Mapping of SEC-ERBA credit quality steps

Article 270e of Regulation (EU) No 575/2013 (CRR) as amended by Regulation (EU) 2017/2401 requires EBA to submit updated draft implementing technical standards to the European Commission with all ECAI mappings based on the new credit quality steps. Until a revised ITS is formally adopted and subsequently published in the Official Journal of the European Union, credit institutions shall apply the ECAI mappings as set out below. For short-term credit assessments, since no additional credit quality steps have been introduced in the CRR, credit institutions should use the short-term rating mapping found in Annex II of  Commission Implementing Regulation (EU) No. 2016/1801  (on laying down technical standards with regard to the mapping of credit assessments for securitisation).  For long-term credit assessments, credit institutions should use the following mapping of credit quality steps based on the illustrative Basel long-term rating designations (Basel, July 2016, ‘Revisions to the Securitisation Framework’). CQS ARC Ratings SA Axesor SA Creditreform Ratings AG DBRS Ratings Limited Fitch Ratings 1 AAASF AAA(sf) AAAsf AAA (sf) AAAsf 2 AA+SF AA+(sf) AA+sf AA (high) (sf) AA+sf 3 AASF AA(sf) AAsf AA (sf) AAsf 4 AA-SF AA-(sf) AA-sf AA (low) (sf) AA-sf 5 A+SF A+(sf) A+sf A (high) (sf) A+sf 6 ASF A(sf) Asf A (sf) Asf 7 A-SF A-(sf) A-sf A (low) (sf) A-sf 8 BBB+SF BBB+(sf) BBB+sf BBB (high) (sf) BBB+sf 9 BBBSF BBB(sf) BBBsf BBB (sf) BBBsf 10 BBB-SF BBB-(sf) BBB-sf BBB (low) (sf) BBB-sf 11 BB+SF BB+(sf) BB+sf BB (high) (sf) BB+sf 12 BBSF BB(sf) BBsf BB (sf) BBsf 13 BB-SF BB-(sf) BB-sf BB (low) (sf) BB-sf 14 B+SF B+(sf) B+sf B (high) (sf) B+sf 15 BSF B(sf) Bsf B (sf) Bsf 16 B-SF B-(sf) B-sf B (low) (sf) B-sf 17 CCC+SF CCC SF CCC- SF CCC+(sf) CCC (sf) CCC- (sf) CCC+sf CCC sf CCC- sf CCC (high) (sf) CCC (sf) CCC (low) (sf) CCC+sf CCCsf CCC-sf All other Below CCC-SF Below CCC-(sf) Below CCC-sf Below CCC (low) (sf) Below CCC-sf     CQS Japan Credit Rating Agency Ltd Kroll Bond Rating Agency Moody's Investors Service Standard & Poor's Ratings Services Scope Rating AG 1 AAA AAA (sf) Aaa (sf) AAA (sf) AAASF 2 AA+ AA+ (sf) Aa1 (sf) AA+ (sf) AA+SF 3 AA AA (sf) Aa2 (sf) AA (sf) AASF 4 AA- AA- (sf) Aa3 (sf) AA- (sf) AA-SF 5 A+ A+ (sf) A1 (sf) A+ (sf) A+SF 6 A A (sf) A2 (sf) A (sf) ASF 7 A- A- (sf) A3 (sf) A- (sf) A-SF 8 BBB+ BBB+ (sf) Baa1 (sf) BBB+ (sf) BBB+SF 9 BBB BBB (sf) Baa2 (sf) BBB (sf) BBBSF 10 BBB- BBB- (sf) Baa3 (sf) BBB- (sf) BBB-SF 11 BB+ BB+ (sf) Ba1(sf) Baa1(sf) BB+ (sf) BB+SF 12 BB BB (sf) Ba2 (sf) Baa2 (sf) BB (sf) BBSF 13 BB- BB- (sf) Ba3 (sf) Baa3 (sf) BB- (sf) BB-SF 14 B+ B+ (sf) B1(sf) Ba1(sf) B+ (sf) B+SF 15 B B (sf) B2 (sf) Ba2 (sf) B (sf) BSF 16 B- B- (sf) B3 (sf) Ba3 (sf) B- (sf) B-SF 17 CCC+ CCC CCC- CCC+ (sf) CCC (sf) CCC- (sf) Caa1 (sf) Caa2 (sf) Caa3 (sf) CCC+ (sf) CCC (sf) CCC- (sf) CCC+SF CCC SF CCC- SF All other Below CCC- Below CCC- (sf) Below Caa3 (sf) Below CCC- (sf) Below CCC-SF   The present answer does not pre-empt the above mentioned implementing technical standards and is without prejudice thereto. The present Q&A will be reviewed once said standards entry into force and/or in case of any changes in the list of credit rating agencies that are registered or certified in accordance with Regulation (EC) No 1060/2009.   NOTE: On 28 August 2019 the rating designations for Moody’s corresponding to CQS 11 to 16 have been adjusted as highlighted to redress a clerical error.