1158

I would like to kindly ask you for a confirmation of my understanding of Article 4, paragraph 4, letter (f). I will show it on a short example:- company nominated three ECAIs to be used for the calculation of the SCR according to the standard formula- let's consider a situation when we need to decide on a rating of a bank ABC to be used in the SCR calculation- ABC has following ratings (each ECAI produces :ECAI1: AAA (CQS = 0)ECAI2: AA (CQS = 1)ECAI3: A (CQS = 2)- it applies that larger the CQS, larger SCR it produces- According to paragraph 4 of aforementioned Article I will now pick rating AAA and AA as these are two assessments generating the two lowest capital requirements.- However, AAA produces lower SCR than AA and therefore my final pick of rating is AA (because "assessment generating the higher capital requirement of those two credit assessments shall be used")- Final conlcusion: Rating of bank ABC used to determine SCR is "AA".