EIOPA · 418
418
- Regulation
- (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
- Article
- 35
- Submitted
- 2015-12-17
- Answered
- 2019-09-17
Question
C0320 – External rating: The LOG states the following;“This item is not applicable to assets for which undertakings using internal models use internal ratings. If undertakings using internal models do not use internal rating, this item shall be reported.”
As per our interpretation of the above, if our internal model uses an algorithm which incorporates both external and internal rating for SCR calculation, we assume all ratings are classed as internal ratings and reported in cell C0350 (List of assets) /C0320 (Open derivatives).
Can EIOPA confirm if they agree with our interpretation?
Answer
Yes, the interpretation is correct, it should be reported as internal rating. Please note that the algorithm to be used needs to be part of the documentation of the internal model as approved by the national supervisory authority.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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