Question ID: 2007
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Solvency Capital Requirement (SCR)
Article: 192
Status: Final
Date of submission: 13 Aug 2019
Question
Article 192a (1) and (2) define requirements for derivatives. Both the calculation of the loss given default in article 192 and the probability of default in article 199 (12) and (13) are based on this classification.
The following overview applies:
- requirements on derivatives classified under 192a (1) are higher than for derivatives under 192a (2)
- 192a (1) is connected to 192 (3) and 199 (12) with a factor on LGD of 18% and a probability of default of 0.002%
- 192a (2) is connected to 192 (3a) and 199 (13) with a factor on LGD of 16% and a probability of default of 0.001%
It seems contradictory that derivatives with higher requirements regarding the protection of the insurance undertaking receive higher SCR than derivatives with lower requirements.
Is this intended?an derivatives with lower requirements.
Is this intended?
EIOPA answer
The probability in Article 199(13) of Commission Delegated Regulation (EU) 2015/35 is 0.01 % and not 0.001%.
EIOPA provided in 2018 some advice to the European Commission on the treatment of exposures to CCPs in the counterparty default risk module that you may find interesting -see section 14 in: EIOPA’s second set of advice to the European Commission on specific items in the Solvency II Delegated Regulation. EIOPA-BoS-18/075.