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
Previous ArticleSAMA Publishes Financial Entities Ethical Red Teaming Framework
BIS published a paper that provides an overview on the use of big data and machine learning in the central bank community.
APRA finalized the reporting standard ARS 115.0 on capital adequacy with respect to the standardized measurement approach to operational risk for authorized deposit-taking institutions in Australia.
ECB published a guide that outlines the principles and methods for calculating the penalties for regulatory breaches of prudential requirements by banks.
MAS and The Association of Banks in Singapore (ABS) jointly issued a paper that sets out good practices for the management of operational and other risks stemming from new work arrangements adopted by financial institutions amid the COVID-19 pandemic.
ACPR announced that a new data collection application, called DLPP (Datalake for Prudential), for collecting banking and insurance prudential data will go into production on April 12, 2021.
BCB announced that the Financial Stability Committee decided to maintain the countercyclical capital buffer (CCyB) for Brazil at 0%, at least until the end of 2021.
EIOPA has launched a European-wide comparative study on non-life underwriting risk in internal models, also kicking-off of the data collection phase.
SRB published an overview of the resolution tools available in the Banking Union and their impact on a bank’s ability to maintain continuity of access to financial market infrastructure services in resolution.
EBA is consulting on the implementing technical standards for Pillar 3 disclosures on environmental, social, and governance (ESG) risks, as set out in requirements under Article 449a of the Capital Requirements Regulation (CRR).
ESAs Issue Advice on KPIs on Sustainability for Nonfinancial Reporting