Question ID: 2296
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Technical Provisions (TPs)
Article: Guideline 61; Article 38(i)(i) of the Delegated Regulation
Status: Final
Date of submission: 20 May 2021
Question
We are writing you to enquire about Non-Life lapse risk if it should be part of Non-life Underwriting Risk for Risk Margin Calculation (SolvencyII) When calculated by Method 1 which is under "Guideline 61 – Methods to calculate the risk margin" in Guidelines on the valuation of technical provisions? Our current understanding is that only Premium and Reserve risk and Non-Life Catastrophe Risk should be part of the Non-life Underwriting Risk for the Risk Margin Calculation (Method 1). We were searching recently for the Helper_tab_Risk_Margin_SolvencyII.xlsx published by EIOPA to check the validity of the above statements, but we could not find the file on your website. We also checked the in the EIOPA Archive https://wayback.archive-it.org/org-1495/20191229100044/https:/eiopa.europa.eu/ but still have not found it there. Could you please share with us the link to the page in which we can find the file?
EIOPA answer
As per Article 38(i)(i) of the Delegated Regulation, the SCR of the reference undertaking should include all underwriting risk with respect to the transferred business. If the transferred business is exposed to non-life lapse risk then this should be included within the calculation of the risk margin.
The omission of non-life lapse risk from Technical Annex IV of the Guidelines on valuation of technical provisions is not an indication that it should not be included.
The location of Helper_tab_Risk_Margin_SolvencyII.xlsx is here.