Question ID: 2384
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: 184(2)(b)(ii) and 335
Status: Final
Date of submission: 31 Jan 2022
Question
Article 184(2)(b) of DR (EU) 2015/35 allows the exclusion of intra-group loans from the Solvency II SCR calculations for concentration risk at the solo level, granted that both the reporting entity and the entity to whom the loan has been extended are consolidated under the same group as per point 1(a) of Article 335. In order to meet the requirement concerning full consolidation for “the calculation of group solvency”, must the two entities be consolidated specifically under the Solvency II regime, or can they be consolidated at group level under an equivalent regime, such as the Swiss or Bermudan one?
Background of the question
Article 184(2)(b) of DR (EU) 2015/35 allows the exclusion of intra-group loans from the Solvency II SCR calculations for concentration risk at the solo level, granted that both the reporting entity and the entity to whom the loan has been extended are consolidated under the same group as per point 1(a) of Article 335.
EIOPA answer
According to Article 184(2)(b) of the Delegated Regulation (EU) 2015/35 (DR), several conditions need to be met simultaneously in order to exclude exposures to a counterparty which belongs to the same group as the insurance or reinsurance undertaking. Notably, point (ii) of Article 184(2)(b) of the DR requires that the counterparty is fully consolidated in accordance with Article 335(1)(a) of the DR. Article 335 of the DR concerns the determination of consolidated data for group solvency according to method 1. Method 1 applies under Solvency II regime at group level. Therefore, the two entites should be consolidated at group level under the Solvency II regime.