Question ID: 2428
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Risk concentration
Article: 184(3) and 187(5)
Status: Final
Date of submission: 23 Apr 2022
Question
Exposures in the form of bank deposits (which meet the condition in Article 187 (5)(a-c) are assigned a risk factor g of 0%. Assigning a risk factor g to individual exposures creates inconsistency as exposures other than special exposures (article 187) are assigned risk factor at single name exposure level, and not on individual exposure level. A problem could arise in determining the risk factor g, when in addition to the bank deposit, there is another exposure in the form of a bond issued by the same bank.
EIOPA answer
When determining the risk factor and the exposure at default for a single name exposure, exposures in the form of bank deposits, which meet the requirements of Article 187(5), Commission Delegated Regulation (EU) 2015/35, should not be taken into account in the calculations.
The “exposure at default” is covered by Article 184(3),Commission Delegated Regulation (EU) 2015/35.