Question ID: 1573
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 189
Status: Final
Date of submission: 18 Jun 2018
Question
Could you please confirm if the market and counterparty risk are mutually exclusive? For example a cash account in GBP for a company reporting in euros , should be considered in the counterparty risk module as a type I exposure for its countervalue in euros and additionally in the currency risk module?
EIOPA answer
Yes, the counterparty default risk and the spread risk sub-module are mutually exclusive. With respect to the example of a cash account in GBP:
◦A cash account in GBP that falls under Article 189(2)(b) of Commission Delegated Regulation (EU) 2015/35 should be included in the calculation of the capital requirement for counterparty default risk on type 1 exposures.
◦Given that interest rate risk of a cash account is negligible it should not be included in the calculation of the capital requirements for interest rate risk.
◦If the local currency as defined in Article 188(1) is not the GBP, then it should be included in the calculation of the capital requirement for currency risk.