Question ID: 2348
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: 178(6 or 9)
Status: Final
Date of submission: 20 Oct 2021
Question
For unrated equity tranche of CLO, should I use the table in Art 178 Para 4 (Non-senior STS) instead of Para 3 (Senior STS) for SCR calculation? The SCR rates in Para 3, are lower than those in Para 4.
EIOPA answer
As the securitisation position is not senior and no credit assessment by a nominated ECAI is available Article 178 (3),(4),(5),(7) and (8) of the Commission Delegated Regulation (EU) 2015/35 are not applicable. Please check whether Paragraph 6 or Paragraph 9 applies.