Solvency Capital Requirement (SCR)

Question

Could you please clarify the meaning of "Exposures that are fully, unconditionally and irrevocably guaranteed by one of the counterparties mentioned in points (a) to (d), where the guarantee meets the requirements set out in Article 215, shall also be assigned a risk factor gi for market risk concentration of 0 %."

Does it mean that if bond has been issued by for example German development Bank in PLN having German Government guarantee. Will the risk factor gi will be 0% as there is unconditional and irrevable guarantee from German Government (which is a counterparty mentioned in points (a) to (d)) or the bond has to be issued in EUR (German currency) to fully meet requirement from the point (b)?

European Insurance and Occupational Pensions Authority · Accepted Answer

This question has been rejected because the issue it deals with is already addressed in Article 187(3)(b) of Delegated Regulation (EU) 2015/35 and Q&A 2409.
The exception mentioned in article 187(3)(b) of the Delegated Regulation (EU) 2015/35 applies only for exposures to Member States’ central government and central banks denominated and funded in the domestic currency of that central government and central bank. It is the same approach for exposures that are fully, unconditionally and irrevocably guaranteed by a counterparty mentioned in point b of the article 187(3) DR, it applies only for exposures to Member States' central government and central banks denominated and funded in the domestic currency of that central government and central bank.

Solvency Capital Requirement (SCR)

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