EIOPA · 2135
Risk concentration
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- 182
- Topic
- Risk concentration
- Submitted
- 2020-04-20
- Answered
- 2021-06-18
Question
Which is the g factor related to CQS 3.82? if the intention of the regulator was to apply g factor 73%, I cannot see the need to add this article to the regulation, unrated exposure have g factor = 73%. Moreover, why CQS 3.82 and not 4?
Answer
If the weighted average credit quality step on a single name exposure before rounding was 3.82 it would be 4 after rounding (see Article 182 (4) of the Commission Delegated Regulation (EU) 2015/35). The resulting risk factor g would be 73 %.
The current provisions cover also the case that a single name exposure comprises both rated and non-rated exposures. The rationale behind the 2018 EIOPA suggestions for changes to the market risk concentration risk sub-module can be found in section 8 of the following document.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
Similar Q&As
Risk concentration
Answered 2023-05-05
Risk concentration
Answered 2022-06-29
Solvency Capital Requirement (SCR)
Answered 2021-06-11
Risk concentration
Answered 2021-01-18
Interaction between Articles 473a and 127 of the CRR (risk weight factor for exposures in default under the standardised approach)
Answered 2019-07-19
More Q&As on this topic
📋 Track EU financial regulation continuously
Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.
14-day free trial. No credit card required.