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Document 02016R1799-20240725

Consolidated text: Commission Implementing Regulation (EU) 2016/1799 of 7 October 2016 laying down implementing technical standards with regard to the mapping of credit assessments of external credit assessment institutions for credit risk in accordance with Articles 136(1) and 136(3) of Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)

ELI: http://data.europa.eu/eli/reg_impl/2016/1799/2024-07-25

02016R1799 — EN — 25.07.2024 — 004.001


This text is meant purely as a documentation tool and has no legal effect. The Union's institutions do not assume any liability for its contents. The authentic versions of the relevant acts, including their preambles, are those published in the Official Journal of the European Union and available in EUR-Lex. Those official texts are directly accessible through the links embedded in this document

►B

COMMISSION IMPLEMENTING REGULATION (EU) 2016/1799

of 7 October 2016

laying down implementing technical standards with regard to the mapping of credit assessments of external credit assessment institutions for credit risk in accordance with Articles 136(1) and 136(3) of Regulation (EU) No 575/2013 of the European Parliament and of the Council

(Text with EEA relevance)

(OJ L 275 12.10.2016, p. 3)

Amended by:

 

 

Official Journal

  No

page

date

 M1

COMMISSION IMPLEMENTING REGULATION (EU) 2018/634 of 24 April 2018

  L 105

14

25.4.2018

 M2

COMMISSION IMPLEMENTING REGULATION (EU) 2019/2028 of 29 November 2019

  L 313

34

4.12.2019

 M3

COMMISSION IMPLEMENTING REGULATION (EU) 2021/2005 of 16 November 2021

  L 407

10

17.11.2021

►M4

COMMISSION IMPLEMENTING REGULATION (EU) 2024/1872 of 1 July 2024

  L 1872

1

5.7.2024




▼B

COMMISSION IMPLEMENTING REGULATION (EU) 2016/1799

of 7 October 2016

laying down implementing technical standards with regard to the mapping of credit assessments of external credit assessment institutions for credit risk in accordance with Articles 136(1) and 136(3) of Regulation (EU) No 575/2013 of the European Parliament and of the Council

(Text with EEA relevance)



TITLE I

QUANTITATIVE FACTORS, QUALITATIVE FACTORS AND BENCHMARK

CHAPTER 1

Quantitative factors

Article 1

Quantitative factors of the mapping of a rating category

The quantitative factors referred to in point (a) of Article 136(2) of Regulation (EU) No 575/2013 shall be the short run and long run default rates associated with items assigned the same rating category, as set out in Articles 2 to 6.

Article 2

Items used for the calculation of the quantitative factors

The calculation of the default rates referred to in Article 1 for each rating category shall be performed based solely on items assigned the same rating category by the external credit assessment institution (ECAI) for which the mapping is being performed, where the items meet all of the following requirements:

(a) 

they belong to the ‘corporate ratings’ referred to in point (a) of Article 3 of Delegated Regulation (EU) 2015/2, and they are assigned on an issuer basis;

(b) 

they are assigned either of the following:

(i) 

a solicited credit rating;

(ii) 

an unsolicited credit rating that meets the requirements of Article 138 of Regulation (EU) No 575/2013.

Section 1

Calculation of the quantitative factors of a rating category where a sufficient number of credit ratings is available

Article 3

Determination of whether a sufficient number of credit ratings is available

1.  

For the purpose of the short run default rate calculation, the number of items assigned the same rating category by the ECAI for which the mapping is being performed shall be deemed sufficiently numerous, where the items meet all of the following requirements:

(a) 

they are sufficient with respect to the perceived risk profile of the rating category, considering as an indicator, the number of items representing the inverse of the long run default rate benchmark of the rating category, as referred to in point (a) of Article 14;

(b) 

they are representative of the most recent pool of items assigned the same rating category.

2.  
For the purpose of the long run default rate calculation, the number of items assigned the same rating category by the ECAI for which the mapping is being performed shall be deemed sufficiently numerous where at minimum the most recent 10 short run default rates as referred to in paragraph 1 are available.

Article 4

Short run default rates of a rating category where a sufficient number of credit ratings is available

1.  
Where a sufficient number of credit ratings is available according to Article 3(1), the short run default rates referred to in Article 1 shall be calculated in the manner described in paragraphs 2 to 5.
2.  

The short run default rates of a rating category shall be calculated over a 3-year time horizon as a ratio where:

(a) 

the denominator represents the number of items assigned the same rating category present at the beginning of the time horizon;

(b) 

the numerator represents the number of items referred to in point (a) that have defaulted prior to the end of the time horizon.

3.  
Items withdrawn prior to the end of the time horizon and not defaulted shall only contribute to the denominator of the short run default rates referred to in point (a) of paragraph 2 with a weight equal to 50 %. Any item for which there is evidence that it has been withdrawn prior to the occurrence of a default shall be considered to be a defaulted item.
4.  

Items shall be considered to be defaulted items to be included in the numerator specified in point (b) of paragraph 2 where any of the following types of event has occurred:

(a) 

a bankruptcy filing or legal receivership that will likely cause a miss or delay in future contractually required debt service payments;

(b) 

a missed or delayed disbursement of a contractually required interest or principal payment, unless payments are made within a contractually allowed grace period;

(c) 

a distressed exchange if the offer implies the investor will receive less value than the promise of the original securities;

(d) 

the rated entity is under a significant form of regulatory supervision owing to its financial condition.

5.  
The short run default rates shall be calculated for each available pool of items assigned the same rating category on semi-annual periods, which are based on 1 January and 1 July of each year.

Article 5

Long run default rate of a rating category where a sufficient number of credit ratings is available

1.  
Where a sufficient number of credit ratings is available in accordance with Article 3, the long run default rate referred to in Article 1 shall be calculated according to paragraphs 2 to 4.
2.  
The long run default rate shall be calculated as the weighted average of at least the most recent 20 short run default rates calculated according to Article 4(1). If the available short run default rates span a longer period and they are relevant, the short run default rates for that longer period shall be used. Where less than 20 short run default rates calculated according to Article 4(1) are available the remaining short run default rates shall be estimated to span the 20 short run default rates.
3.  
For the purpose of producing the weighted average referred to in paragraph 2, the short run default rates calculated according to Article 4 shall include the most recent recessionary period. This recessionary period shall span a semester or more of the negative growth rates of the Gross Domestic Products in the main geographical areas of reference of the rated items.
4.  

For the purpose of producing the weighted average referred to in paragraph 2, the following shall apply:

(a) 

the short run default rates calculated according to Article 4(1) shall be weighted based on the number of items specified in point (a) of Article 4(2);

(b) 

the estimated short run default rates shall be weighted based on estimates of the number of items assigned the same rating category present at the beginning of the time horizon.

The weights shall ensure an adequate representation of recessionary and non-recessionary years in a full economic cycle.

Section 2

Calculation of the quantitative factors of a rating category where a sufficient number of credit ratings is not available

Article 6

Items used and long run default rate of a rating category where a sufficient number of credit ratings is not available

Where a sufficient number of credit ratings as referred to in Article 3 is not available, the calculation of the long run default rate specified in Article 1 shall be performed according to both the following:

(a) 

it shall be based on the estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category, pursuant to point (a) of Article 136(2) of Regulation (EU) No 575/2013;

(b) 

the estimate referred to in point (a) shall be complemented with the number of defaulted and non-defaulted items assigned the rating category by the ECAI for which the mapping is being performed.

CHAPTER 2

Qualitative factors

Article 7

Qualitative factors of the mapping of a rating category

The qualitative factors referred to in point (b) of Article 136(2) of Regulation (EU) No 575/2013 shall be:

(a) 

the definition of default considered by the ECAI, as referred to in Article 8;

(b) 

the time horizon of a rating category considered by the ECAI, as referred to in Article 9;

(c) 

the meaning of a rating category and its relative position within the rating scale established by the ECAI, as referred to in Article 10;

(d) 

the creditworthiness of the items assigned the same rating category, as referred to in Article 11;

(e) 

the estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category, pursuant to point (a) of Article 136(2) of Regulation (EU) No 575/2013, as set out in Article 12;

(f) 

the relationship established by the ECAI (‘internal mapping’), where available, between, on the one hand, the rating category which is being mapped, and, on the other hand, other rating categories produced by the same ECAI, where a mapping for the latter categories has already been set out according to this Regulation, as referred to in Article 13;

(g) 

any other relevant information that can describe the degree of risk expressed by a rating category.

Article 8

Definition of default used by the ECAI

The type of events considered by the ECAI for the purposes of establishing whether an item is in default situation shall be compared to those specified in Article 4(4) by using all available information. Where the comparison indicates that not all such types of default events have been considered by the ECAI, the quantitative factors referred to in Article 1 shall be adjusted accordingly.

Article 9

Time horizon of a rating category

The time horizon considered by the ECAI for assigning a rating category shall provide a relevant indication of whether the level of risk of that rating category is sustainable over the time horizon specified in Article 4(2).

Article 10

Meaning and relative position of a rating category

1.  
The meaning of a rating category established by the ECAI shall be set according to the characteristics of the capacity of financial commitments as reflected in the items assigned such rating category being honoured, and more in particular by its degree of sensitivity to the economic environment and its degree of proximity to the default situation.
2.  
The meaning of a rating category shall be compared to the one established for each credit quality step, as set out in Article 15.
3.  
The meaning of a rating category shall be considered in combination with its relative position within the rating scale established by the ECAI.

Article 11

Creditworthiness of items assigned the same rating category

1.  
The creditworthiness of items assigned the same rating category shall be determined by considering at least their size and the degree of sector and geographical diversification of their business activity.
2.  
Different measures of creditworthiness assigned to items of the same rating category may be used, to the extent appropriate, to complement the information provided by the quantitative factors referred to in Article 1 where they are reliable and relevant for the mapping.

Article 12

Estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category

The estimate provided by the ECAI of the long run default rate associated with all items assigned the same rating category shall be taken into account for the purpose of the mapping as long as it has been adequately justified.

Article 13

Internal mapping of a rating category established by the ECAI

The corresponding credit quality step of other rating categories produced by the same ECAI for which an internal mapping exists according to point (f) of Article 7 shall be used as a relevant indication of the level of risk of the rating category which is being mapped.

CHAPTER 3

Benchmark and related references

Article 14

Benchmark

The benchmark referred to in point (c) of Article 136(2) of Regulation (EU) No 575/2013, shall be distinguished in:

(a) 

a long-run default rate benchmark for each credit quality step as set out in Table 1 of Annex I;

(b) 

a short-run default rate benchmark for each credit quality step as set out in Table 2 of Annex I.

Article 15

Reference meaning of the rating category per credit quality step

The reference meaning of a rating category that corresponds to each credit quality step is set out in Annex II.

TITLE II

MAPPING TABLES

Article 16

Mapping tables

The correspondence of the rating categories of each ECAI with the credit quality steps set out in Section 2 of Chapter 2 of Title II of Part Three of Regulation (EU) No 575/2013 is that set out in Annex III.

TITLE III

FINAL PROVISION

Article 17

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.

This Regulation shall be binding in its entirety and directly applicable in all Member States.




ANNEX I

Benchmarks for the purposes of Article 14



Table 1

Long-run benchmark

(3-year time horizon)

Credit Quality Step

Long run benchmark

Mid value

Lower bound

Upper bound

1

0,10 %

0,00 %

0,16 %

2

0,25 %

0,17 %

0,54 %

3

1,00 %

0,55 %

2,39 %

4

7,50 %

2,40 %

10,99 %

5

20,00 %

11,00 %

26,49 %

6

34,00 %

26,50 %

100,00 %



Table 2

Short run benchmarks

(3-year time horizon)

Credit Quality Step

Short run benchmarks

Monitoring level

Trigger level

1

0,80 %

1,20 %

2

1,00 %

1,30 %

3

2,40 %

3,00 %

4

11,00 %

12,40 %

5

28,60 %

35,00 %

6

not applicable

not applicable




ANNEX II

Reference meaning of the rating category per credit quality step for the purposes of Article 15



Credit Quality Step

Meaning of the rating category

1

The rated entity has extremely/very strong capacity to meet its financial commitments and is subject to minimal/very low credit risk.

2

The rated entity has strong capacity to meet its financial commitments and is subject to low credit risk but is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than rated entities in CQS 1.

3

The rated entity has adequate capacity to meet its financial commitments and is subject to moderate credit risk.

However, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity of the rated entity to meet its financial commitments.

4

The rated entity has the capacity to meet its financial commitments but is subject to substantial credit risk.

It faces major ongoing uncertainties and exposure to adverse business, financial, or economic conditions, which could lead to the rated entity's inadequate capacity to meet its financial commitments.

5

The rated entity has the capacity to meet its financial commitments but is subject to high credit risk.

Adverse business, financial, or economic conditions will likely impair the rated entity's capacity or willingness to meet its financial commitments.

6

The rated entity is currently vulnerable or highly vulnerable and is subject to very high credit risk, including in or very near to default.

It is dependent upon favourable business, financial, and economic conditions to meet its financial commitments.

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ANNEX III

MAPPING TABLES FOR THE PURPOSES OF ARTICLE 16



Credit quality step

1

2

3

4

5

6

A.M. Best (EU) Rating Services B.V.

 

 

 

 

 

 

Long-term issuer credit rating scale

aaa, aa+, aa, aa-

a+, a, a-

bbb+, bbb, bbb-

bb+, bb, bb-

b+, b, b-

ccc+, ccc, ccc-, cc, c, d, e, f, s

Long-term issue rating scale

aaa, aa+, aa, aa-

a+, a, a-

bbb+, bbb, bbb-

bb+, bb, bb-

b+, b, b-

ccc+, ccc, ccc-, cc, c, d, s

Financial strength rating scale

A++, A+

A, A-

B++, B+

B, B-

C++, C+

C, C-, D, E, F, S

Short-term issuer rating scale

AMB-1+

AMB-1-

AMB-2,

AMB-3

AMB- 4, d, e, f, s

 

 

Short-term issue rating scale

AMB-1+

AMB-1-

AMB-2, AMB-3

AMB- 4, d, s

 

 

ARC Ratings S.A.

 

 

 

 

 

 

Medium- and long-term issuer rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Medium- and long-term issue rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Insurance Financial Strength Rating Criteria scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term issuer rating scale

A-1+

A-1

A-2, A-3

B, C, D

 

 

Short-term issue rating scale

A-1+

A-1

A-2, A-3

B, C, D

 

 

ASSEKURATA Assekuranz Rating-Agentur GmbH

 

 

 

 

 

 

Long-term credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC/C, D

Short-term corporate rating scale

A++

A

 

B, C, D

 

 

Banque de France

 

 

 

 

 

 

Global ANACOT long-term issuer credit rating scale

1+

1, 1-

2+, 2, 2-

3+, 3, 3-, 4+, 4, 4-, 5+

5, 5-, 6+, 6, 6-

7, 8, P

BCRA Credit Rating Agency AD

 

 

 

 

 

 

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Global short-term rating scale

A-1+

A-1

A-2, A-3

B, C, D

 

 

Pension-insurance company long-term scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Pension-insurance company short-term scale

A-1+

A-1

A-2, A-3

B, C, D

 

 

Pension fund long-term scale

AAA pf, AA pf

A pf

BBB pf

BB pf

B pf

C pf

Capital Intelligence Ratings Ltd

 

 

 

 

 

 

International long-term issuer rating scale

AAA, AA

A

BBB

BB

B

C, RS, SD, D

International long-term issue rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

International long-term insurer financial strength rating scale

AAA, AA

A

BBB

BB

B

C, RS, SD, D

International short-term issuer rating scale

A1+

A1

A2, A3

B, C, RS, SD, D

 

 

International short-term issue rating scale

A1+

A1

A2, A3

B, C, D

 

 

International short-term insurer financial strength rating scale

A1+

A1

A2, A3

B, C, RS, SD, D

 

 

Cerved Rating Agency S.p.A.

 

 

 

 

 

 

Corporate long-term rating scale

A1.1, A1.2, A1.3

A2.1, A2.2, A3.1

B1.1, B1.2

B2.1, B2.2

C1.1

C1.2, C2.1

Corporate short-term rating scale

S-1

S-2

S-3

V-1, R-1

 

 

Creditreform Rating AG

 

 

 

 

 

 

Long-term issuer rating scale

AAA, AA

A

BBB

BB

B

C, SD, D

Long-term issue rating scale

AAA, AA

A

BBB

BB

B

C, D

Short-term rating scale

L1

L2

L3

NEL, D

 

 

CRIF Ratings S.r.l.

 

 

 

 

 

 

Long-term issuer rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D1S, D

Long-term issue rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, DS

SME rating scale

SME1, SME2

 

SME3

SME4

SME5, SME6

SME7, SME8

Short-term issuer rating scale

IG-1

 

IG-2

SIG-1, SIG-2, SIG-3, SIG-4

 

 

Short-term issue rating scale

IG-1

 

IG-2

SIG-1, SIG-2, SIG-3, SIG-4

 

 

DBRS Ratings GmbH

 

 

 

 

 

 

Long-term obligations rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Commercial paper and short-term debt rating scale

R-1 H, R-1 M

R-1 L

R-2, R-3

R-4, R-5, D

 

 

Financial strength rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, R

Expected loss rating scale

AAA(el), AA(el)

A(el)

BBB(el)

BB(el)

B(el)

CCC(el), CC(el), C(el)

Egan-Jones Ratings Co.

 

 

 

 

 

 

Long-term credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term credit rating scale

A-1+

A-1

A-2

A-3, B, C, D

 

 

EthiFinance S.L. (formerly Axesor Risk Management S.L.)

 

 

 

 

 

 

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Global short-term rating scale

EF1+

 

EF1, EF2

EF3, EF4 EF5

 

 

EuroRating Sp. z o.o.

 

 

 

 

 

 

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Fitch Ratings Ireland Limited

 

 

 

 

 

 

Long-term issuer default rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, RD, D

Corporate finance obligations long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C

Long-term international Insurer Financial Strength rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C

Derivative counterparty rating scale

AAA dcr, AA dcr

A dcr

BBB dcr

BB dcr

B dcr

CCC dcr, CC dcr, C dcr, RD dcr, R dcr

Short-term rating scale

F1+

F1

F2, F3

B, C, RD, D

 

 

Short-term IFS rating scale

F1+

F1

F2, F3

B, C

 

 

GBB-Rating Gesellschaft für Bonitätsbeurteilung GmbH

 

 

 

 

 

 

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

HR Ratings de México, S.A. de C.V.

 

 

 

 

 

 

Global long-term rating scale

HR AAA(G)/HR AA(G)

HR A(G)

HR BBB(G)

HR BB(G)

HR B(G)

HR C(G)/HR D(G)

Global short-term rating scale

HR+1(G)/HR1(G)

HR2(G)

HR3(G)

HR4(G), HR5(G), HR D(G)

 

 

ICAP CRIF S.A. (previously ICAP S.A.)

 

 

 

 

 

 

Global long-term issuer rating scale

AAA, AA

A

BBB

BB

B, CCC

CC, C, D

Global long-term issue rating scale

AAA, AA

A

BBB

BB

B, CCC

CC, C, D

INBONIS S.A.

 

 

 

 

 

 

Long-term rating scale

AAA/AA

A

BBB

BB

B

CCC, CC, C, D

Japan Credit Rating Agency Ltd

 

 

 

 

 

 

Long-term issuer rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, LD, D

Long-term issue rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term issuer rating scale

J-1+

J-1

J-2

J-3, NJ, LD, D

 

 

Short-term issue credit rating scale

J-1+

J-1

J-2

J-3, NJ, D

 

 

Kroll Bond Rating Agency Europe Limited

 

 

 

 

 

 

Long-term credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term credit rating scale

K1+

K1

K2, K3

B, C, D

 

 

Insurance Financial Strength rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

modeFinance S.r.l.

 

 

 

 

 

 

Global long-term rating scale

A1, A2

A3

B1

B2

B3

C1, C2, C3, D

Moody’s Investors Service

 

 

 

 

 

 

Global long-term rating scale

Aaa, Aa

A

Baa

Ba

B

Caa, Ca, C

Global short-term rating scale

P-1

P-2

P-3

NP

 

 

Nordic Credit Rating AS

 

 

 

 

 

 

Long-term rating scale

AAA/AA

A

BBB

BB

B

CCC, CC, C, D, SD

Short-term rating scale

N1

N2

N3

N4, N5, N6

 

 

Scope Ratings GmbH

 

 

 

 

 

 

Long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D/SD

Short-term rating scale

S-1+

S-1

S-2

S-3, S-4, D/SD

 

 

S&P Global Ratings Europe Limited

 

 

 

 

 

 

Long-term issuer credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, R, SD/D

Long-term issue credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Insurer financial strength rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, SD/D, R

Long-term Financial Institution Resolution Counterparty Ratings

AAA, AA

A

BBB

BB

B

CCC, CC, SD, D

Mid-Market Evaluation rating scale

 

MM1

MM2

MM3, MM4

MM5, MM6

MM7, MM8, MMD

Short-term issuer credit rating scale

A-1+

A-1

A-2, A-3

B, C, R, SD/D

 

 

Short-term issue credit rating scale

A-1+

A-1

A-2, A-3

B, C, D

 

 

Short-term Financial Institution Resolution Counterparty Ratings

A-1+

A-1

A-2, A-3

B, C, SD/D

 

 

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