EIOPA · 2562
Solvency Capital Requirement (SCR)
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- 192(2) and 197(7)
- Topic
- Solvency Capital Requirement (SCR)
- Submitted
- 2023-01-25
- Answered
- 2023-06-01
Question
What is the correct value for the economic factor F’ for the calculation of LGD for reinsurances in Article 192(2) of Delegated Regulation (EU) 2015/35 after the amendment 2019/981.
• Before the factor F’ was defined in Article 197(7) as 100% respectively 90%.
• But in amendment 2019/981 F’ was defined as 100% respectively 18% in Article 197(7).
Background
I am asking this because there is no logical explanation for a reduction. I would expect no change for LGD calculation for reinsurances and that the factor F’ stays 90% (100%) in this case.
Answer
This question has been rejected because the issue it deals with is already addressed in Article 197(7) of Commission Delegated Regulation (EU) 2015/35:
“7. Where, in case of insolvency of the counterparty, the determination of the insurance or reinsurance undertaking's proportional share of the counterparty's insolvency estate in excess of the collateral does not take into account that the undertaking receives the collateral, the factors F, F', F'' and F''' referred to in Article 192(2) to (3c) shall all be 100 %. In all other cases these factors shall be 50 %, 18 % 16 % and 90 % respectively.”
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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