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European Insurance and Occupational Pensions Authority

1294

Q&A

Question ID: 1294

Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)

Article: 180

Status: Final

Date of submission: 12 Mar 2018

Question

I work at Barclays and I am covering some insurers on the fixed income markets. I was wondering what would be the SCR Ratio for the agency issuer “European Atomic Energy Community” (EURAT) rated Aaa/AA/AAA?
More generally speaking is there an exhaustive live of Solvency capital ratio for  all SSA bonds for a french or Belgian insurer ?

EIOPA answer

First part

Provided the conditions set out in the second part of Article 180(2) of the Delegated Regulation were met, an EURAT bond would be assigned a risk factor stressi of 0 % for the spread risk sub-module and a risk factor gi for market risk concentration of 0 % for the market risk concentrations sub-module. Otherwise the relevant provisions for bonds set out in Articles 176, 185 and 186 of the Delegated Regulation apply.

Depending on the currency, in which the bond is denominated, it might also have to be included in the calculation of the capital requirement for currency risk.  

Second part

There is no such list of capital charges for Sovereigns, Supranationals and Agencies bonds. Potentially relevant provisions can be found in the Articles 176, 180(2), 180(3), 185, 186 (1), 186(6), 187(3) and 187(4) of the Delegated Regulation.