Skip to main content
European Insurance and Occupational Pensions Authority

2205

Q&A

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).