Credit Risk: Standardised Approach (CRR)

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Standardised Approach

Article 136A The correspondence of the rating categories of each ECAI with the credit quality steps set out in Section 2 of Chapter 2 (Standardised Approach) of Title II of Part Three of the CRR

1.

The correspondence of the rating categories of each ECAI with the credit quality steps set out in Section 2 of Chapter 2 (Standardised Approach) of Title II of Part Three of the CRR shall be that set out in the following table:

Credit quality step 1 2 3 4 5 6
A.M. Best Europe Rating Services Limited
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 (UK) Limited 
Long-term issuer rating scale
 AAA, AA
 A
 BBB
 BB
 B CCC, CC, C, D
Long-term issue rating scale
 AAA, AA
 A
 BBB
 BB
 B  CCC, CC, C, D 
Insurance Financial Strength 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
    
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 
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
    
DBRS Ratings Limited
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
    
Fitch Ratings 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, D dcr
Short-term rating scale
 F1+
 F1
 F2, F3  B, C, RD, D
    
Short-term IFS rating scale
 F1+
 F1
 F2, F3
 B, C
    
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)
    
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 UK Limited 
Long-term credit rating scale
 AAA, AA
 A
 BBB
 B
 B CCC, CC, C, D
Short-term credit rating scale
 K1+
 K1
 K2, K3
 B, C, D
    
Moody’s Investors Service Limited 
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
    
Scope Ratings UK Limited
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 UK 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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