Question ID: 1811
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 176, 5, 84, 178
Status: Final
Date of submission: 13 Jun 2019
Question
Can you provide guidance on the calculation of the spread SCR for a debt fund with following characteristics
- The fund has a credit assessment from a nominated ECAI of CQS = 2 (example)
- The fund invests in senior secured loans
Question 1:
Assuming the loans in the fund are UNRATED and do NOT satisfy the securitization classification, should the credit risk factor be calculated
1) based on the parameters for CQS = 2 in article 176, point 3. (“rated exposures”) (this would be in accordance with article 5 stating that a credit assessment shall be used) or
2) based on the parameters in article 176, point 4. (“unrated exposures”) (this would be in accordance with article 84 stating that look-through must be applied)
Question 2:
Assuming the loans in the fund DO satisfy the securitization classification, should the credit risk factor be calculated
1) based on the parameters for CQS = 2 in article 176, point 3. (“rated exposures”) or
2) based on the parameters in article 178, point 1., 2. or 3. depending on the specific type of the securitization.
EIOPA answer
Article 84(1) of the Commission Delegated Regulation (EU) 2015/35 indicates that “The Solvency Capital Requirement shall be calculated on the basis of each of the underlying assets of collective investment undertakings and other investments packaged as funds (look-through approach).”
This provision applies no matter what is the rating of the collective investment undertakings and other investments packaged as funds. In particular, the responses of the previous questions are the following : Question 1 – The parameters of article 176(4) should be used.
Question 2 - The parameters of article 178 should be used.