Question ID: 171
Regulation Reference: Guidelines on submission of information to NCAs (Preparatory phase)
Article: 35
Status: Final
Date of submission: 14 Jul 2015
Question
Difference between Annotated Template and spécifications (31 april 2014) concerning Man-Made cat risk CREDIT formula :
QIS page 281 SCR 9.114 : SCR_CREDIT=root of(SCR_DEFAUT^2+SCR_RECESSION^2)
S2701 HA5 : SCR_CREDIT=SCR_DEFAUT+SCR_RECESSION.
Which formula is relevant ?
EIOPA answer
Please note that the Commission’s Delegated Act containing implementing rules for Solvency II have been published (Commission Delegated Regulation 35/2015) and therefore this should be the relevant source to use.
In this case article 134 which specifies that the capital requirement for credit and suretyship risk shall be equal to the following: SCRcredit = root of(SCR_default^2+SCR_recession^2)
where SCRdefault is the capital requirement for the risk of a large credit default and SCRrecession is the capital requirement for recession risk.