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European Insurance and Occupational Pensions Authority

2256

Q&A

Question ID: 2256

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: 84

Status: Final

Date of submission: 22 Feb 2021

Question

We have a question about the look-through approach used for SCR calculation. Article 84 of 2015/35 delegated act has been modified by the 2019/981 commission delegated regulation. In particular, it extends the possibility to apply the look through approach for some related undertakings : Paragraphs 1 and 2 shall not apply to investments in related undertakings, other than investments in respect of which all of the following conditions are met: (a) the main purpose of the related undertaking is to hold and manage assets on behalf of the participating undertaking; (b) the related undertaking supports the operations of the participating undertaking related to investment activities, following a specific and documented investment mandate; (c) the related undertaking does not carry on any significant business other than investing for the benefit of the participating undertaking. Given this article and its amendment, could you confirm that the look through approach can be applied to Special Purpose Vehicles notes held by an insurance undertaking instead of the simplified treatment set out in the Technical Specifications for the Preparatory Phase (SCR.5.148)?

EIOPA answer

A look-through approach shall always apply to Special Purpose Vehicles which are collective investment undertakings and other investments packaged as funds.  

If Special Purpose Vehicles notes held by an insurance undertaking meet the conditions in Article 84(4) of the Delegated Regulation, then the look through approach shall apply to market risk, underwriting risk, and counterparty risk.