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Regarding the calculations of the Stressed scenario for Category 2 discussed in Annex IV in the delegated regulation 2017/653 (https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02017R0653-… the confusion comes from paragraph 11, which says “…where zα is a proper selected...

In EU Regulation 2015/35, specifically in Article 180, paragraphs 13 and 16, beneficial capital treatment is granted to Qualified Infrastructure Investment and Qualified Infrastructure Corporate Investment. Notably, this regulation permits unrated assets to maintain a minimum CQS of 3, provided they are classified under Articles 164a and 164b. Our inquiry pertains specifically to unrated assets that meet the criteria outlined in Article 164a, Article 164b, Article 180, paragraphs 12(a) and 12(b), as well as Article 180, paragraphs 15(a) and 15(b). According to EIOPA Q&A 650, the CQS should accurately reflect the calibration used in the Solvency II Standard Formula (SF SCR) calculation. Given that regulatory requirements allow for beneficial treatment, Option 1 suggests that a CQS of 3 should be reported as this is the CQS feeds into SF SCR calculation. However, there is an opposing viewpoint that, since the asset is unrated, the capital beneficial treatment based on CQS 3 should be inferred rather than explicitly reported, leading to a Option 2 to report a CQS of 9, despite the SF SCR is calculated based on CQS 3. What is the regulator's expectation when a standard formula insurance firm submits CQS information for the unrated asset in question? Should the CQS be reported as CQS = 3 (Option 1) or CQS = 9 (Option 2)?

Can you clarify Q&A 975, that the appropriate valuation method for CIC 72 or current accounts is “QMP” valuation method unless specific situations apply in relation to the exchange rate used? Per Q&A 1803 "1 - quoted market price in active markets for the same assets" and "3 — alternative valuation methods" are usually the valuation methods used for CIC7# assets. Can you confirm that where "deposits [are] exchangeable for currency on demand at par...without penalty or restriction" (per the ITS definition of CIC72) "1 - quoted market price in active markets for the same assets" is the appropriate valuation method without regard to the fact that the deposit itself (i.e. the asset) is not an asset quoted on an active market?

With regard to the 2023/894 ITS and the amended definition of insurance and intermediaries’ receivables (S.02.01.C0010/R0360) no longer stating "past due", can you clarify that premium receivables should still be included within the technical provisions, or now included on the balance sheet and included in the Counterparty Default Risk sub-module?

This question is referred to the answer to Q&A 2299 (how to assign cic code for ETC (Exchange Traded Commodity) instruments. EIOPA expected that ETCs need to be reported with CIC Category 5 "Structured notes" and the sub-category that fits the risk exposure (like "commodity risk - 56") or "other". But this approach doesn't match with Annex V (Definitions of the CIC Table) Could you please explain criteria to define and ETC like a Structured bond. If I have to report an ETCs (i.e. investing in commodities like gold) and in the fund's prospectus is reported that the securities are “transferable securities” for the purpose of the UCITS Directive why it cannot be defined as cic code 49 or 46?

The guidance for form 30.03 states that the value for C0210 - Limit should be stated as if the contract were to be placed 100%. However for a contract part placed over multiple contracts but with a combined total 100%, This would mean that the total limit would be overstated for each contract. This also causes an issue for requirement C0230 - Maximum cover per risk or event. The guidance states this is equal to the Limit minus Priority. For part placed contracts, if these are stated as if it were to be placed 100% then this will also be overstated.

How is capital requirement for type 1 equities calculated for a long/short equity fund which strategy (written in its documentation) consists in investing long in a portfolio of stocks selected stocks from a given index, and a constant and systematic short future contract position on this index? For instance, with a 90% long position in a basket of 100 stocks selected from the S&P500 index and a 50% short position in the S&P500 future contracts, is the following market SCR formulation correct? SCR long/short fund = 39%*(90-50) This SCR computation relies on the joint hypothesis that (1) future contracts on stock indices meet the requirements set out in Articles 208 to 215 of Commission Delegated Regulation 2015/35, and (2) the market risk of the index is representative of the market risk of the stock portfolio composed of selected stocks from this index.

Please could you give me any links or guidance on SCR models for non life reinsurance under IFRS 17

In order to assess the effect of the Solvency II review, we are currently attempting to determine the volatility adjustment in accordance with the current draft of the Delegated Regulation. Could you please send us the risk-adjusted spread (RCS) as of December 31, 2024, in accordance with the draft?