On May 7, 2015, the EBA published a consultation paper comprising draft Implementing Technical Standards on the mapping of credit assessments of External Credit Assessment Institutions for securitization positions under the CRR. The draft ITS aim to determine the mapping between credit ratings and credit quality steps for the allocation of risk weights to ECAIs’ ratings issued on securitizations. Under the CRR, risk weights under the standardized and internal ratings based approach for securitization positions should be based on the credit quality of those positions established according to the credit ratings of ECAIs. The ITS aim to enhance regulatory harmonization across the EU allowing credit ratings of all registered credit rating agencies to be used for calculating institutions’ capital requirements. Responses to the consultation are due by August 7, 2015.
The consultation paper is available at: http://www.eba.europa.eu/documents/10180/1065442/EBA-CP-2015- 08+CP+on+ITS+on+Mapping+of+ECAIs+Credit+Assessments.pdf.