External Credit Assessment Institutions (ECAI)
According to the Capital Requirements Regulation (CRR) (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, ‘external credit assessment institution' or ECAI means a credit rating agency that is registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies or a central bank issuing credit ratings which are exempt from the application of Regulation (EC) No 1060/2009.
ECAIs play an important role in the standardised approach and securitisation framework of prudential regulation through the mapping of each of their credit assessments to the corresponding risk weights.
The European Banking Authority (EBA), together with ESMA and EIOPA, is responsible for providing an objective mapping across all ECAIs in order to promote a consistent implementation of CRR across the EU.
External Credit Assessment Institutions
ECAI mapping
The European Commission has published on the 25th of April 2018 in the Official Journal the amending Implementing Regulations 2018/633 and 2018/634 with the view to allocate the credit assessment of the five newly registered credit rating agencies including Rating-Agentur Expert RA GmbH.
Commission Implementing Regulation 2018/633
Commission Implementing Regulation 2018/634
With this mapping credit ratings can help reducing the required reserve norms for exposures to rated entities in accordance with the Capital Requirements Regulation.
The Final Report on the amended Draft ITS on ECAIs mapping
Mapping of Rating-Agentur Expert RA GmbH’s credit assessments under the Standardised Approach
Mapping of RAEX-Europe's international credit rating scale
| Credit quality step | |||||
|---|---|---|---|---|---|
| 1 | 2 | 3 | 4 | 5 | 6 |
| AAA, AA | A | BBB | BB | B | <B |
Mapping of RAEX-Europe’s international reliability rating scale
| Credit quality step | |||||
|---|---|---|---|---|---|
| 1 | 2 | 3 | 4 | 5 | 6 |
| AAA, AA | A | BBB | BB | B | <B |
Mapping of RAEX-Europe’s international short-term rating scale
| Credit quality step | |||
|---|---|---|---|
| 1 | 2 | 3 | 4 |
| RA1+ | RA1 | RA2, RA3 | RA4, RA5, C, D |
Use of ECAI’s unsolicited ratings
The EBA published on 18 July 2017 a revised Decision confirming the quality of unsolicited credit assessments assigned by certain ECAIs to calculate institutions' capital requirements. Institutions may use unsolicited credit assessments of an ECAI for determining their capital requirements only if the EBA has confirmed that those unsolicited ratings do not differ in quality from solicited ratings of that same ECAI.
On 17 May 2016, the EBA issued a Decision allowing the use of unsolicited credit assessments for 22 ECAIs in the context of the Capital Requirements Regulation.
The revised Decision updates this list with 5 additional ECAIs and the de-registering of 1 ECAI and confirms that unsolicited credit assessments do not differ in quality from solicited ratings.
Revised decision confirming the quality of unsolicited credit assessments assigned by certain ECAIs
ECAI rating categories are used in Directive 2006/48/EC and Regulation (EU) No 575/2013
| Risk weight | Credit quality step | |||||
|---|---|---|---|---|---|---|
| 1 | 2 | 3 | 4 | 5 | 6 | |
| Exposures to central governments or central banks | 0 % | 20 % | 50 % | 100 % | 100 % | 150 % |
| Exposures to institutions with an original effective maturity of more than three months | 20 % | 50 % | 50 % | 100 % | 100 % | 150 % |
| Exposures to an institution with an original effective maturity of three months or less | 20 % | 20 % | 20 % | 50 % | 50 % | 150 % |
| Exposures to corporates | 20 % | 50 % | 100 % | 100 % | 150 % | 150 % |
| Short-term exposures to institutions and corporates | 20 % | 50 % | 100 % | 150 % | 150 % | 150 % |
| Exposures in the form of collective investment undertakings (CIUs) | 20 % | 50 % | 100 % | 100 % | 150 % | 150 % |
