Question ID: 1381
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 199
Status: Final
Date of submission: 14 Nov 2017
Question
Art. 199, 6.) and 7.) describes the cases where a 0.5% PD can be used, e.g. for a regulated (re)insurance in a third country with equivalent solvency regime or in country in the EU and for which an ECAI rating does not exist. For those cases we set the Solvency Ratio to 100%, which is equivalent to a PD of 0.5%. Is this still correct?
EIOPA answer
It is correct that exposures which meet the conditions in Article 199 Par. 6 or Par. 7 of Commission Delegated Regulation (EU) 2015/35 (“DR”) respectively shall be assigned a probability of default equal to 0,5 %.
It is not clear why it would be necessary for these exposures - as suggested by the question - to set the solvency ratio to 100 % (to use the table in Article 186(3) DR?) as Par. 6 or 7 provide the necessary information for performing the calculation set out in Article 199(1) DR.