Question ID: 2135
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Risk concentration
Article: 182(b)(6)
Status: Final
Date of submission: 20 Apr 2020
Question
Which is the g factor related to CQS 3.82? if the intention of the regulator was to apply g factor 73%, I cannot see the need to add this article to the regulation, unrated exposure have g factor = 73%. Moreover, why CQS 3.82 and not 4?
EIOPA answer
If the weighted average credit quality step on a single name exposure before rounding was 3.82 it would be 4 after rounding (see Article 182 (4) of the Commission Delegated Regulation (EU) 2015/35). The resulting risk factor g would be 73 %.
The current provisions cover also the case that a single name exposure comprises both rated and non-rated exposures. The rationale behind the 2018 EIOPA suggestions for changes to the market risk concentration risk sub-module can be found in section 8 of the following document.