From cfee133b148b21c87b81d2c17da16f790a705e0a Mon Sep 17 00:00:00 2001 From: muratabur Date: Wed, 6 Dec 2023 12:48:15 +0000 Subject: [PATCH] Update cqs_standardised documentation --- documentation/properties/cqs_standardised.md | 19 ++++++++++++++++--- 1 file changed, 16 insertions(+), 3 deletions(-) diff --git a/documentation/properties/cqs_standardised.md b/documentation/properties/cqs_standardised.md index 30a9830e..8e3e2e49 100644 --- a/documentation/properties/cqs_standardised.md +++ b/documentation/properties/cqs_standardised.md @@ -8,8 +8,21 @@ schemas: [entity, security] --- -The credit quality step for standardised approach, measured as part of a credit quality assessment scale. Represented as a naturally positive integer number between 1 and 17 inclusive. +The credit quality step for standardised approach, measured as part of a credit quality assessment scale by an approved [External Credit Assessment Institution](https://www.eba.europa.eu/regulation-and-policy/external-credit-assessment-institutions-ecai). Most CQS scales range from 1 to 6 however, CQS for securitisations can be more granular, ranging from 1 to 17. +For example, the securitisation scale converts as follows (for S&P LT ratings): -To view the Bank of England Standardised Approach click [here](http://www.bankofengland.co.uk/pra/Documents/publications/ss/2013/ss1013.pdf). To view the FCA ECAIs Standardised Approach click [here](https://www.fca.org.uk/publication/archive/fsa-ecais-standardised.pdf). To view the Committee of European Banking Supervisors' (CEBS) Standardised Approach click [here](https://www.eba.europa.eu/documents/10180/16166/4+Ausust+2006_Mapping.pdf). -To view the European Banking Authority Standardised Approach click [here](https://www.eba.europa.eu/sites/default/documents/files/document_library/Publications/Draft%20Technical%20Standards/2022/EBA-ITS-2022-03%20ITS%20on%20the%20mapping%20of%20ECAIs%20Credit%20Assessments%20for%20securitisation%20positions/1032070/Final%20Report%20amending%20draft%20ITS%20ECAIs%20mapping%20CRR%20art%20270e.pdf). +```bash +1 = 1 to 4 +2 = 5 to 7 +3 = 8 to 10 +4 = 11 to 13 +5 = 14 to 16 +6 = 17 +``` + +[EBA CQS Guidance on Standardised Approach](https://www.eba.europa.eu/regulation-and-policy/external-credit-assessment-institutions-ecai/draft-implementing-technical-standards-on-the-mapping-of-ecais-credit-assessments) + +[EBA CQS Guidance on Securitisation Positions](https://www.eba.europa.eu/regulation-and-policy/external-credit-assessment-institutions-ecai/its-on-the-mapping-of-ecais-credit-assessments-for-securitisation-positions) + +[BoE Guidance on CQS](https://www.bankofengland.co.uk/prudential-regulation/publication/2013/credit-risk-standardised-approach-ss)