EIOPA · 2348

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: 178
Topic: Solvency Capital Requirement (SCR)
Submitted: 2021-10-20
Answered: 2022-01-06

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Question

For unrated equity tranche of CLO, should I use the table in Art 178 Para 4 (Non-senior STS) instead of Para 3 (Senior STS) for SCR calculation? The SCR rates in Para 3, are lower than those in Para 4.

Answer

As the securitisation position is not senior and no credit assessment by a nominated ECAI is available Article 178 (3),(4),(5),(7) and (8) of the Commission Delegated Regulation (EU) 2015/35 are not applicable. Please check whether Paragraph 6 or Paragraph 9 applies.

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