EIOPA · 1991

Solvency Capital Requirement (SCR)

Name: Solvency Capital Requirement (SCR): EIOPA Q&A — EU Financial Regulatory Q&A
Creator: European Insurance and Occupational Pensions Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: NA
Topic: Solvency Capital Requirement (SCR)
Submitted: 2019-07-22
Answered: 2021-06-18

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Question

It is still not completely clear to us what shocks to apply to a bank deposit in USD with maturity date of 3 months and would like some clarifications please. What we currently do is that we shock it under the market risk module, i.e. spread, concentration, currency and interest rate risks. Is this approach appropriate or should the bank deposit be shocked under the Counterparty Default Risk Type I instead?

Answer

The described treatment is correct. Please see also answer to Q&A2263.

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