Europejski Urząd Nadzoru Giełd i Papierów Wartościowych (European Securities and Markets Authority - ESMA), Ratingi kredytowe EU CLO - ryzyko konfliktu interesów w związku ze zmianami metodologii - raport końcowy

7 December 2023

ESMA80-189-33520

Final Report

EU CLO credit ratings – risk of conflicts of interests relating to methodology changes

1 Executive Summary

Reasons for publication

In 2020, ESMA published a Public Report on Credit Rating Agencies’ (CRAs) rating processes and methodology validation for collateralised loan obligations (CLOs). In this report ESMA noted, amongst other points, that CRAs mainly interact with CLO arrangers and managers in the rating process, whereas in other asset classes CRAs mostly interact with issuers. CRAs provide them with tools to simulate the expected ratings. As CLO arrangers and managers can identify which CRA may assign the best credit ratings for each CLO tranche, it is key that CRAs ensure the independence of their rating process from any commercial influence.

After publication, ESMA continued to monitor CLO rating methodologies and changes to them. ESMA observed that in certain instances after the largest EU CRAs changed their CLO rating methodologies,...