EIOPA · 2205

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: 180
Topic: Solvency Capital Requirement (SCR)
Submitted: 2020-10-02
Answered: 2021-06-11

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Question

GNMA MBS are unconditionally guaranteed by the United States government. However, Article 180 does not recognize guarantees by non-member central governments. Should GNMA MBS be assigned a risk factor stress of 0% under Article 180(2)?

Background

I had a BaFin regulator disagree with this interpretation.

Answer

Dear Sir/Madam, This question has been rejected because the issue the question deals with is already explained or addressed in article 180 of the Solvency 2 Delegated regulation (a 0% risk charge cannot be granted).

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