Question ID: 1028
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 180, 164, 77
Status: Final
Date of submission: 27 Oct 2017
Question
In Article 180, section 12, what are the risk factors assigned to an exposure that:
- relates to a qualifying infrastructure investment that meets the criteria set out in Article 164a
- is assigned to a matching adjustment portfolio in accordance with Article 77b(2) of Directive 2009/138/EC
- has been assigned a credit quality step between 0 and 2;
In other words, what are the risk factors to apply for exposures that satisfy 12.a, 12.c and 12.d, but not 12.b?
EIOPA answer
Where the conditions set out in Article 180(12) DA are not met, the risk factors in Article 180(11) DA are not applicable and the spread risk charge has to be determined based on the applicable provisions set out in Article 176 to 181 DA.