Question ID: 2766
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), Reporting Templates
Article: 189(2)(3) of DR
Template: S.02.01
Status: Final
Date of submission: 18 Aug 2023
Question
We have a question regarding the calculation of the counterparty default risk module (Articles 189 to 201 of Commission Delegated Regulation (EU) 2015/35 (DR)). How should amounts receivable from employees be treated in the calculation of that module? Amounts receivable from employees are referred to in the instructions on QRT S.02.01 in Commission Implementing Regulation (EU) 2015/2450. Accordingly, they are included in the item “Receivables (trade, not insurance)", cell C0010/R0380.
EIOPA answer
Article 189(3) DR requires that all credit exposures shall be type 2 exposures where they are not covered in the spread risk sub-module and are not classified as type 1 exposures.
Amounts receivable from employees should typically be treated as type 2 exposures. Insurance and reinsurance undertakings should however check whether these amounts are loans or bonds, which are covered in the spread risk sub-module, or fall under the list of type 1 exposures set out in Article 189(2) DR.