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European Insurance and Occupational Pensions Authority

2135

Q&A

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.