Europejski Urząd Nadzoru Bankowego, Sprawozdanie końcowe - Projekt wykonawczych standardów technicznych zmieniających rozporządzenie wykonawcze (UE) 2016/1799 w sprawie przyporządkowania ocen kredytowych ECAI zgodnie z art. 136 ust. 1 i 3 rozporządzenia (UE) nr 575/2013

JC 2023 050

13 November 2023

Final report

Draft implementing technical standards amending Implementing Regulation (EU) 2016/1799 on the mapping of ECAIs’ credit assessments under Article 136(1) and (3) of Regulation (EU) No 575/2013

1. Executive Summary

The Capital Requirements Regulation (CRR) establishes that risk weights under the Standardised Approach should be based on the exposure class to which the exposure is assigned and, if applicable, its credit quality determined by reference to the credit assessments of External Credit Assessment Institutions (ECAIs). The Joint Committee (JC) of the European Supervisory Authorities (ESAs) is mandated under Article 136(1) of the CRR to provide a correspondence (‘mapping’) between relevant credit assessments of ECAIs and Credit Quality Steps (CQS), as set out in Section 2 of Chapter 2 of Title II of Part Three of the CRR, where reference is made to the relevant risk weights for the calculation of credit risk capital requirements under the...