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NCAs should require the risks related to Sovereign Exposures to be appropriately taken into account in internal models;
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Guidance for NCAs to assess applications prepared in the absence of some related formal decisions, including decisions on granting equivalence to third countries; and
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NCAs should carry out comparative studies at the NCA level and contribute to and make use of corresponding studies on the EU level coordinated by EIOPA.
EIOPA has identified these areas where the existing different approaches would lead to inconsistent approaches for internal models which could jeopardise the joint decision-making processes for group internal models and harm convergence across Member States.
Gabriel Bernardino, Chairman of EIOPA, said:
“Being an innovative element in the Solvency II framework, internal models is an area particularly prone to inconsistent approaches. The purpose of this Opinion is to promote convergent supervisory practices in this critical area of Solvency II. Later on, we will engage in a follow-up exercise with the NCAs to understand what actions have been taken in light of our Opinion and consider the further measures required”.
EIOPA will continue monitoring the approval processes of internal models and working on their convergence to ensure a common Union supervisory culture and consistent supervisory practices.
EIOPA’s Opinion on Internal Models can be viewed below
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