Question ID: 2230
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: 182 (10)
Status: Final
Date of submission: 17 Dec 2020
Question
I do have a question regarding the treatment of investments in credit institutions in the market risk concentration sub-module of the Solvency II standard formula. In the "old" Delegated Acts according to Art. 186 (4) credit institutions without rating but meeting the solvency requirements was assigned a risk factor of 64,5%. Now according to Art. 182 (10) credit institutions without rating is assigned a Credit Quality Step of 3,82. Imagine a single name exposure consisting only of one investment in an unrated credit institution. Is it correct, that the Credit Quality Step of this SNE is rounded up to 4 in the first step (Art. 182 (4)) and then a risk factor of 73% is assigned? (Art. 186 (1)). Or has a risk factor of 64,5% still to be applied?
Background of the question
Discussion with client from insurance segment
EIOPA answer
According to 2019/981 Delegated Regulation, Art. 186 (2-6) of 2015/35 Delegated Regulation are deleted, so Article 186 (4) of 2015/35 Delegated Regulation, mentioned in the question, no longer applies. Therefore, in the given example, the first proposed approach should be applied, i.e. adopting a CQS equal to 3.82 (in accordance with the new Article 182 (10)), rounding the CQS to level 4 (in accordance with Article 182 (4)) and selecting a risk factor of 73% (as defined in Article 186 (1)).