Question ID: 1404
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 03 Apr 2018
Question
We note that a new closed list of "Nominated ECAI" has been provided in the revised ITS and XBRL taxonomy. This list identifies the credit rating agencies at a much more granular level than we had been using previously. We have been using the following rating agencies as the basis for our external ratings:
Fitch Ratings LTD
LEI: 2138009F8YAHVC8W3Q52
Moody’s Analytics, Inc.
LEI: 549300XQSQIVUM37C509
Standard & Poor’s Financial Services, LLC.
LEI: 549300U4VWNITEKO2881
A.M. Best Company, Inc.
LEI: 549300LXZMQIXC5XCJ02
The first of these ECAIs appears on the list provided, but the others do not. To replace these with ECAIs from the list is not a simple change - it would require sourcing the data and negotiating licenses, and this may not be feasible in the time available (for Q4 2017 reporting). Can we continue to use the existing ratings for Moody's, Standard & Poor's, and AM Best (i.e. provided by the "global" entities listed above), and select one of the options from the closed list to represent the ECAI which we have used? How should we proceed if we are unable to get permission to use one of the nominated ECAIs on the closed list?
EIOPA answer
In S.06.02 in the closed list used to report C0330 only the 'registered or certified CRA' may be included (credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies by ESMA). This reflects the requirements of Solvency II framework on the usage of external ratings for the calculation of capital requirements.
According to Solvency II only certified CRAs for which the mapping is available under the Commission Implementing Regulation (EU) 2016/1800 of 11 October 2016 can be referred to. The introduction of the close list did not change the requirements, but just clarified these. The option "Other nominated ECAI" is to be used only for situations where an CRA was introduced in ESMA's list and for as long as the closed list is not updated.
The use of credit ratings issued by CRAs which are not registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 is not eligible for Solvency II purposes, including reporting. Ratings issued by third-country CRAs can only be used if they have been endorsed by an EU registered CRA of the same group. Once a credit rating is endorsed, it is considered as having been issued by an EU CRA. In the case of an endorsed credit rating, the endorsing CRA (i.e. the EU registered CRA) should be the one reported in S.06.02 (not the third-country CRA).
Consequently, the following entities are, for example, not admissible for reporting:
Moody's Analytics, Inc. (LEI: 549300XQSQIVUM37C509), Standard & Poor's Financial Services, LLC. (LEI: 549300U4VWNITEKO2881) or
A.M. Best Company, Inc. (LEI: 549300LXZMQIXC5XCJ02).