Commission Implementing Regulation (EU) 2016/1801 of 11 October 2016 on laying down implementing technical standards with regard to the mapping of credit assessments of external credit assessment institutions for securitisation in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)

• CELEX: Implementing Regulation (EU) 2016/1801
• Articles: 5

Article 1 Mapping tables under the standardised approach

The correspondence of the rating categories of each ECAI for securitisation positions subject to the standardised approach with the credit quality steps under the standardised approach set out in Table 1 of Article 251 of Regulation (EU) No 575/2013 is that set out in Annex I to this Regulation.

Article 2 Mapping tables under the ratings-based method

The correspondence of the rating categories of each ECAI for securitisation positions subject to the IRB approach with the credit quality steps set out in Table 4 of Article 261(1) of Regulation (EU) No 575/2013 is that set out in Annex II to this Regulation.

Article 3 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 .

Schedules & Appendices

ANNEX I

ANNEX I

Mapping table under the standardised approach as referred to in Article 1

Credit quality step

1

2

3

4

All other

ARC Ratings SA

Medium and Long-Term Issues

AAA SF to AA- SF

A+ SF to A- SF

BBB+ SF to BBB- SF

BB+ SF to BB- SF

Below BB- SF

Short-Term Issues

A-1+ SF , A-1 SF

A-2 SF

A-3 SF

Below A-3 SF

Axesor SA

Structured finance rating scale

AAA (sf) to AA- (sf)

A+ (sf) to A- (sf)

BBB+ (sf) to BBB- (sf)

BB+ (sf) to BB- (sf)

Below BB- (sf)

Creditreform Ratings AG

Long-term rating scale

AAA sf , AA- sf

A+ sf to A- sf

BBB+ sf to BBB- sf

BB+ sf to BB- sf

Below BB- sf

DBRS Ratings Limited

Long-term obligations rating scale

AAA (sf) to AA (low) (sf)

A (high) (sf) to A (low) (sf)

BBB (high) (sf) to BBB (low) (sf)

BB (high) (sf) to BB (low) (sf)

Below BB (low) (sf)

Commercial paper and short-term debt rating scale

R-1 (high) (sf) to R-1 (low) (sf)

R-2 (high) (sf) to R-2 (low) (sf)

R-3 (sf)

Below R-3 (sf)

FERI EuroRating Services AG

Rating scale

AAA sf to AA- sf

A+ sf to A- sf

BBB+ sf to BBB- sf

BB+ sf to BB- sf

Below BB- sf

Fitch Ratings

Long-term issuer credit ratings scale

AAAsf to AA-sf

A+sf to A-sf

BBB+sf to BBB-sf

BB+sf to BB-sf

Below BB-sf

Short-term rating scale

F1+sf, F1sf

F2sf

F3sf

Below F3sf

Japan Credit Rating Agency Ltd

Long-term issuer ratings scale

AAA to AA-

A+ to A-

BBB+ to BBB-

BB+ to BB-

Below BB-

Short-term issuer ratings scale

J-1+, J-1

J-2

J-3

Below J-3

Kroll Bond Rating Agency

Long-Term Credit

AAA (sf) to AA- (sf)

A+ (sf) to A- (sf)

BBB+ (sf) to BBB- (sf)

BB+ (sf) to BB- (sf)

Below BB- (sf)

Short-Term Credit

K1+ (sf), K1 (sf)

K2 (sf)

K3 (sf)

Below K3 (sf)

Moody's Investors Service

Global long-term rating scale

Aaa(sf) to Aa3(sf)

A1(sf) to A3(sf)

Baa1(sf) to Baa3(sf)

Ba1(sf) to Ba3(sf)

Below Ba3(sf)

Global short-term rating scale

P-1(sf)

P-2(sf)

P-3(sf)

NP(sf)

Standard & Poor's Ratings Services

Long-term issuer credit ratings scale

AAA (sf) to AA- (sf)

A+ (sf) to A- (sf)

BBB+ (sf) to BBB- (sf)

BB+ (sf) to BB- (sf)

Below BB- (sf)

Short-term issuer credit ratings scale

A-1+ (sf), A-1 (sf)

A-2 (sf)

A-3 (sf)

Below A-3 (sf)

Scope Rating AG

Global long-term rating scale

AAA SF to AA- SF

A+ SF to A- SF

BBB+ SF to BBB- SF

BB+ SF to BB- SF

Below BB- SF

Global short-term rating scale

S-1+ SF , S-1 SF

S-2 SF

S-3 SF

S-4 SF

ANNEX II

ANNEX II

Mapping table under the ratings-based method as referred to in Article 2

Credit quality step

1

2

3

4

5

6

7

8

9

10

11

All other

ARC Ratings SA

Medium and Long-Term Issues

AAA SF

AA+ SF to AA- SF

A+ SF

A SF

A- SF

BBB+ SF

BBB SF

BBB- SF

BB+ SF

BB SF

BB- SF

Below BB- SF

Short-Term Issues

A-1+ SF , A-1 SF

A-2 SF

A-3 SF

Below A-3 SF

Axesor SA

Structured finance rating scale

AAA (sf)

AA+ (sf) to AA- (sf)

A+ (sf)

A (sf)

A- (sf)

BBB+ (sf)

BBB (sf)

BBB- (sf)

BB+ (sf)

BB (sf)

BB- (sf)

Below BB- (sf)

Creditreform Ratings AG

Long-term rating scale

AAA sf

AA+ sf to AA- sf

A+ sf

A sf

A- sf

BBB+ sf

BBB sf

BBB- sf

BB+ sf

BB sf

BB- sf

Below BB- sf

DBRS Ratings Limited

Long-term obligations rating scale

AAA (sf)

AA (high) (sf) to AA (low) (sf)

A (high) (sf)

A (sf)

A (low) (sf)

BBB (high) (sf)

BBB (sf)

BBB (low) (sf)

BB (high) (sf)

BB (sf)

BB (low) (sf)

Below BB (low) (sf)

Commercial paper and short-term debt rating scale

R-1 (high) (sf) to R-1 (low) (sf)

R-2 (high) (sf) to R-2 (low) (sf)

R-3 (sf)

Below R-3 (sf)

FERI EuroRating Services AG

Rating scale

AAA sf

AA+ sf to AA- sf

A+ sf

A sf

A- sf

BBB+ sf

BBB sf

BBB- sf

BB+ sf

BB sf

BB- sf

Below BB- sf

Fitch Ratings

Long-term issuer credit ratings scale

AAAsf

AA+sf to AA-sf

A+sf

Asf

A-sf

BBB+sf

BBBsf

BBB-sf

BB+sf

BBsf

BB-sf

Below BB-sf

Short-term rating scale

F1+sf, F1sf

F2sf

F3sf

Below Bsf

Japan Credit Rating Agency Ltd

Long-term issuer ratings scale

AAA

AA+ to AA-

A+

A

A-

BBB+

BBB

BBB-

BB+

BB

BB-

Below BB-

Short-term issuer ratings scale

J-1+, J-1

J-2

J-3

Below J-3

Kroll Bond Rating Agency

Long-Term Credit

AAA (sf)

AA+ (sf) to AA- (sf)

A+ (sf)

A (sf)

A- (sf)

BBB+ (sf)

BBB (sf)

BBB- (sf)

BB+ (sf)

BB (sf)

BB- (sf)

Below BB- (sf)

Short-Term Credit

K1+ (sf), K1 (sf)

K2 (sf)

K3 (sf)

Below K3 (sf)

Moody's Investors Service

Global long-term rating scale

Aaa(sf)

Aa1(sf) to Aa3(sf)

A1(sf)

A2(sf)

A3(sf)

Baa1(sf)

Baa2(sf)

Baa3(sf)

Ba1(sf)

Ba2(sf)

Ba3(sf)

Below Ba3(sf)

Global short-term rating scale

P-1(sf)

P-2(sf)

P-3(sf)

NP(sf)

Standard & Poor's Ratings Services

Long-term issuer credit ratings scale

AAA (sf)

AA+ (sf) to AA- (sf)

A+ (sf)

A (sf)

A- (sf)

BBB+ (sf)

BBB (sf)

BBB- (sf)

BB+ (sf)

BB (sf)

BB- (sf)

Below BB- (sf)

Short-term issuer credit ratings scale

A-1+ (sf), A-1 (sf)

A-2 (sf)

A-3 (sf)

Below A-3 (sf)

Scope Rating AG

Global long-term rating scale

AAA SF

AA+ SF to AA- SF

A+ SF

A SF

A- SF

BBB+ SF

BBB SF

BBB- SF

BB+ SF

BB SF

BB- SF

Below BB- SF

Global short-term rating scale

S-1+ SF , S-1 SF

S-2 SF

S-3 SF

S-4 SF