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European Insurance and Occupational Pensions Authority

826

Q&A

Question ID: 826

Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities

Article: 35, 112

Template: S.27.01

Status: Final

Date of submission: 19 Oct 2016

Question

Regarding C0090/R0790 Annex II states:
"The capital requirement before risk mitigation for Windstorm risk in regions other than the EEA Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles."

In the S.27.01 template, row header (R0790) states:
"Total Windstorm Other Regions before diversifications"

I am confused what kind of value is expected in the C0090/R0790. By "instantaneous loss" you refer to the Delegated Regulation Article 112(9) where such value is calculated using this formula:

L(windstorm,other)=1,75*(0,5*DIV+0,5)*P

However, instantaneous loss reflects also the diversification effect between other regions (via DIV value in the aforementioned formula).

My question is, what exactly is expected in the C0090/R0790?
Is it:
a) L(windstorm,other) "instantaneous loss" or
b) L(windstorm,other) where DIV = 1 (therefore disregrading possible diversification effect).

EIOPA answer

The amount reported in C0090/R0790 should reflect the instantaneous loss as defined in article 121 (9) of the Delegated Regulation. This should reflect the diversification effects within the "other regions" but not between this regions and the "specified regions" (reported in R0400 to R0590). This last diversification effect should be reported in R0810 only, leading to the Total Windstorm after diversification reported in R0820.