Question ID: 2211
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Solvency Capital Requirement (SCR)
Article: 35 of SII Directive
Template: S.02.01
Status: Revised
Date of submission: 08 Oct 2020
Question
The company added IRS position and posted cash collateral to the clearing broker. Where do we need to show posted cash collateral in S.06 and S.02? Which module should be used for SCR calculation?
EIOPA answer
When cash is posted as collateral it is derecognised and a deposit is recognised, therefore only the deposit should appear in S.02.01 and S.06.02.
The deposit that is recognised after the cash is posted as collateral should appear in S.02.01 in “Any other assets, not elsewhere shown" (R0420). In S.06.02 the deposit should receive a CIC ##79 and it should be identified as pledged as collateral in C0100.
Regarding the Solvency Capital Requirement calculation, the treatment will depend on the risk characteristics of the exposure. The credit risk relating to this deposit should be assessed as to whether it belongs in the spread risk sub-module or the counterparty default risk module. In particular, it may be classified as a type 2 exposure in the counterparty default risk module, which covers the risk of all credit exposures which are not covered in the spread risk sub-module and which are not type 1 exposures. Please also refer to Q&A 2278 on deposits with credit institutions.