The recital 31 of the Delegated Regulation 2019/981 is about the procedure for calculating the Market Risk Concentration. Does this represent a change in the calculation of Market Risk Concentration as laid out in the Delegated Acts (prior to this amendment)? Is the intention of this new paragraph to imply that excess exposures should be calculated at an individual exposure level, with these individual excess exposures aggregated up to a single-name exposure level?

EIOPA answer

The answer to this question is provided by the European Commission.

The Delegated Regulation (EU) 2019/981 has incorporated some changes to the market risk concentration sub-module under the standard formula, but has not modified the calculation of the excess exposures as defined in accordance with Article 184(1) of the Delegated Regulation (EU) 2015/35. Individual exposures have to be aggregated to a single-name exposure before determining the excess exposure of Article 184(1) of the Delegated Regulation (EU) 2015/35. Excess exposures are calculated at single-name exposure level.

Disclaimer provided by the European Commission:

The answers clarify provisions already contained in the applicable legislation. They do not extend in any way the rights and obligations deriving from such legislation nor do they introduce any additional requirements for the concerned operators and competent authorities. The answers are merely intended to assist natural or legal persons, including competent authorities and Union institutions and bodies, in clarifying the application or implementation of the relevant legal provisions. Only the Court of Justice of the European Union is competent to authoritatively interpret Union law. The views expressed in the internal Commission Decision cannot prejudge the position that the European Commission might take before the Union and national courts.