Question ID: 2044
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Other
Article: Article 184 of the Delegated Acts - Standard Formula 2018 review
Status: Final
Date of submission: 25 Oct 2019
Question
Market Risk Concentrations - Excess exposure - Calculation base ("Total Assets")
According to article 184 of the Delegated Acts, the Total Assets do not include some assets categories, amongh which exposures to counterparties belonging to the same group, consolidated etc.
After 2018 Standard Formula review, a real estate controlled entity which meets the criteria set in the new point 4 of Article 84 of the Delegated Acts is treated (mainly) as a Property exposure when determining the Market Risk Module.
On the other hand, such entity is still included in the “Holdings in related undertakings, including participations” (Equity) item in the Solvency II solo Balance Sheet.
My question is: do I have to exclude such investment from the Total Assets (being a group Partecipation, i.e. Equity, from the Balance Sheet point of view) or not (being Property from the S.C.R. point of view)?
EIOPA answer
In case that a look-through is to be applied to a real estate entity which is a related undertaking, the underlying assets shall be taken into account in the determination of single name exposures unless they fall under one of the categories set out in Article 184(2). The reduction of the calculation base set out in Article 184(2)(b) of the Commission Delegated Regulation (EU) 2015/35 is not applicable. The underlying assets shall be included in the determination of the calculation base unless they fall under one of the categories set out in Article 184(2).