EIOPA · 1519
1519
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- 182
- Submitted
- 2018-04-12
- Answered
- 2019-09-06
Question
For Concentration risk ScR,when i calculate the amount of each counterparty, Do I have to consider 'Market Value (of assets) + Accrued Interest' or just 'market Value' (without Accrued Interest)?So basically, do I have to stress 'accrued interest' under concentration risk?What about interest rate risk? For government Bond, I consider the 'market price' and calculate the shocked price under UP and Down scenarios. Finally, the stressed Market value is (stressed price/ base price)* market value + Accrued InterestShould I stress accrued interest under Interest rate risk?
Answer
The accrued interest is part of the valuation in accordance with Article 75 of the Solvency II Directive and has consequently to be included in the calculation of the capital requirement for market risk concentration and interest rate risk.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
Similar Q&As
📋 Track EU financial regulation continuously
Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.
14-day free trial. No credit card required.