What changed, Commission Implementing Regulation (EU) 2016/1799 of 7 October 2016 laying down implementing technical standar…

+ ## *CHAPTER 1* / ***Quantitative factors***
− ### art_1
+ ### Article 1 — Quantitative factors of the mapping of a rating category
− Article 1
+ ### Article 2 — Items used for the calculation of the quantitative factors
− ### art_2
+ The calculation of the default rates referred to in Article 1 for each rating category shall be performed based solely on items assigned the same rating category by the external credit assessment institution (ECAI) for which the mapping is being performed, where the items meet all of the following r…
− Article 2
+ (a) they belong to the ‘corporate ratings’ referred to in point (a) of Article 3 of Delegated Regulation (EU) 2015/2, and they are assigned on an issuer basis;
+ 
+ (b) they are assigned either of the following:
− The calculation of the default rates referred to in Article 1 for each rating category shall be performed based solely on items assigned the same rating category by the external credit assessment institution (ECAI) for which the mapping is being performed, where the items meet all of the following r…
+ (i) a solicited credit rating;
− | (a) | they belong to the ‘corporate ratings’ referred to in point (a) of Article 3 of Delegated Regulation (EU) 2015/2, and they are assigned on an issuer basis; |
− | --- | --- |
+ (ii) an unsolicited credit rating that meets the requirements of Article 138 of Regulation (EU) No 575/2013.
− | (b) | they are assigned either of the following:(i)a solicited credit rating;(ii)an unsolicited credit rating that meets the requirements of Article 138 of Regulation (EU) No 575/2013. |
− | --- | --- |
− | (i) | a solicited credit rating; |
− | (ii) | an unsolicited credit rating that meets the requirements of Article 138 of Regulation (EU) No 575/2013. |
+ ## Section 1 / **Calculation of the quantitative factors of a rating category where a sufficient number of credit ratings is available**
− ### art_3
+ ### Article 3 — Determination of whether a sufficient number of credit ratings is available
− Article 3
+ (a) they are sufficient with respect to the perceived risk profile of the rating category, considering as an indicator, the number of items representing the inverse of the long run default rate benchmark of the rating category, as referred to in point (a) of Article 14;
− | (a) | they are sufficient with respect to the perceived risk profile of the rating category, considering as an indicator, the number of items representing the inverse of the long run default rate benchmark of the rating category, as referred to in point (a) of Article 14; |
− | --- | --- |
+ (b) they are representative of the most recent pool of items assigned the same rating category.
− | (b) | they are representative of the most recent pool of items assigned the same rating category. |
− | --- | --- |
+ ### Article 4 — Short run default rates of a rating category where a sufficient number of credit ratings is available
− ### art_4
− 
− Article 4
+ (a) the denominator represents the number of items assigned the same rating category present at the beginning of the time horizon;
− | (a) | the denominator represents the number of items assigned the same rating category present at the beginning of the time horizon; |
− | --- | --- |
+ (b) the numerator represents the number of items referred to in point (a) that have defaulted prior to the end of the time horizon.
− | (b) | the numerator represents the number of items referred to in point (a) that have defaulted prior to the end of the time horizon. |
− | --- | --- |
+ (a) a bankruptcy filing or legal receivership that will likely cause a miss or delay in future contractually required debt service payments;
− | (a) | a bankruptcy filing or legal receivership that will likely cause a miss or delay in future contractually required debt service payments; |
− | --- | --- |
+ (b) a missed or delayed disbursement of a contractually required interest or principal payment, unless payments are made within a contractually allowed grace period;
− | (b) | a missed or delayed disbursement of a contractually required interest or principal payment, unless payments are made within a contractually allowed grace period; |
− | --- | --- |
+ (c) a distressed exchange if the offer implies the investor will receive less value than the promise of the original securities;
− | (c) | a distressed exchange if the offer implies the investor will receive less value than the promise of the original securities; |
− | --- | --- |
+ (d) the rated entity is under a significant form of regulatory supervision owing to its financial condition.
− | (d) | the rated entity is under a significant form of regulatory supervision owing to its financial condition. |
− | --- | --- |
+ ### Article 5 — Long run default rate of a rating category where a sufficient number of credit ratings is available
− ### art_5
− Article 5
− 
+ (a) the short run default rates calculated according to Article 4(1) shall be weighted based on the number of items specified in point (a) of Article 4(2);
− | (a) | the short run default rates calculated according to Article 4(1) shall be weighted based on the number of items specified in point (a) of Article 4(2); |
− | --- | --- |
+ (b) the estimated short run default rates shall be weighted based on estimates of the number of items assigned the same rating category present at the beginning of the time horizon.
− | (b) | the estimated short run default rates shall be weighted based on estimates of the number of items assigned the same rating category present at the beginning of the time horizon. |
− | --- | --- |
+ ## Section 2 / **Calculation of the quantitative factors of a rating category where a sufficient number of credit ratings is not available**
− ### art_6
+ ### Article 6 — Items used and long run default rate of a rating category where a sufficient number of credit ratings is not available
− Article 6
+ (a) it shall be based on the estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category, pursuant to point (a) of Article 136(2) of Regulation (EU) No 575/2013;
− | (a) | it shall be based on the estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category, pursuant to point (a) of Article 136(2) of Regulation (EU) No 575/2013; |
− | --- | --- |
+ (b) the estimate referred to in point (a) shall be complemented with the number of defaulted and non-defaulted items assigned the rating category by the ECAI for which the mapping is being performed.
− | (b) | the estimate referred to in point (a) shall be complemented with the number of defaulted and non-defaulted items assigned the rating category by the ECAI for which the mapping is being performed. |
− | --- | --- |
+ ## *CHAPTER 2* / ***Qualitative factors***
− ### art_7
+ ### Article 7 — Qualitative factors of the mapping of a rating category
− Article 7
− 
− | (a) | the definition of default considered by the ECAI, as referred to in Article 8; |
− | --- | --- |
+ (a) the definition of default considered by the ECAI, as referred to in Article 8;
− | (b) | the time horizon of a rating category considered by the ECAI, as referred to in Article 9; |
− | --- | --- |
+ (b) the time horizon of a rating category considered by the ECAI, as referred to in Article 9;
− | (c) | the meaning of a rating category and its relative position within the rating scale established by the ECAI, as referred to in Article 10; |
− | --- | --- |
+ (c) the meaning of a rating category and its relative position within the rating scale established by the ECAI, as referred to in Article 10;
− | (d) | the creditworthiness of the items assigned the same rating category, as referred to in Article 11; |
− | --- | --- |
+ (d) the creditworthiness of the items assigned the same rating category, as referred to in Article 11;
− | (e) | the estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category, pursuant to point (a) of Article 136(2) of Regulation (EU) No 575/2013, as set out in Article 12; |
− | --- | --- |
+ (e) the estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category, pursuant to point (a) of Article 136(2) of Regulation (EU) No 575/2013, as set out in Article 12;
− | (f) | 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 a…
− | --- | --- |
+ (f) 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 accor…
− | (g) | any other relevant information that can describe the degree of risk expressed by a rating category. |
− | --- | --- |
+ (g) any other relevant information that can describe the degree of risk expressed by a rating category.
− ### art_8
+ ### Article 8 — Definition of default used by the ECAI
− Article 8
+ ### Article 9 — Time horizon of a rating category
− ### art_9
− 
− Article 9
− 
− ### art_10
+ ### Article 10 — Meaning and relative position of a rating category
− Article 10
+ ### Article 11 — Creditworthiness of items assigned the same rating category
− ### art_11
− Article 11
− 
+ ### Article 12 — Estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category
− ### art_12
− Article 12
− 
+ ### Article 13 — Internal mapping of a rating category established by the ECAI
− ### art_13
− Article 13
− 
+ ## *CHAPTER 3* / ***Benchmark and related references***
− ### art_14
+ ### Article 14 — Benchmark
− Article 14
+ (a) a long-run default rate benchmark for each credit quality step as set out in Table 1 of Annex I;
− | (a) | a long-run default rate benchmark for each credit quality step as set out in Table 1 of Annex I; |
− | --- | --- |
+ (b) a short-run default rate benchmark for each credit quality step as set out in Table 2 of Annex I.
− | (b) | a short-run default rate benchmark for each credit quality step as set out in Table 2 of Annex I. |
− | --- | --- |
+ ### Article 15 — Reference meaning of the rating category per credit quality step
− ### art_15
− Article 15
− 
+ ## TITLE II / **MAPPING TABLES**
− ### art_16
+ ### Article 16 — Mapping tables
− Article 16
+ 
+ ## TITLE III / **FINAL PROVISION**
+ 
+ ### Article 17 — 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.
+ 
+ ### ANNEX I
+ **Benchmarks for the purposes of Article 14**
+ 
+ *Table 1*
+ 
+ **Long-run benchmark**
+ 
+ **(3-year time horizon)**
+ 
+ | 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 % |
+ 
+ *Table 2*
+ 
+ **Short run benchmarks**
+ 
+ **(3-year time horizon)**
+ 
+ | 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 financi…
+ | 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
− ### art_17
+ **Mapping tables for the purposes of Article 16**
− Article 17
+ | **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 |
+ | *Banque de France* |  |  |  |  |  |  |
+ | Global long-term issuer credit ratings scale | 3++ | 3+, 3 | 4+ | 4, 5+ | 5, 6 | 7, 8, 9, P |
+ | *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 |  |  |
+ | *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 |
+ | *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 |  |  |
+ | *Euler Hermes Rating GmbH* |  |  |  |  |  |  |
+ | Global long-term rating scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, SD, 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.zo.o.* |  |  |  |  |  |  |
+ | Global long-term rating scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, 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 Bonitäts-beurteilung mbH* |  |  |  |  |  |  |
+ | Global long-term rating scale | AAA, AA |  | A, BBB | BB | B | CCC, CC, C, D |
+ | *HR Ratings de México, S.A. de C.V.* |  |  |  |  |  |  |
+ | 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 Group S.A* |  |  |  |  |  |  |
+ | Global long-term rating scale |  | AA, A | BB, B | C, D | E, F | G, H |
+ | *INC Rating Sp. z o.o.* |  |  |  |  |  |  |
+ | Long-term issuer credit rating scale | AAA, AA | A | BBB | BB | B | CCC,CC, C, D |
+ | *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 |  |  |
+ | *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 |
+ | 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 |  |  |
+ | *Rating-Agentur Expert RA GmbH* |  |  |  |  |  |  |
+ | International credit rating scale | AAA, AA | A | BBB | BB | B | CCC,CC, C, D, E |
+ | International reliability rating scale | AAA, AA | A | BBB | BB | B | CCC,CC, C, D, E |
+ | *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 |
+ | *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 |  |  |
+ | *The Economist Intelligence Unit Ltd* |  |  |  |  |  |  |
+ | Sovereign rating band scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, D |
− This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.