1. The Solvency Capital Requirement shall be calculated on the basis of each of the underlying assets of collective investment undertakings and other investments packaged as funds (look-through approach).
2. The look-through approach referred to in paragraph 1 shall also apply to the following:
(a) indirect exposures to market risk other than collective investment undertakings and investments packaged as funds;
(b) indirect exposures to underwriting risk;
(c) indirect exposures to counterparty risk.
3. Where Article 88 is complied with and the look-through approach cannot be applied to collective investment undertakings or investments packaged as funds, the Solvency Capital Requirement may be calculated on the basis of the target underlying asset allocation or, if the target underlying asset allocation is not available to the undertaking, on the basis of the last reported asset allocation, of the collective investment undertaking or fund, provided that, in either case, the underlying assets are managed in accordance with that target allocation or last reported asset allocation, as applicable, and that exposures and risks are not expected to vary materially over a short period of time.
For the purposes of that calculation, data groupings may be used provided they enable all relevant sub-modules and scenarios of the standard formula to be calculated in a prudent manner, and that they do not apply to more than 20 % of the total value of the insurance or reinsurance undertaking's assets.
3a. For the purposes of determining the percentage of assets where data groupings are used as referred to in paragraph 3, insurance or reinsurance undertakings shall not take into account underlying assets of the collective investment undertaking, or the investments packaged as funds, backing unit-linked or index-linked obligations for which the market risk is borne by the policyholders.
4. Paragraphs 1 and 2 shall not apply to investments in related undertakings, other than investments in respect of which all of the following conditions are met:
(a) the main purpose of the related undertaking is to hold and manage assets on behalf of the participating undertaking;
(b) the related undertaking supports the operations of the participating undertaking related to investment activities, following a specific and documented investment mandate;
(c) the related undertaking does not carry on any significant business other than investing for the benefit of the participating undertaking.
For the purposes of this paragraph, ‘related undertaking’ and ‘participating undertaking’ shall have the meaning given to those terms in Article 212(1) and (2) of Directive 2009/138/EC.