EN Official Journal of the European Union L 140/17

COMMISSION DELEGATED REGULATION (EU) No 448/2012

of 21 March 2012

supplementing Regulation (EC) No 1060/2009 of the European Parliament and of the Council with regard to regulatory technical standards for the presentation of the information that credit rating agencies shall make available in a central repository established by the European Securities and Markets Authority

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies (1) and in particular Article 21(4)(c) thereof,

Whereas:

(1) Article 11(2) of Regulation (EC) No 1060/2009 requires credit rating agencies to make certain information on historical performance data available in the central repository established by the European Securities and Markets Authority (hereinafter ‘ESMA’). This information is required to be provided in a standard form as provided for by ESMA and made available by ESMA to the public which shall also publish summary information on the main developments observed. These requirements need to be supplemented as regards the presentation of the information provided, including structure, format, method and period of reporting.

(2) Credit rating agencies belonging to a group of credit rating agencies located in the Union may report separately to the central repository. However, due to the credit rating agencies’ highly integrated functional organisation at Union level and in order to facilitate the understanding of statistics, credit rating agencies should be encouraged to report to the central repository on a global basis for the whole group.

(3) The central repository system collects data on credit ratings and stores them centrally. In order to help market participants to better assess the reliability of credit ratings and thereby assist them in taking investment decisions, the central repository should also accept on a voluntary basis credit ratings issued by third country credit rating agencies belonging to the same group of credit rating agencies but not endorsed in the Union.

(4) To further facilitate the understanding of the statistics produced, the reporting of data on credit ratings should include any data relating to at least the last 10 years before the entry into force of Regulation (EC) No 1060/2009. A credit rating agency should not be required to report these data if it can demonstrate that this would not be proportionate in view of their scale and complexity.

(5) This Regulation is based on the draft regulatory technical standards submitted by ESMA to the Commission for endorsement by the Commission pursuant to the procedure laid down in Article 10 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (2).

(6) ESMA has conducted an open public consultation on the draft regulatory technical standards on which this Regulation is based and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010. However, ESMA did not conduct a cost-benefit analysis since it considered this disproportionate to the impact of the draft regulatory technical standards given that the Committee of European Securities Regulators (CESR) had been establishing the central repository since 2010 and the draft technical standards reflected the operation of the existing system rather than applying material new requirements and was therefore not expected to impose significant additional costs on ESMA or credit rating agencies,

HAS ADOPTED THIS REGULATION:

CHAPTER I

GENERAL PROVISIONS

Article 1

Subject matter

This Regulation specifies the rules for the presentation of the information, including structure, format, method and period of reporting, that credit rating agencies are required to make available in a central repository in accordance with:

(a) Article 11(2) of Regulation (EC) No 1060/2009;

(b) point 1 of Part II of Section E of Annex I to Regulation (EC) No 1060/2009.

CHAPTER II

REPORTING STRUCTURE

Article 2

Reporting principles

1. A credit rating agency shall submit the following types of report to the central repository established by ESMA:

(a) qualitative data reports as set out in Article 7 and Article 9; and

(b) rating data reports as set out in Article 8 and Article 10.

2. A credit rating agency shall be responsible for the accuracy, completeness and availability of its reported data. It shall ensure that the reports are provided in due time using the reporting channels in Article 11 and according to the reporting procedure in Article 13.

3. Where a credit rating agency belongs to a group of credit rating agencies the members of the group may mandate one of their members to report the required information on behalf of the group. When the mandated group member reports information on behalf of the group it shall identify both itself and the group members on whose behalf it is reporting the information.

Article 3

Ratings to be reported

1. A credit rating agency shall report data on a credit rating for each reporting period until this credit rating is withdrawn.

2. A credit rating agency shall report both solicited and unsolicited ratings. It shall indicate whether a rating is solicited or unsolicited.

3. A credit rating agency reporting on behalf of a group of credit rating agencies may include data of third country credit rating agencies belonging to the same affiliated group which are not used in the Union by means of endorsement. Where a credit rating agency does not report such data it shall give an explanation in its qualitative data report.

4. A credit rating agency shall report data on credit ratings covering at least the last 10 years before the entry into force of Regulation (EC) No 1060/2009. A credit rating agency that did not issue credit ratings prior to 7 December 1999 shall report data for the reporting periods following the first date on which it issued a credit rating. A credit rating agency is not required to report in respect of rating periods that predate its registration or certification under Regulation (EC) No 1060/2009 if it can demonstrate that reporting such data is not proportionate in view of its scale and complexity.

5. A credit rating agency shall report the following types of ratings:

(a) corporate ratings;

(b) structured finance ratings;

(c) sovereign and public finance ratings.

Article 4

Corporate ratings

1. A credit rating agency shall report data concerning corporate ratings on an issuer basis.

2. A credit rating agency may treat ratings of a subsidiary of an undertaking either as an individual rating or not. That credit rating agency shall explain the policy chosen.

3. When reporting corporate ratings a credit rating agency shall classify the ratings within one of the industry segments specified in field 18 of Table 1 of Annex II.

4. Corporate ratings data for short-term ratings and long-term ratings shall both be reported where available. For the long-term ratings the issuer rating shall be reported. Where an issuer rating is not available, the long-term unsecured debt rating shall be reported. Where foreign and local currency ratings are available, only the foreign currency rating shall be reported.

Article 5

Structured finance ratings

1. Subject to the specific characteristics set out in paragraph 2 and 3, a credit rating agency shall report long-term ratings on an issue basis for structured finance instruments.

2. A credit rating agency shall report long-term ratings on an issuer basis for structured investment vehicles and similar structures.

3. A credit rating agency shall report short-term ratings on an issue basis for asset-backed commercial papers.

4. When reporting structured finance ratings, a credit rating agency shall classify the ratings within one of the following asset classes:

(a) Asset-backed securities. This asset class includes the sub-asset classes auto/boat/airplane loans, student loans, consumer loans, health care loans, manufactured housing loans, film loans, utility loans, equipment leases, credit card receivables, tax liens, non-performing loans, credit-linked notes, recreational vehicle loans, and trade receivables;

(b) Residential mortgage-backed securities. This asset class includes the sub-asset classes prime residential mortgage-backed securities and non-prime residential mortgage-backed securities and home equity loans;

(c) Commercial mortgage-backed securities. This asset class includes the sub-asset classes retail or office property loans, hospital loans, care residences, storage facilities, hotel loans, nursing facilities, industrial loans, and multifamily properties;

(d) Collateralised debt obligations. This asset class includes the sub-asset classes collateralised loan obligations, collateralised bond obligations, collateralised synthetic obligations, single-tranche collateralised debt obligations, collateralised fund obligations, collateralised debt obligations of asset-backed securities, and collateralised debt obligations of collateralised debt obligations;

(e) Asset-backed commercial papers;

(f) Other structured finance instruments that are not included in the preceding asset classes, including structured covered bonds, structured investment vehicles, insurance-linked securities and derivative product companies.

5. A credit rating agency shall specify which asset class and sub-asset class (where applicable) each rated instrument belongs to.

6. For the purpose of field 17 of Table 1 of Annex II, the country code used for an instrument shall be that of the country of domicile of the majority of the underlying assets. Where it is not possible to identify the domicile of the majority of the underlying assets, the rated instrument shall be classified as ‘International.’

Article 6

Sovereign and public finance ratings

1. A credit rating agency shall report data concerning sovereign and public finance ratings on an issuer basis. The credit rating agency shall classify the ratings within one of the following sectors:

(a) local currency sovereign ratings;

(b) foreign currency sovereign ratings;

(c) sub-sovereign and municipalities ratings such as states and local governments;

(d) supranational organisations’ ratings such as those of institutions established, owned and controlled by more than one sovereign government shareholder including organisations covered by code U (Activities of extraterritorial organisations and bodies) according to the statistical classification of economic activities in the European Communities (hereinafter ‘NACE’) (3);

(e) public entities ratings including those covered by NACE codes O (Public administration and defence; compulsory social security), P (Education) and Q (Human health and social work activities).

2. Within each sector the short-term and the long-term issuer ratings shall be reported. Where an issuer rating is not available, the long-term debt rating shall be reported.

3. For the purpose of field 17 of Table 1 of Annex II, where no specific country can be identified as the country of issuance in the case of supranational organisations as specified in point (d) of paragraph (1), the rated issuer shall be classified as ‘International.’

CHAPTER III

FORMAT OF REPORTING

Article 7

Qualitative data

1. A credit rating agency shall provide qualitative data reports in the format specified in Table 1 of Annex I. In particular, a credit rating agency shall provide qualitative data on its rating scale explaining the individual characteristics and the meaning of each rating. A credit rating agency may report up to six rating scales. No more than one rating scale may be reported in respect of any particular combination of time horizon and rating type.

2. Where a credit rating agency issues ratings for a particular time horizon and rating type using more than one rating scale, it shall report in its qualitative data reports only the rating scale used for the numerical majority of such ratings. Ratings shall not be reported in rating data reports where they use a rating scale that has not been reported pursuant to this paragraph.

3. A rating scale contains an undetermined number of broad rating categories that may include as subcategories an undetermined number of notches. A credit rating agency shall report both rating categories and notches where applicable.

Article 8

Rating data

1. A credit rating agency shall provide rating data reports for ratings referred to in Article 3 in the format specified in Table 1 of Annex II.

2. For the purpose of field 12 of Table 1 of Annex II, a credit rating agency shall report a default in respect of a rating where one of the following events has occurred:

(a) the rating indicates that a default has occurred according to the credit rating agency’s definition of default;

(b) the rating has been withdrawn due to insolvency of the rated entity or due to debt restructuring;

(c) any other instance in which the credit rating agency considers a rated entity or rated instrument as defaulted, materially impaired or equivalent.

3. All reported ratings that are withdrawn during a specific reporting period shall be accorded a reason for withdrawal under field 11 of Table 1 of Annex II. Ratings that were withdrawn before 7 September 2010 may be entered in the category ‘end of rating due to other reasons’.

Article 9

Changes to and cancellations of qualitative data

1. A credit rating agency shall report changes to and cancellations of qualitative data reported where this is necessary to:

(a) reflect changes in qualitative data;

(b) correct factual errors in the reporting of a rating scale.

2. For changes in qualitative data, except data on the rating scale, a credit rating agency shall send a new report containing the updated data. A credit rating agency shall only send a new qualitative data report if there is a change in any of the data, and only the data that have changed shall be reported. In the event of a methodology change, a credit rating agency shall report the updated qualitative data and may refer to additional information on historical methodology changes provided on its website.

3. Where a change of a rating scale occurs limited to the labels of categories or notches a credit rating agency shall send the qualitative data report containing an updated record of the previous rating scale (identified by its unique rating identifier) modifying the labels or descriptions as appropriate. The other fields relating to the rating scale shall be included in the report with no changes. A credit rating agency shall use the fields specified in Table 1 of Annex I.

4. Where a material change to a rating scale occurs, a credit rating agency shall declare a new rating scale and perform the following steps:

(a) a qualitative file with an updated record of the previous rating scale modifying the end validity date to the date of the end of the previous reporting period shall be sent. The credit rating agency shall use the fields specified in Table 1 of Annex I;

(b) the credit rating agency shall report the new rating scale with a new unique identifier and a start validity date of the first reporting period for which it is valid;

(c) once the credit rating agency has received the feedback file from the central repository confirming that the new rating scale has been accepted, it shall send the rating data files corresponding to the first reporting period to which the new rating scale applies using the new rating scale.

5. Where a rating scale is cancelled, a credit rating agency shall perform the following steps:

(a) the cancellation shall take place before the credit rating agency reports any rating data to the central repository relating to that rating scale. In case rating data have already been reported, the credit rating agency has to cancel all rating data using the previous rating scale;

(b) the credit rating agency shall send the qualitative data file containing the cancellation of the rating scale. The credit rating agency shall use the field specified in Table 2 of Annex I.

Article 10

Cancellation of rating data and historical reporting of rating data

1. Where factual errors are identified in the rating data that has been reported, a credit rating agency shall report the cancellation of that rating data and shall replace the cancelled rating data.

2. When cancelling rating data a credit rating agency shall take one of the following measures:

(a) in case of a rating record of the current reporting period, a credit rating agency shall use the fields specified of Table 2 of Annex II. Once the original record has been cancelled, it shall send a new version of the record;

(b) in case of a rating record of previous reporting periods, a credit rating agency may cancel the original rating data for all reported periods using the field specified of Table 2 of Annex II including the reason for the cancellation and then replace the original version of the record in all periods using the procedure described in Article 3(4).

3. When reporting rating data retroactively, a credit rating agency shall add to the rating fields the historical reporting period of the rating and the reason for the reporting of historical rating data, as specified in fields 24 and 25 of Table 1 of Annex II.

CHAPTER IV

METHOD OF REPORTING

Article 11

Reporting channels and data transfer

1. In order to report data to the central repository, a credit rating agency shall use the reporting facilities of the central repository system.

2. All the files sent to and received from the central repository shall be in XML format compliant with the XSD schemes issued by ESMA.

3. A credit rating agency shall name the files according to the naming convention issued by ESMA.

4. A credit rating agency shall store the files sent to and received from the central repository in electronic form for at least five years. They shall be made available to ESMA on request.

Article 12

File exchange principles and reporting periods

1. A credit rating agency shall send all files covering a specific reporting period within the subsequent pre-publication period to the central repository. This requirement covers both qualitative data files and rating data files.

2. The reporting period shall cover a six-month period lasting from 1 January to 30 June or from 1 July to 31 December. The pre-publication period is a period of three months following the end of the respective reporting period, lasting from 1 January to 31 March or from 1 July to 30 September. The beginning and the end of a pre-publication period and a reporting period shall be determined by central European time.

3. A credit rating agency shall first transmit qualitative data. It shall send rating data files only when it has received a feedback file from the central repository verifying the qualitative data.

4. During each pre-publication period, a credit rating agency shall submit to the central repository rating data files including all the information as specified of Tables 1, 2 and 3 of Annex II. Cancellations of rating data shall be reported according to Article 10.

5. The first time a credit rating agency reports to the central repository, it shall forward a qualitative data file including all qualitative data as specified of Tables 1, 2 and 3 of Annex I. Subsequently, that credit rating agency shall report only new rating scales, updates to and cancellations of qualitative data according to Article 9.

6. In addition to its first report to the central repository a credit rating agency shall also report the historical data according to Article 3(4). That reporting shall be performed in a chronological order of the reporting periods, starting with the earliest one.

Article 13

Reporting procedure

1. A credit rating agency shall ensure that the information sent to the central repository corresponds to its internal records. Within each pre-publication period all relevant files shall be sent in chronological order and errors shall be corrected within the pre-publication period.

2. The central repository shall send a feedback file to the credit rating agency for each data file reported either confirming that the file has been received and loaded correctly or informing the credit rating agency about detected errors. Where the central repository has detected an error, the credit rating agency shall send corrections in due time as follows:

(a) for file errors, the credit rating agency shall correct the error as indicated in the feedback file and resend the whole file again;

(b) for content errors, the credit rating agency shall correct the error as indicated in the feedback file and shall resend only the corrected records.

CHAPTER V

FINAL PROVISIONS

Article 14

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 21 March 2012. For the Commission The President José Manuel BARROSO

(1) OJ L 302, 17.11.2009, p. 1.

(2) OJ L 331, 15.12.2010, p. 84.

(3) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).

ANNEX I List of fields for a qualitative data file Table 1: List of business fields for the first declaration and the update of a qualitative data file No Field identifier Description Type Standard 1 CRA name Name used to identify the credit rating agency in the web interface of the CEREP. It shall correspond to the name used by the credit rating agency in the registration process and all other supervisory procedures within ESMA. In case one member of a group of credit rating agencies reports for the whole group it shall be the name referring to the group of credit rating agencies. Mandatory for initial reporting or in case of changes. — 2 CRA description Brief description of the credit rating agency. Mandatory for initial reporting or in case of changes. — 3 CRA methodology Description of the credit rating agency’s rating methodology. The credit rating agency has the possibility to describe unique features of its rating methodology. Mandatory for initial reporting or in case of changes. — 4 Solicited and unsolicited ratings policies Description of the credit rating agency’s policy on solicited and unsolicited ratings. If more than one policy exists, the relevant rating types applicable to each policy shall be specified. Mandatory for initial reporting or in case of changes. — 5 Subsidiary ratings policy Description of policy regarding the reporting of the rating of subsidiaries. Mandatory for initial reporting or in case of changes. Only applicable for credit rating agencies issuing corporate ratings. — 6 Geographical reporting scope Description whether there is a global coverage. If the coverage is not global, the credit rating agency shall explain why not. Mandatory for initial reporting or in case of changes. A selection of global/non-global XML tag selection should be used to identify whether there is global coverage or not. In case non-global coverage is selected, a subfield is mandatory to explain the reason. 7 Definition of default Describes the definition of default by the credit rating agency. Mandatory for initial reporting or in case of changes. — 8 Rating scale identifier Identifies uniquely a specific rating scale of the credit rating agency. Mandatory if a rating scale needs to be reported or updated. — 9 Rating scale validity start date The date at which the rating scale starts being valid (BOP). It shall correspond to a valid date of the beginning of a reporting period existing in the system. The date shall not overlap with already reported rating scale for the same scope. Mandatory if ‘rating scale identifier’ is reported. ISO 8601date format (YYYY-MM-DD). 10 Rating scale validity end date The last date a rating scale is valid (EOP). It shall correspond to a valid date of the end of a reporting period existing in the system. If no specific end validity date is known or it is in the future, it shall be declared as 9999-01-01. The date shall not overlap with already reported rating scale for the same scope. Mandatory if ‘rating scale identifier’ is reported. ISO 8601date format (YYYY-MM-DD). 11 Time horizon Identifies the applicability of the rating scale based on the time horizon. The combination of rating type and time horizon shall be valid. Mandatory if ‘rating scale identifier’ is reported. — ‘L’ in case the rating scale is applicable to long term ratings, — ‘S’ in case the rating scale is applicable to short term ratings. 12 Rating type Identifies the applicability of the rating scale based on the rating type. The combination of rating type and time horizon shall be valid. Mandatory if ‘rating scale identifier’ is reported. — ‘C’ in case the rating scale is applicable to corporate ratings, — ‘S’ in case the rating scale is applicable to sovereign and public finance ratings, — ‘T’ in case the rating scale is applicable to structured finance ratings. 13 Rating category label Identifies a specific rating category within the rating scale. Mandatory if ‘rating scale identifier’ is reported. — 14 Rating category description Definition of the rating category in the rating scale. Mandatory if ‘rating scale identifier’ is reported. — 15 Rating category value Order of the rating category in the rating scale, considering notches as subcategories. Mandatory if ‘rating scale identifier’ is reported. The ordinal is an integer value with minimum value 1 and a maximum value of 20. The declaration of the rating categories values must be consecutive. There must be as a minimum one rating category for each rating. 16 Notch label Identifies a specific notch within the rating scale. Notches provide additional detail to the rating category. Mandatory if a notch in rating scale is declared. — 17 Notch description Definition of the notch in the rating scale. Mandatory if a notch in rating scale is declared. — 18 Notch value Order of the notch in the rating scale. The notch value is the value that is assigned to each rating, to identify the rating at the beginning and at the end of each period. Mandatory if a notch in rating scale is declared. The notch value is an integer with minimum value 1 and a maximum value of 99. Values provided must be consecutive. There is an undetermined number of notches belonging to each specific rating category.

Table 2: Field for the cancellation of rating scales No Field identifier Description Type Standard 1 Rating scale identifier The identifier of the rating scale to be cancelled. Mandatory —

Table 3: List of technical fields for a qualitative data file No Field identifier Description Type Standard 1 Language Defines the language of the file. Mandatory. ISO 639-1. 2 CRA unique identifier Code used internally by the system to identify the credit rating agency. Must be the business identifier code (BIC) of the credit rating agency sending the file. Mandatory. ISO 9362. 3 Version The version of the XML schema definition (XSD) used to generate the file. Mandatory. Shall be the exact version number. 4 Creation date The date at which the file was created. Mandatory. ISO 8601 date format (YYYY-MM-DD). 5 Creation time The time at which the file was created. It shall be reported in the local time of the credit rating agency generating the file and expressed as coordinated universal time (UTC) +/– hours. Mandatory. ISO 8601 Time Format (HH:MM:SS). 6 Creation time offset Indicates that a local time offset for the creation of the file was used HH ahead or behind UTC. Separated subfield with values (+/–) HH, which shall be adjusted for summer time. Mandatory. —