Question ID: 674
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 27 May 2016
Question
The LOG guidance for cell C0080 (External rating) states the following:
“Rating of the exposure at the reporting reference date issued by the nominated credit assessment institution (ECAI).”
We have interpreted the above LOG guidance to mean that we should report the external rating of the instrument/assets rather than the external rating of the counterparty. As derivatives do not have ratings we plan to leave this cell blank for exposures arising from derivatives.
Can EIOPA confirm this?
EIOPA answer
EIOPA confirms the interpretation. When the instructions refer to “exposure” it is meant to refer to instrument/asset. However please note that this template should be complemented by narrative information. If the amounts of risk concentration in the form of derivatives is material, we would expect information on rating of the counterparty in the narrative report.