Question ID: 650
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: 27 May 2016
Question
Fields C0320 to C0350 inclusive of S.06.02 (and C0210 to C0240 inclusive of S.31.01) consider the credit rating of a particular exposure. The LOG for S.06.02 is clear that, where an internal rating is used for an internal model firm, fields C0320 to C0340 are not to be reported. We therefore have the following questions:
1) Where an internal rating is used in the SCR calculation of a standard formula firm (as required by the Delegated Regulation for large/complex exposures, for instance), because C0350 is not to be reported (the LOG states this is only applicable to internal model firms), is anything to be reported at all in fields C0320 to C0340? Yes, it would be possible to procure an external rating, but such an external rating would not be used in the SCR calculation.
2) The LOG for S.31.01 is not so clear regarding the interaction between the external and internal rating fields (ie there is no similar requirement that fields C0210 to C0230 inclusive are not to be reported where C0240 is reported). Are we to assume that simliar provisions apply to these fields as they would in S.06.02?
EIOPA answer
In the case described both the external rating and CQS needs to be reported. The CQS (to be used in the SCR calculation) should reflect the internal assessment (as in instructions: “The credit quality step shall in particular reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula”).
The approach in S.31.01 is the same as in S.06.02.