Question ID: 2167
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: 168+170
Status: Final
Date of submission: 21 Jul 2020
Question
With the change of the Delegated Regulation on 8th June 2017 (2017/1542) you have specified the regulatory environment for qualified infrastructure. You also added a paragraph in articel 169 and 170. There you clearly state the percentage of decrease of a qualifying infratsructure. Of course the decrease is calculated on the basis of the investment "value". My question refers to that point: How is the value calculated in case of a leverage? For properties the leveraged part of the Investment will be added to the value. Due to that the calculated risk will raise. Is this calculation also applicable for qualified infrastructure? Thank you in advance and best regards!
Background of the question
Quarterly calculation of solvency risks
EIOPA answer
The COMMISSION DELEGATED REGULATION (EU) 2017/1542 of 8 June 2017 amending Delegated Regulation (EU) 2015/35 concerning the calculation of regulatory capital requirements for certain categories of assets held by insurance and reinsurance undertakings (infrastructure corporates) introduced modification to articles 169 and 170. In particular, the two new paragraphs aimed at providing the percentages of instantaneous decreases to apply to qualifying infrastructure corporate equities values for the purpose of the capital requirement calculation.
In case of debts contracted in order to invest in qualifying infrastructure investments, the debt value does not need to be added to the infrastructure value shocked for calculation of the capital requirements. The debt is simply present at the liability side of the prudential balance sheet of the insurer.