On October 12, 2016, a Commission Implementing Regulation containing ITS on the mapping of assessments by CRAs for securitization positions under the CRR 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., CRAs 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.
The ITS on mapping of credit assessments for securitizations is available at: http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32016R1801&from=EN
The content of this article is intended to provide a general guide to the subject matter. Specialist advice should be sought about your specific circumstances.
