Question ID: 2619
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: 230 of SII Directive; Article 169, 335, 336 of DR 2015/35
Status: Final
Date of submission: 03 Apr 2023
Question
As an insurance company we have a 100% owned subsidiary which holds infrastructure projects. The subsidiary is fully consolidated under Article 335 (1)(a) of Commission Delegated Regulation (EU) 2015/35 (DR) and in the scope of the group SCR calculation.
The projects have the sole objective to source the production of electricity through renewable sources as solar and wind. The projects hold solely and directly infrastructure assets as defined in Article 1 (55a) DR. The projects are financed partly with equity and partly with debt. We have followed the procedure in article 261a DR to confirm that the investment meets all criteria as set out in Article 164a DR and concluded that the investment therefore classifies as a “qualifying infrastructure equity investment".
As a reference, the exposures are similar as identified in Q&A 1162 with the exception that in this specific situation the structure is different - namely the projects are owned by a 100% subsidiary of the insurance group.
We kindly ask confirmation that for the group we can apply the capital requirements, as defined in Article 169(3) DR, on the Net Asset Value (NAV) of the subsidiary.
EIOPA answer
Under method 1 (“Accounting consolidation-based method"), defined in Article 230 of Directive 2009/138/EC (S2 Directive), the consolidated group Solvency Capital Requirement (SCR) should be calculated based on the consolidated data and in accordance with Title I, Chapter VI, Section 4, Subsections 1 and 2 of the S2 Directive in the case of the standard formula, which is relevant here according to the question.
Article 336 DR details the list of the terms summed to calculate the consolidated group SCR in paragraphs (a) to (e). In the question, the insurance undertaking is taken into account in the term described in paragraph (a) of Article 336 DR. This term of the consolidated group SCR is calculated on the basis of consolidated data as referred to in points (a), (b) and (c) of Article 335 (1) DR, data of collective investment undertakings and investments packaged as funds which are subsidiaries of the parent undertaking and following the rules laid down in Title I, Chapter VI, Section 4 of Directive 2009/138/EC (i.e. the same rules than those at solo level applied for this term).
The infrastructure projects are part of the consolidated data. When applying look-through to the infrastructure projects, the standard equity risk-submodule for qualifying infrastructure equities as referred to in Article 169 DR should be applied to the investments of the infrastructure projects.