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)
Article: 197
Status: Final
Date of submission: 12 Mar 2018
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?
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.