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Commission Delegated Regulation (EU) 2018/990 of 10 April 2018 amending and supplementing Regulation (EU) 2017/1131 of the European Parliament and of the Council with regard to simple, transparent and standardised (STS) securitisations and asset-backed commercial papers (ABCPs), requirements for assets received as part of reverse repurchase agreements and credit quality assessment methodologies (Text with EEA relevance.)
Article 4

Article 4 — Criteria for quantifying credit risk, and the relative risk of default of the issuer and of the instrument, as referred to in Article 20(2)(a) of Regulation (EU) 2017/1131

  1. The criteria for quantifying the credit risk of an issuer, and the relative risk of default of an issuer and of the instrument, referred to in Article 20(2)(a) of Regulation (EU) 2017/1131, shall be the following:
    1. bond pricing information, including credit spreads and the pricing of comparable fixed income instruments and related securities;
    2. pricing of money market instruments relating to the issuer, the instrument or the industry sector;
    3. credit default-swap pricing information, including credit default-swap spreads for comparable instruments;
    4. default statistics relating to the issuer, the instrument or the industry sector;
    5. financial indices relating to the geographic location, the industry sector or the asset class of the issuer or instrument;
    6. financial information relating to the issuer, including profitability ratios, interest coverage ratio, leverage metrics and the pricing of new issues, including the existence of more junior securities.
  2. Where necessary and relevant, managers of MMFs shall apply additional criteria to the ones referred to in paragraph 1.