ANNEX IU.K. 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 IIU.K. 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. |
[F1ANNEX III U.K. Mapping tables for the purposes of Article 16
Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2019/2028 of 29 November 2019 amending Implementing Regulation (EU) 2016/1799 as regards the mapping tables specifying the correspondence between the credit risk assessments of external credit assessment institutions and the credit quality steps set out in Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance).
| Credit quality step | 1 | 2 | 3 | 4 | 5 | 6 |
|---|---|---|---|---|---|---|
| ACRA Europe, a.s (formerly European Rating Agency, a.s.) | ||||||
| Global long-term rating scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, D |
| Global short-term rating scale | S1 | S2 | S3, S4, NS | |||
| AM Best Europe Rating Services | ||||||
| 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 |
| 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 | |||
| Axesor Risk Management SL | ||||||
| Global rating scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, D, E |
| Banque de France | ||||||
| Global long-term issuer credit rating scale | 3++ | 3+, 3 | 4+ | 4, 5+ | 5, 6 | 7, 8, 9, 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 |
| 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 |
| 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 |
| 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 | |||
| Dagong Europe Credit Rating Srl | ||||||
| Long-term credit rating scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, D |
| Short-term credit rating scale | A-1 | A-2, A-3 | B, C, D | |||
| DBRS Ratings | ||||||
| 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 |
| 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 | ||
| Euler Hermes Rating GmbH | ||||||
| Global long-term rating scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, SD, D |
| EuroRating Sp. z o.o. | ||||||
| Global long-term rating scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, D |
| Fitch Ratings | ||||||
| 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 |
| 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 Group S.A | ||||||
| Global long-term rating scale | AA, A | BB, B | C, D | E, F | G, H | |
| INC Rating Sp. z o.o. | ||||||
| Long-term issuer credit 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 | ||||||
| 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 | ||
| 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 | ||
| 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 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 |
| Scope Ratings GmbH | ||||||
| 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 | ||
| 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 |
| 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 | ||
| The Economist Intelligence Unit Ltd | ||||||
| Sovereign rating band scale | AAA, AA | A | BBB | BB | B | CCC, CC, C, D] |