1418

Question

Should Article 184(2)(b) be interpreted as follows:
- The reference to Article 335(1)(a) in sub paragraph 2(b)(ii) should be interpreted as meaning “the counterparty is fully consolidated for the purposes of the calculation of group solvency in accordance with Article 335(1)(a);”; and
- The exclusion in Article 184(2)(b) is intended to apply when a solo entity, ie not the Solvency II holding company, calculates exposures to a counterparty in the same group, effectively recognising that an undertaking meeting the relevant definitions is a lower risk than one which does not.

European Insurance and Occupational Pensions Authority · Accepted Answer

Article 184 (2) of Delegated Regulation (EU) 2015/35 (the Delegated Regulation) refers to the assets that can be excluded from the calculation base of the charge for market risk sub-module  when calculating the solo SCR.
Specifically, Article 184 (2) (b) refers to insurance undertakings that are in the same insurance group for which a consolidated group SCR is calculated and where the insurance undertakings are fully consolidated per Article 335 (1) (a) of the Delegated Regulation when the consolidated data is determined. Intra-group exposures between these undertakings can be excluded in the solo SCR calculation when calculating the market risk concentration. For the calculation of the group SCR there would be no market risk concentration charge because all intra-group exposures would be eliminated. For example, if insurer B has a 100% share of insurer C and is in turn 100% owned by A, and both are included in the consolidated data for the calculation of the group SCR of A, then B and C would meet the criteria of Article 184 (2) (b) of the Delegated Regulation. They would therefore be able to exclude any exposures to each other or to A in the calculation of the market risk concentration when calculating their solo SCRs (provided the other 4 criteria of article 184 (2) (b) are met as well).

1418

Question

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