In Q&A 2084 EIOPA has clarified that for equity positions in the concentration risk module in general a credit quality step of 5 (= unrated) should be used independent of the fact if there exists a credit rating for the company that issued the equity.

However, Commission Delegated Regulation (EU) 2015/35 (DR) introduces specific rules for certain exposures. Article 182(10) DR reads: “For the purposes of paragraph 4, exposures to credit institutions and financial institutions, within the meaning of points (1) and (26) of Article 4(1) of Regulation (EU) No 575/2013 which comply with the solvency requirements set out in Directive 2013/36/EU and Regulation (EU) No 575/2013, for which a credit assessment by a nominated ECAI is not available, shall be assigned to credit quality step 3,82."

Article 182(10) DR creates this privileged treatment for all exposure positions without differentiating between loans/credits and equity position. As a result, a credit quality step of 3,82 should be used for all exposures which fulfil the requirements stated in Article 182(10) DR when no credit assessment by a nominated ECAI is available.

However, it remains unclear how to proceed if a credit assessment by a nominated ECAI is available? Should this then also be used then for all exposure positions (loans/credits and equity) or only for the loans/credit positions?

To give a practical example: Insurance company A holds a senior bond of bank B but also has acquired an equity position in bank B. B has a credit assessment by a nominated ECAI with credit quality step 2. Can insurance company A use the credit quality step 2 for both positions? Or can insurance company A use the credit quality step 2 only for the bond position and has to continue to use 3,82 for the equity position?