EIOPA · 1656
1656
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- 214
- Submitted
- 2018-08-31
- Answered
- 2019-09-10
Question
Some assets do not seem to fall within any of the categories in the market risk module. For example:(a) commodities(b) aircraft and other vehicles(c) paintingsI appreciate that it may be difficult to justify these investments under the prudent person principle, but assuming they are held, how should the standard formula be applied to calculate the resulting capital charge ?
Answer
The following covers exclusively the question how the listed collateral should be treated in the calculation of the Solvency Capital Requirement with the standard formula and does not cover the question whether its use would be in line with requirements like the prudent person principle.In the context of the collateral listed in the question it seems worth mentioning that in order to be reflected in the calculation of the Solvency Capital Requirement under the standard formula, collateral arrangements have to meet the applicable requirements in Article 214 of Commission Delegated Regulation (EU) 2015/35. This includes the requirement that the collateral is of sufficient liquidity and is sufficiently stable in value.Commodities, aircrafts and other vehicles and paintings should be included in the calculation of the capital requirement for type 2 equities.
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.
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