A Commission Implementing Regulation containing Implementing Technical Standards on the mapping of assessments by Credit Rating Agencies for securitization positions under the Capital Requirements Regulation was published in the Official Journal of the European Union. The CRR permits the risk weights under the standardized and internal ratings based approaches for securitization positions to be determined, if applicable, based on the credit quality of the positions. This credit quality is determined by reference to credit ratings issued or endorsed by ECAIs (i.e., credit rating agencies that are registered or certified under the EU Credit Rating Agency Regulation). The ITS determine the mapping between credit ratings and the credit quality steps for the allocation of risk weights set out in the CRR for securitization positions. The ITS enter into force from November 1, 2016.
View the ITS on mapping of credit assessments for securitizations.
