Question ID: 2410
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Group Solvency Requirement
Article: 184; 335; 336(d);
Template: S.25.01
Status: Final
Date of submission: 24 Mar 2022
Question
When applying Article 336 of DA 2015/35, paragraph d, all the related undertakings cumulated according to Article 335 paragraph 1f fall under the same single name exposure. How should we calculate the SCR Concentration in this case, especially regarding the term "Assets" in the formula of Article 184? Should we consider that the whole 'paragraph f' asset above CTi bears the concentration risk? Or could we also take (some of) the others assets of the group in the "Assets" base?
EIOPA answer
When applying Article 184 DR to compute the amount mentioned in Article 336(d) DR for an undertaking referred to in Article 335(1)(f), the calculation base of the market risk concentration sub-module 'Assets' should be equal to the value of all the assets this undertaking holds excluding the assets listed in Article 184(2) (a) to (f). Assets held by other entities within the group should not be considered in the calculation base.
Please see also Q&A 1417. Please note in particular that when determining the “SCR of other undertakings" (Article 335(1)(f) DR) in order to compute the SCR at group level, undertakings should not assume that “all the related undertakings cumulated according to Article 335(1)(f) fall under the same single name exposure" because the calculation of the “SCR of other undertakings" is performed individually for each of those undertakings, and then the resulting amounts are aggregated without diversification effect.