EIOPA · 2300

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: Other
Article: EIOPA-BoS-20/749
Topic: Solvency Capital Requirement (SCR)
Submitted: 2021-05-27
Answered: 2021-06-28

More Q&As on this regulation →

Question

In EIOPA-BoS-20/749 "OPINION ON THE 2020 REVIEW OF SOLVENCY II", it is proposed that the Loss Given Default on defaulted mortgage loans is floored at (36% * Loan), where Loan denotes the value of the loan. If a mortgage loan is undergoing foreclosure, it is likely to be marked down to a price in line with the expected recovery value of the secured property. In that case, by definition there should be no further loss incurred upon foreclosure. In that case, how could a further 36% LGD be incurred on the value of the loan?

Background

Question on treatment of defaulted and forborne loans from 5.23 of OPINION ON THE 2020 REVIEW OF SOLVENCY II - EIOPA-BoS-20/749, 17 December 2020 https://www.eiopa.europa.eu/sites/default/files/solvency_ii/eiopa-bos-2…

Answer

This question does not relate to the current legal framework.

View original on European Insurance and Occupational Pensions Authority ↗

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.