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European Insurance and Occupational Pensions Authority

1424

Q&A

Question ID: 1424

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

Topic: Solvency Capital Requirement (SCR)

Article: 197

Status: Final

Date of submission: 05 Oct 2017

Question

Does section 3.102. of the December 2009 document still hold? More specifically, in the determination of the adjustment for market risk, should the interest rate risk and the concentration risk on the collateral be neglected?

Background of the question

Delegated Acts, Article 197(5)(b)
CEIOPS’ Advice for Level 2 Implementing Measures on Solvency II: SCR standard formula - Counterparty default risk module (December 2009)

EIOPA answer

No. According to Article 197(5) of Commission Delegated Regulation (EU) 2015/35 the hypothetical capital requirement for market risk has to be calculated. This includes as set out in Article 164(1)(e) and (f) the sub-modules for currency risk and market risk concentrations.