On February 15, 2016, the EBA published final draft Implementing Technical Standards on the mapping of assessments by Credit Rating Agencies for securitization positions under the Capital Requirements Regulation. The CRR establishes that the risk weights under the standardized and IRB approach for securitization positions should be based, if applicable, on the credit quality of the positions. This credit quality is determined by reference to the credit ratings of CRAs. The draft ITS determine the mapping between credit ratings and credit quality steps for the allocation of risk weights to External Credit Assessment Institutions’ ratings issued on securitizations. The mapping is backed by the results of an impact analysis as well as quantitative considerations. A securitization-specific systematic mapping methodology is also being considered by the EBA and this would be based on the historical performance of securitization ratings. The ITS aim to enhance regulatory harmonization across the EU allowing credit ratings of all registered CRAs to be used for calculating institutions’ capital requirements.
The final draft ITS are available at: http://www.eba.europa.eu/documents/10180/1370122/EBA-ITS-2016- 02+%28Final+draft+ITS+on+ECAI+mapping+for+securitisation+positions%29.pdf.