Question ID: 2431
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)((a))
Status: Final
Date of submission: 29 Apr 2022
Question
In case of products where the investment risk is partially borne by the policy holders and partially the company, should the Article 184 paragraph 2 point (a) be adhered to in full, i.e. whole amount of assets should be included into concentration risk calculations?
Background of the question
In case of products where the investment risk is partially borne by the policy holders and partially by the undertaking, e.g., when a unit-linked product has a feature of premium guarantee at maturity, straightforward application of Article 184 paragraph 2 point (a) can significantly overestimate the amount of Solvency Capital Requirement. Given the example, the undertaking is directly exposed only to the value representing the difference between premium guarantee value and the stressed market value, but not to the stressed value of all of the assets.
EIOPA answer
All the assets held in respect of life insurance contracts where the investment risk is partially borne by the policy holders and partially by the undertaking should be included in the determination of the capital requirement for market risk concentration. Indeed, the Article 184 (2)(a) of Commission Delegated Regulation (EU) 2015/35 excludes only the assets where the investment risk is fully borne by policyholders, not partially.