EIOPA · 2409
Risk concentration
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- 187
- Topic
- Risk concentration
- Submitted
- 2022-03-22
- Answered
- 2022-06-29
Question
Based on last paragraph of 187 (3), "Exposures that are fully, unconditionally and irrevocably guaranteed by one of the counterparties mentioned in points (a) to (d), where the guarantee meets the requirements set out in Article 215, shall also be assigned a risk factor g_i for market risk concentration of 0 %. ", should a sovereign bond issued by Republic of Poland denominated in EUR (or USD for example) have the risk factor g_i as simply 0?
Answer
An sovereign bond issued by the Republic of Poland denominated in EUR (or USD for example) cannot have the value g_i = 0 as according to Article 187 paragraph 3.b of the Delegated Regulation this exemption applies only for exposures to Member States' central government and central banks denominated and funded in the domestic currency of that central government and central bank.
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.
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