EIOPA · 2333

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: Articles 176(2) and 178(2) of the Delegated Regulation; Article 75 of SII Directive;
Topic: Solvency Capital Requirement (SCR)
Submitted: 2021-09-22
Answered: 2021-11-29

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Question

Question concerning the Spread Risk on securisation positions using article 178: How must dur_i have to be calculated regarding article 178 paragraph 2?

Background

Article 178 paragraph 2 says dur_i denotes the modified duration of securisations position i denominated in years. Unlike Article 176 paragraph 2 (concerning the spread risk for bonds and loans) it is not specified how to calculate dur_i for variable interest rate bonds/ securisations.

Answer

If the resulting shock corresponds to the loss in value determined in accordance with Article 75 of the Directive resulting from the spread shock, the approach set out in Article 176(2) of the Delegated Regulation can be used for securitisations.

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