COMMISSION IMPLEMENTING REGULATION (EU) 2021/2006

of 16 November 2021

laying down implementing technical standards amending Implementing Regulation (EU) 2016/1800 as regards the allocation of credit assessments of external credit assessment institutions to an objective scale of credit quality steps in accordance with Directive 2009/138/EC of the European Parliament and of the Council

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (1), and in particular Article 109a(1), third subparagraph, thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) 2016/1800 (2) specifies, among other things, in its Annex, the correspondence between the relevant credit assessments issued by an external credit assessment institution (‘ECAI’) and the credit quality steps referred to in Article 3 of Commission Delegated Regulation (EU) 2015/35 (3) (‘External credit assessments’).

(2)

Since the latest amendments, by Commission Implementing Regulation (EU) 2020/744 (4), to the Annex to Implementing Regulation (EU) 2016/1800 the quantitative and qualitative factors underpinning the credit assessments of some mappings have changed. In addition, some ECAIs have extended their credit assessments to new market segments, resulting in new rating scales and new credit rating types. It is therefore necessary to update the mappings of the ECAIs concerned.

(3)

After the adoption of Implementing Regulation (EU) 2020/744, two credit rating agencies have been registered in accordance with Articles 14 to 18 of Regulation (EU) No 1060/2009 of the European Parliament and of the Council (5), while two other ECAIs for which Implementing Regulation (EU) 2016/1800 provided a mapping have been deregistered. It is therefore necessary to provide a mapping for the newly registered ECAIs and to remove the mapping for the deregistered ECAIs.

(4)

In addition, one ECAI registered in accordance with Articles 14 to 18 of Regulation (EU) No 1060/2009, and for which a mapping was provided in Implementing Regulation (EU) 2016/1800, has amended the symbols used to denote the rating categories of its rating scales. It is therefore necessary to amend the mapping for that ECAI to reflect the current symbols used by that ECAI.

(5)

This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (the EBA), the European Securities and Markets Authority (ESMA) and the European Insurance and Occupational Pensions Authority (EIOPA) jointly (the European Supervisory Authorities).

(6)

The European Supervisory Authorities have conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (6); the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (7); and the advice of the Insurance and Reinsurance Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1094/2010 of the European Parliament and of the Council (8).

(7)	Implementing Regulation (EU) 2016/1800 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Amendment to Implementing Regulation (EU) 2016/1800

The Annex to Implementing Regulation (EU) No 2016/1800 is replaced by the text in the Annex to this Regulation.

Article 2

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.

Done at Brussels, 16 November 2021.

For the Commission

The President

Ursula VON DER LEYEN

(1) OJ L 335, 17.12.2009, p. 1.

(2) Commission Implementing Regulation (EU) 2016/1800 of 11 October 2016 laying down implementing technical standards with regard to the allocation of credit assessments of external credit assessment institutions to an objective scale of credit quality steps in accordance with Directive 2009/138/EC of the European Parliament and of the Council (OJ L 275, 12.10.2016, p. 19).

(3) Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 12, 17.1.2015, p. 1).

(4) Commission Implementing Regulation (EU) 2020/744 of 4 June 2020 amending Implementing Regulation (EU) 2016/1800 laying down implementing technical standards with regard to the allocation of credit assessments of external credit assessment institutions to an objective scale of credit quality steps in accordance with Directive 2009/138/EC of the European Parliament and of the Council (OJ L 176, 5.6.2020, p. 4).

(5) Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies (OJ L 302, 17.11.2009, p. 1).

(6) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC(OJ L 331, 15.12.2010, p.12).

(7) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).

(8) Regulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Insurance and Occupational Pensions Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/79/EC (OJ L 331, 15.12.2010, p. 48).

ANNEX

‘ANNEX

Allocation of credit assessments of external credit assessment institutions to an objective scale of credit quality steps

Credit quality step	0	1	2	3	4	5	6
A.M. Best (EU) Rating Services B.V.
Long-term issuer credit ratings scale	aaa	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 ratings scale	aaa	aa, aa-	a+, a, a-	bbb+, bbb, bbb-	bb+, bb, bb-	b+, b, b-	ccc+, ccc, ccc-, cc, c, d, s
Financial strength ratings scale		A++, A+	A, A-	B++, B+	B, B-	C++, C+	C, C-, D, E, F, S
Short-term issuer ratings scale		AMB-1+	AMB-1-	AMB-2, AMB-3	AMB- 4, d, e, f, s
Short-term issue ratings scale		AMB-1+	AMB-1-	AMB-2, AMB-3	AMB- 4, d, s
ARC Ratings S.A.
Medium- and long-term issuers rating scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, D
Medium- and long-term issues rating scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, D
Claims paying ability rating scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, R
Short-term issuers rating scale		A-1+	A-1	A-2, A-3	B, C, D
Short-term issues 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
Axesor Risk Management SL
Global long-term rating scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, D, E
Global short-term rating scale		AS1+	AS1	AS2	AS3, AS4, AS5
Banque de France
Global long-term issuer credit ratings scale		3++	3+, 3	4+	4, 5+	5, 6	7, 8, 9, P
Global NEC 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 ratings scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, D
Global short-term ratings 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
Guarantee fund long-term scale	AAA	AA	A	BBB	BB	B	C, D
Guarantee fund short-term scale		A-1+	A-1	A-2, A-3	B, C, D
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 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
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 ratings scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, RD, D
Corporate finance obligations – Long-term ratings scale	AAA	AA	A	BBB	BB	B	CCC, CC, C
Long-term international IFS ratings scale	AAA	AA	A	BBB	BB	B	CCC, CC, C
Derivative counterparty ratings scale		AAA dcr, AA dcr	A dcr	BBB dcr	BB dcr	B dcr	CCC dcr, CC dcr, C dcr
Short-term rating scale		F1+	F1	F2, F3	B, C, RD, D
Short-term IFS ratings scale		F1+	F1	F2, F3	B, C
GBB-Rating Gesellschaft für Bonitätsbeurteilung mbH
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 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 SA
Long-term rating scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, D
Japan Credit Rating Agency Ltd
Long-term issuer ratings scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, LD, D
Long-term issue ratings scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, D
Short-term issuer ratings scale		J-1+	J-1	J-2	J-3, NJ, LD, D
Short-term issue credit ratings scale		J-1+	J-1	J-2	J-3, NJ, D
Kroll Bond Rating Agency Europe
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
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				N-1+	N-1, N-2, N-3, N-4
QIVALIO SAS (formerly Spread Research)
Global long-term rating scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, D
Global short-term rating scale		SR0		SR1, SR2	SR3, SR4, SR5, SRD
Rating-Agentur Expert RA GmbH
International long-term credit rating scale	AAA	AA	A	BBB	BB	B	CCC,CC, C, D, E
International reliability rating scale	AAA	AA	A	BBB	BB	B	CCC,CC, C, D, E
International short-term rating scale		RA1+	RA1	RA2, RA3	RA4, RA5, C, D
Scope Ratings AG
Long-term rating scale	AAA	AA	A	BBB	BB	B	CCC, CC,C, D
Short-term rating scale		S-1+	S-1	S-2	S-3, S-4
Scope Hamburg GmbH
Global long-term rating scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, SD, D
S&P Global Ratings
Long-term issuer credit ratings scale	AAA	AA	A	BBB	BB	B	CCC, CC, R, SD/D
Long-term issue credit ratings scale	AAA	AA	A	BBB	BB	B	CCC, CC, C, D
Insurer financial strength ratings 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 ratings scale			MM1	MM2	MM3, MM4	MM5, MM6	MM7, MM8, MMD
Short-term issuer credit ratings scale		A-1+	A-1	A-2, A-3	B, C, R, SD/D
Short-term issue credit ratings 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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