Question ID: 2205
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: 180(2)(a-d)
Template: S.01.01
Status: Rejected
Date of submission: 02 Oct 2020
Question
GNMA MBS are unconditionally guaranteed by the United States government. However, Article 180 does not recognize guarantees by non-member central governments. Should GNMA MBS be assigned a risk factor stress of 0% under Article 180(2)?
Background of the question
I had a BaFin regulator disagree with this interpretation.
EIOPA answer
Dear Sir/Madam, This question has been rejected because the issue the question deals with is already explained or addressed in article 180 of the Solvency 2 Delegated regulation (a 0% risk charge cannot be granted).