Question ID: 1417
Regulation Reference: Guidelines on group solvency
Topic: Group Solvency Requirement
Article: 336, 168-173, 182-187, 188, 164
Status: Final
Date of submission: 26 Mar 2018
Question
When calculating the consolidated group Solvency Capital Requirement in accordance with Article 336 of the Delegated Regulation (Delegated Regulation (EU) 2015/35), should the amounts calculated in Article 336(d) in respect of Equity (Articles 168-173), Market risk concentrations (Articles 182-187) and Currency (Article 188) be interpreted as requiring separate calculation and simple aggregation without using the correlation coefficients set out in Article 164, or whether the correlation coefficients set out in Article 164 should be applied?
EIOPA answer
SCR of Other undertakings calculated in accordance with Article 336 (d) of Delegated Regulation (EU) 2015/35 (the Delegated Regulation) outlines the variables to take into account when determining the amount of capital requirement for undertakings referred to in Article 335(1)(f) of the Delegated Regulation and such amount is then brought into the total consolidated group solvency calculation by summation.
For each undertaking included in the scope of SCR of Other undertakings , the equity risk, the currency risk and the market risk concentration may be aggregated using the relevant correlation coefficients prior to the aggregation of SCRs for the consolidated group SCR. It is important to note that the Solvency II framework does not provide for diversification between undertakings referred to in article 335(1)(f) of the Delegated Regulation falling under SCR of Other undertakings nor does it allow for diversification between such undertakings and the rest of the group.