Question ID: 2031
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: 35
Template: S.06.02
Status: Final
Date of submission: 01 Oct 2019
Question
In the amendment of EIOPA, there is a new option in the list Nominated ECAI (C0330): "No ECAI has been nominated and a simplification is being used to calculate the SCR”. It also referring, the external rating (C0320) shall be left blank and the Credit Quality Step (C0340) shall be 2a, 3a or 3b.
In the case when External rating (C0320) has been left blank, four option for Credit Quality Step can be used:
1. Option 2a,3a or 3b shall be used, when “No ECAI has been nominated and a simplification is being used to calculate the SCR" has been reported in Nominated ECAI(C0330)
2. Option "9 - no rating available" shall be used, when External rating (C0320) is blank
Both case, External rating (C0320) has been left blank. In which situation Option "9 - no rating available" shall be used for Credit Quality Step (C0340)
EIOPA answer
EIOPA confirms the instructions of s.06.02.C0330 and C0340. In C0340 is to be used any of the options 2a,3a or 3b, when a simplification in line with the Commission Delegated regulation (EU) 2015/35 can be used to attribute a credit quality step of 2 or 3. Option 9 is to be used for the securities with no ratings available and where no simplifications can be used.