financial, or economic conditions will likely impair the rated entity's capacity or willingness to meet its financial commitments. |
6 |
The rated entity is currently vulnerable or highly vulnerable and is subject to very high credit risk, including in or very near to default. It is dependent upon favourable business, financial, and economic conditions to meet its financial commitments. |
ANNEX III
Mapping tables for the purposes of Article 16
Credit quality step |
1 |
2 |
3 |
4 |
5 |
6 |
AM Best Europe-Rating Services Ltd |
||||||
Long-term issuer credit ratings scale |
aaa, aa+, aa, aa- |
a+, a, a- |
bbb+, bbb, bbb- |
bb+, bb, bb- |
b+, b, b- |
ccc+, ccc, ccc-, cc, c, rs |
Long-term debt ratings scale |
aaa, aa+, aa, aa- |
a+, a, a- |
bbb+, bbb, bbb- |
bb+, bb, bb- |
b+, b, b- |
ccc+, ccc, ccc-, cc, c, d |
Financial strength ratings scale |
A++, A+ |
A, A- |
B++, B+ |
B, B- |
C++, C+ |
C, C-, D, E, F, S |
Short-term ratings scale |
AMB-1+ |
AMB-1- |
AMB-2, AMB-3 |
AMB- 4 |
|
|
ARC Ratings S.A. |
||||||
Medium and long-term issuers rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Medium and long-term issues rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Short-term issuers rating scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, D |
|
|
Short-term issues 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 |
|
|
Axesor SA |
||||||
Global rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D, E |
BCRA — Credit Rating Agency AD |
||||||
Bank long-term ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
C, D |
Insurance long-term ratings scale |
iAAA, iAA |
iA |
iBBB |
iBB |
iB |
iC, iD |
Corporate long-term ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Municipality long-term ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Issue long-term ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Bank short-term ratings scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, D |
|
|
Corporate short-term ratings scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, D |
|
|
Municipality short-term ratings scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, D |
|
|
Issue short-term rating scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, D |
|
|
Banque de France |
||||||
Global long-term issuer credit ratings scale |
3++ |
3+, 3 |
4+ |
4, 5+ |
5, 6 |
7, 8, 9, P |
Capital Intelligence Ltd |
||||||
International long-term issuer rating scale |
AAA, AA |
A |
BBB |
BB |
B |
C, RS, SD, D |
International long-term issue rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
International short-term issuer rating scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, D |
|
|
International short-term issue rating scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, 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 |
Creditreform Ratings AG |
||||||
Long-term rating scale |
AAA, AA |
A |
BBB |
BB |
B |
C, D |
CRIF S.p.A. |
||||||
Global long-term rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, D1, D2 |
Dagong Europe Credit Rating |
||||||
Long-term credit rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Short-term credit rating scale |
A-1 |
|
A-2, A-3 |
B, C, D |
|
|
DBRS Ratings Limited |
||||||
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 |
|
|
Claims paying ability rating scale |
IC-1 |
IC-2 |
IC-3 |
IC-4 |
IC-5 |
D |
European Rating Agency, a.s. |
||||||
Long-term rating scale |
|
AAA, AA, A |
BBB |
BB |
B |
CCC, CC, C, D |
Short-term rating scale |
|
S1 |
S2 |
S3, S4, NS |
|
|
EuroRating Sp. z o.o. |
||||||
Global long-term rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Euler Hermes Rating GmbH |
||||||
Global long-term rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, SD, D |
FERI EuroRating Services AG |
||||||
FERI EuroRating rating scale |
AAA, AA |
A |
|
BBB, BB |
B |
CCC, CC, D |
Fitch Ratings |
||||||
Long-term issuer credit ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, RD, D |
Corporate finance obligations — Long-term ratings scale |
AAA AA |
A |
BBB |
BB |
B |
CCC, CC, C |
Long-term international IFS ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C |
Short-term rating scale |
F1+ |
F1 |
F2, F3 |
B, C, RD, D |
|
|
Short-term IFS ratings 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 |
ICAP Group S.A |
||||||
Global long-term rating scale |
|
AA, A |
BB, B |
C, D |
E, F |
G, H |
Japan Credit Rating Agency Ltd |
||||||
Long-term issuer ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, LD, D |
Long-term issue ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Short-term issuer ratings scale |
J-1+ |
J-1 |
J-2 |
J-3, NJ, LD, D |
|
|
Short-term issue credit ratings scale |
J-1+ |
J-1 |
J-2 |
J-3, NJ, D |
|
|
Kroll Bond Rating Agency |
||||||
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 |
|
|
Moody's Investors Service |
||||||
Global long-term rating scale |
Aaa, Aa |
A |
Baa |
Ba |
B |
Caa, Ca, C |
Bond fund rating scale |
Aaa-bf, Aa-bf |
A-bf |
Baa-bf |
Ba-bf |
B-bf |
Caa-bf, Ca-bf, C-bf |
Global short-term rating scale |
P-1 |
P-2 |
P-3 |
NP |
|
|
Standard & Poor's Ratings Services |
||||||
Long-term issuer credit ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, R, SD/D |
Long-term issue credit ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
Insurer financial strength ratings scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, SD/D, R |
Fund credit quality ratings scale |
AAAf, AAf |
Af |
BBBf |
BBf |
Bf |
CCCf |
Mid Market Evaluation ratings scale |
|
MM1 |
MM2 |
MM3, MM4 |
MM5, MM6 |
MM7, MM8, MMD |
Short-term issuer credit ratings scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, R, SD/D |
|
|
Short-term issue credit ratings scale |
A-1+ |
A-1 |
A-2, A-3 |
B, C, D |
|
|
Scope Ratings AG |
||||||
Global long-term rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC,C, D |
Global short-term rating scale |
S-1+ |
S-1 |
S-2 |
S-3, S-4 |
|
|
Spread Research |
||||||
International long-term rating scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |
The Economist Intelligence Unit Ltd |
||||||
Sovereign rating band scale |
AAA, AA |
A |
BBB |
BB |
B |
CCC, CC, C, D |