EIOPA is re-consulting on the new amendments to the implementing technical standards on the mapping of External Credit Assessment Institutions (ECAIs) for credit risk. In October 2018, ESAs had launched a consultation to amend the Implementing Regulations on the mapping of credit assessments of ECAIs. The amendments were necessary to reflect the outcomes of a monitoring exercise on the adequacy of existing mappings, namely changes to the Credit Quality Steps (CQS) allocation for two ECAIs and the introduction of new credit rating scales for ten ECAIs. This re-consultation is required for the new amendments linked with Solvency II. The consultation period ends on July 10, 2019.
The re-consultation by EIOPA is required for the following two reasons:
- The approach chosen in October 2018 for the respondents to share their views related to the amendments linked with Solvency Capital Requirement was not fully functional.
- References to the Capital Requirement Regulation (CRR) and elements in the mapping table required an update to take into account the latest assessments.
These draft implementing technical standards specify the allocations that should be used for determining the credit risk for the purpose of calculating the Solvency Capital Requirement with the standard formula. Solvency II allows the use of external credit assessments of ECAIs for purpose of calculating technical provisions and the Solvency Capital Requirement. This provision represents an element of risk-sensitivity and prudential soundness of the credit risk rules. Under the Solvency II Delegated Regulation, external credit assessments can only be used by insurance and reinsurance undertakings if they have been issued or endorsed by an ECAI in accordance with the CRA Regulation.
Comment Due Date: July 10, 2019
Keywords: Europe, EU, Insurance, Securities, Solvency II, ECAI, Credit Risk, Standardized Approach, CRA, CRA Regulation, ESAs, EIOPA
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