Question ID: 1365
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: S.06.02
Status: Final
Date of submission: 15 Sep 2017
Question
As a partial Internal Model firm, some entities in the Group are on Internal Model and some are on Standard Formula. Therefore we have differing ECAI across the Group. When producing the S.06.02.04 Assets QRT for the overall Group which ECAI should we report in cell C0320 and C0330 where there are multiple?
EIOPA answer
At a group level the ECAI to be reported should be the one used for the group solvency calculation. This should follow the method used for the calculation of the group SCR, either by internal model or standard formula, regardless of the method used to calculate the individual SCRs.
This means that for the entities consolidated the ECAI considered for each asset should be unique, i.e. the one considered at group level. For the entities considered under the D&A method, different rows should be reported, for each of the entities under D&A, and in this case different ECAIs, if applicable, may be reported.