Question ID: 2768
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Template: S.37.03
Status: Final
Date of submission: 22 Aug 2023
Question
Question 1: The new requirements relate to the forms, especially 37.01 to a completely new rating that has not yet been requested. Could it be that the types of ratings for the 37.xx forms are still being adjusted and concretized?
Question 2: According to your instructions, there are two different ratings, which I understood. But should the ratings be drawn from one and the same field? That means: two different pieces of information from one field?
Question 3: We also have the question of why, contrary to your specifications, the worst rating should always be used for the SCR calculation instead of the second best?
EIOPA answer
- No further amendments to the 37 are currently under discussion.
- Template 37.1 requires the rating of the counterparty. However template 37.3, the exposure is not requested on an item by item basis but to the bands per rating. For that split undertakings need to consider the rating of each bond.
- Where two or more credit assessments are available from nominated ECAIs and they correspond to different parameters for a rated item, the assessment generating the higher capital requirement shall be used. This template is not linked to the SCR calculation but to supervise risk concentrations.