Question ID: 1494
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 180
Status: Final
Date of submission: 26 Sep 2018
Question
According to Delegated Acts Article 180 (2)(b) exposures to Member States’ central government funded in the domestic currency of that central government are assigend a risk factor stress_i of 0% for Spread Risk.
What is the exact definition of ‘Member State’ in this context?
- All countries that are part of the European Union, or
- All countries that participate in Solvency II?
In particular countries as Norway and Iceland participate in Solvency II but are not part of the European Union.
So in other words: Is a Norwegian company (where one can assume that a mojority of the investments are Norwegian government bonds) allowed to assume that Norwegian central government exposures are risk free?
EIOPA answer
The term ’Member States’ in the Solvency II Directive and in the Solvency II Delegated Regulation refers to the 28 Member States of the Union. However both legislations have been adopted with the Clause "Text with EEA relevance" which means that the addressees of this legislation are also Iceland, Lichtenstein and Norway.
Therefore, exposures in form of bonds and loans to the Norwegian’ central government denominated and funded in the domestic currency of that central government (or if you prefer, "funded in Norwegian krone") shall be assigned a risk factor of 0% pursuant to Article 180(2)(b) of Regulation 20015/35.