Question ID: 1372
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 186
Status: Final
Date of submission: 12 Mar 2018
Question
According to article 186 of the Delegated Acts,
i) if Company "C" is exposed to the Insurance Group "G_I", the Group’s SOLVENCY RATIO of "G_I" is one of the inputs to be considered by “C” in order to determinate the Capital Charge for the concentration risk with reference to the exposure of "C" in "G_I".
ii) if Company "C" is exposed to the Group "G_N" (being “G_N” different from an Insurance Group and from a Credit or Financial Institution), the CREDIT ASSESSMENT by a nominated ECAI of "G_N" in one of the inputs to be considered by “C” in order to determinate the Capital Charge for the concentration risk with reference to the exposure of "C" in "G_N"; if a credit assessment of “G_N” is not available, a capital charge percentage of 73% shall be used.
The Delegated Acts don’t set clear rules for investments in companies (or other entities) belonging to Groups held by an Ultimate Insurance Holding Company (i.e. a Company which in not an insurance company, but owns mainly Insurance Companies, and is subject to Solvency II rules).
Therefore, my question is: if Company “C” is exposed to an Ultimate Insurance Holding Company, should “C” calculate the SCR Market Concentration Risk based on the Solvency Ratio of the Ultimate Insurance Holding Company?
EIOPA answer
No.
The description in the first paragraph of the question is not accurate because:
(i) the provisions in Article 186 (2) of Delegated Regulation (EU) 2015/35 do not apply where the single name exposure consists of exposures to different legal entities.
(ii) the credit quality step of an exposure for the purpose of Article 182(4) should be determined in accordance with Article 5 of the Delegated Regulation (including Par. 3).
For exposures to the insurance holding company described in the question as well as for other exposures included in the same single name exposure, the credit quality step should be determined in accordance with Article 186(1) or Article 186(6) of Delegated Regulation (EU) 2015/35 as applicable.