Solvency Capital Requirement (SCR)

The answer is based on the following assumptions: 1. The alternative investment fund (AIF) holds a number of investments and has taken out debt at the level of the fund. There are no other assets or liabilities.   2. There is sufficient information available to apply the relevant sub-modules of the market risk module to the investments in the AIF and to the debt at the level of the fund. 3. No further look-through is necessary for the investments in the AIF and they belong to the type 2 equities.  It has to be emphasised that there is no capital requirement for the AIF. Instead the AIF is included in the calculation of the capital requirement for a number of sub-modules of the market risk module. According to Article 84(1) a look-through has to be applied to the AIF. The investments have to be included in the calculation of the capital requirement for type 2 equities, market risk concentration and potentially currency risk. The debt has to be included in the calculation of the capital requirement for interest rate risk and potentially the currency risk.