Question ID: 3442
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: Article 192(4)
Status: Rejected
Date of submission: 30 Oct 2025
Question
Article 176, paragraph 1 of DR 2015/35 states that “the capital requirement for spread risk on bonds and loans shall be equal to the loss in the basic own funds that would result from an instantaneous relative decrease of stress i in the value of each bond or loan i other than mortgage loans that meet the requirements in Article 191” Article 191, paragraph 3 defines “mortgage loans which meet the requirements in Article 191(2) to (13);” as type 2 exposures in the SCR Counterparty Article 191, paragraph 6 states that the credit risk on mortgage loans which do not meet the requirements in Article 191(2) to (9) shall not be covered in the counterparty default risk module: Based on these articles, it could be concluded that mortgage loans fall under either the SCR Spread module or the SCR Counterparty type 2 module but never fall under the type 1 exposures in the SCR Counterparty. In this case, how should we consider article 192, paragraph 4, which defines a type 1 LGD for mortgages loans?
EIOPA answer
This question has been rejected because the issue it deals with is already explained or addressed in Articles 176, 189, 191 of Delegated Regulation (EU) 2015/35.
First, we assume that the reference to Article 191 paragraph 6 in the question is wrong. The question was processed by considering Article 189 paragraph 6, as it states that the credit risk on mortgage loans which do not meet the requirements in Article 191(2) to (9) shall not be covered in the counterparty default risk module.
Second, Article 192(4) does not refer to type 1 exposures, but prescribes the calculation of the LGD for mortgage loans which are type 2 exposures in accordance with Article 189(3)(c).