cqs_standardised

The credit quality step for standardised approach, measured as part of a credit quality assessment scale by an approved External Credit Assessment Institution. 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):

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

EBA CQS Guidance on Securitisation Positions

BoE Guidance on CQS