Commission Implementing Regulation (EU) 2022/2365 of 2 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/1801 as regards the mapping tables correspondence 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)

Article 1Mapping tables under the External Ratings Based Approach

Implementing Regulation (EU) 2016/1801 is amended as follows:
(1)
Article 1 is deleted;
(2)
Article 2 is replaced by the following:
‘Article 2
Mapping tables under the External Ratings Based Approach
The correspondence of the rating categories of each external credit assessment institution for securitisation positions subject to the External Ratings Based Approach with the credit quality steps set out in Articles 263 and 264 of Regulation (EU) No 575/2013 is set out in Annex II to this Regulation.’
;
(3)
Annex I is deleted;
(4)
Annex II is replaced by the text in the Annex to this Regulation.

ANNEX

ANNEX
‘ANNEX II
Mapping tables for the purposes of Article 2
CQS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
All other
A.M. Best (EU) Rating Services B.V.
Long-term issue credit rating scale
aaa(sf)
aa+(sf)
aa(sf)
aa-(sf)
a+(sf)
a(sf)
a-(sf)
bbb+(sf)
bbb(sf)
bbb-(sf)
bb+(sf)
bb(sf)
bb-(sf)
b+(sf)
b(sf)
b-(sf)
ccc+(sf) , ccc(sf) , ccc-(sf)
Below ccc-(sf)
Short-term issue rating scale
AMB-1+(sf), AMB-1(sf)
AMB-2(sf)
AMB-3(sf)
Below AMB-3(sf)
ARC Ratings S.A.
Medium- and long-term issue rating scale
AAA SF
AA+ SF
AA SF
AA- SF
A+ SF
A SF
A- SF
BBB+ SF
BBB SF
BBB- SF
BB+ SF
BB SF
BB- SF
B+ SF
B SF
B- SF
CCC+ SF CCC SF , CCC- SF
Below CCC- SF
Short-term issue rating scale
A-1+ SF , A-1 SF
A-2 SF ,
A-3 SF
Below A-3 SF
CQS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
All other
Axesor Risk Management S.L.
Long-term structured finance credit rating scale
AAA (sf)
AA+ (sf)
AA (sf)
AA- (sf)
A+ (sf)
A (sf)
A- (sf)
BBB+ (sf)
BBB (sf)
BBB- (sf)
BB+ (sf)
BB (sf)
BB- (sf)
B+ (sf)
B (sf)
B- (sf)
CCC+ (sf), CCC (sf) , CCC- (sf)
Below CCC- (sf)
Creditreform Rating AG
Long-term credit rating scale
AAA sf
AA+ sf
AA sf
AA- sf
A+ sf
A sf
A- sf
BBB+ sf
BBB sf
BBB- sf
BB+ sf
BB sf
BB- sf
B+ sf
B sf
B- sf
CCC sf
Below CCC sf
DBRS Ratings GmbH
Long-term obligations rating scale
AAA (sf)
AA (high)(sf)
AA (sf)
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)
B (high)(sf)
B (sf)
B (low)(sf)
CCC (high)(sf) , CCC (sf) , CCC (low)(sf)
Below CCC (low)(sf)
Commercial paper and short-term debt rating scale
R-1 (high)(sf) , R-1 (middle)(sf) , R-1 (low)(sf)
R-2 (high)(sf) , R-2 (middle)(sf) , R-2 (low)(sf)
R-3 (sf)
Below R-3 (sf)
CQS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
All other
Fitch Ratings Ireland Limited
Long-term rating scale
AAA SF
AA+ SF
AA SF
AA- SF
A+ SF
A SF
A- SF
BBB+ SF
BBB SF
BBB- SF
BB+ SF
BB SF
BB- SF
B+ SF
B SF
B- SF
CCC SF
Below CCC SF
Short-term rating scale
F1+ SF , F1 SF
F2 SF
F3 SF
Below F3 SF
HR Ratings de México, S.A. de C.V.
Long-term credit rating scale
HR AAA (E)
HR AA+ (E)
HR AA (E)
HR AA- (E)
HR A+ (E)
HR A (E)
HR A- (E)
HR BBB+ (E)
HR BBB (E)
HR BBB- (E)
HR BB+ (E)
HR BB (E)
HR BB- (E)
HR B+ (E)
HR B (E)
HR B- (E)
HR C+ (E)
Below HR C+ (E)
ICAP S.A.
Global credit rating scale
AAA SF, AAA- SF
AA+ SF
AA SF
AA- SF
A+ SF
A SF
A- SF
BBB+ SF
BBB SF
BBB- SF
BB+ SF
BB SF
BB- SF
B+ SF
B SF
B- SF
CCC+ SF, CCC SF , CCC- SF
Below CCC- SF
CQS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
All other
Japan Credit Rating Agency Ltd
Long-term issue rating scale
AAA
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC
Below CCC
Short-term issue rating scale
J-1+, J-1
J-2
J-3
Below J-3
Kroll Bond Rating Agency Europe Limited
Long-term credit rating scale
AAA (sf)
AA+ (sf)
AA (sf)
AA- (sf)
A+ (sf)
A (sf)
A- (sf)
BBB+ (sf)
BBB (sf)
BBB- (sf)
BB+ (sf)
BB (sf)
BB- (sf)
B+ (sf)
B (sf)
B- (sf)
CCC+ (sf), CCC (sf) , CCC- (sf)
Below CCC- (sf)
Short-term credit rating scale
K1+ (sf), K1 (sf)
K2 (sf)
K3 (sf)
Below K3 (sf)
CQS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
All other
Moody’s Investors Service
Global long-term rating scale
Aaa (sf)
Aa1 (sf)
Aa2 (sf)
Aa3 (sf)
A1 (sf)
A2 (sf)
A3 (sf)
Baa1 (sf)
Baa2 (sf)
Baa3 (sf)
Ba1 (sf)
Ba2 (sf)
Ba3 (sf)
B1 (sf)
B2 (sf)
B3 (sf)
Caa1 (sf) , Caa2 (sf) , Caa3 (sf)
Below Caa3 (sf)
Global short-term rating scale
P-1 (sf)
P-2 (sf)
P-3 (sf)
Below P-3 (sf)
Scope Ratings GmbH
Long-term credit rating scale
AAA SF
AA+ SF
AA SF
AA- SF
A+ SF
A SF
A- SF
BBB+ SF
BBB SF
BBB- SF
BB+ SF
BB SF
BB- SF
B+ SF
B SF
B- SF
CCC SF
Below CCC SF
Short-term credit rating scale
S-1+ SF, S-1 SF
S-2 SF
S-3 SF
,
Below S-3 SF
CQS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
All other
S&P Global Ratings Europe Limited
Global long-term issue credit rating scale
AAA (sf)
AA+ (sf)
AA (sf)
AA- (sf)
A+ (sf)
A (sf)
A- (sf)
BBB+ (sf)
BBB (sf)
BBB- (sf)
BB+ (sf)
BB (sf)
BB- (sf)
B+ (sf)
B (sf)
B- (sf)
CCC+ (sf), CCC (sf) , CCC- (sf)
Below CCC- (sf)
Global short-term issue credit rating scale
A-1+ (sf), A-1 (sf)
A-2 (sf)
A-3 (sf)
Below A-3 (sf)
’

Schedules & Appendices

Cite this act