On 10 June 2021, the Joint Committee of the three European Supervisory Authorities (EBA, EIOPA and ESMA - ESAs) announced that it has included Nordic Credit Rating (NCR) in its amended Implementing Technical Standards (ITS) on the mapping of credit assessments of External Credit Assessment Institutions. Based on the ESAs analysis, NCR has been assigned the optimal mapping, in line with that of larger international credit rating agencies.
The mapping establishes a correspondence between the credit assessments of NCR and a prudential scale that serves to determine capital requirements under the Capital Requirements Regulation (CRR) and Solvency II. NCR was mapped according to the standard mapping based on the design of its rating scale, its default definition, and estimated future long-term default rate (see below). The draft ITS proposed by the ESAs has been transmitted to the Commission for endorsement.
For more information please see a press release from EBA here.
Mapping of NCR's long-term rating scale
Credit assessment | Credit quality step under CRR | Credit quality step under Solvency 2 |
---|---|---|
AAA | 1 | 0 |
AA | 1 | 1 |
A | 2 | 2 |
BBB | 3 | 3 |
BB | 4 | 4 |
B | 5 | 5 |
CCC | 6 | 6 |
CC | 6 | 6 |
C | 6 | 6 |
D/SD | 6 | 6 |
For more information, please contact:
Gustav Liedgren, CEO
gustav.liedgren@nordiccreditrating.com
+46 736 496 543