Bologna, Italy, November 16, 2015

Specifically, the tables contain the conversion between the ratings issued by agencies and the Credit Quality Steps (CQS) for the assignment of risk weight coefficients, according to Regulation (EU) No. 575/2013 (Capital Requirements Regulation – CRR).
In order to avoid any competitive disadvantages for rating agencies that have recently entered the market which, given their limited period of operation, may have a restricted amount of quantitative information available, two mappings have been defined with reference to two different time periods. Both mappings take both quantitative and qualitative factors into consideration, but the first was defined with greater flexibility in relation to quantitative requirements in order to allow more recently established agencies to enter the market and acquire sufficient data over time.
CRIF S.p.A., the first Italian rating agency to obtain ESMA registration at the end of 2011, and a recognized ECAI since January 2014, is one of the rating agencies that has received dual mapping, as reported in the table below.

 

 

Banks and other financial intermediaries who adopt the so-called “standardized” approach for supervisory purposes will be able to use CRIF ratings to determine the risk weight coefficients for loans to businesses, starting from the twentieth day following publication in the European Union Official Journal.
The mapping tables for all European rating agencies have been defined in Annex III of the “Joint final draft Implementing Technical Standards” document dated November 11, 2015 (JC 2015 067).
 
For more information: www.creditrating.crif.com
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