Solvency Capital Requirement (SCR)

Question

The question relates to subordinated debt issued by a Turkish insurance company and being purchased by a Greek insurance company. The two entities belong in the same Group of companies (i.e. they have the same insurance parent company). How would the purchase of such a debt be recognized by the Greek insurance company? My understanding (please confirm) is that the Greek company would treat this as an investment CIC=28 Subordinated bond (issued by another financial institution) and this will require capital to be held for interest rate risk, concentration risk, spread risk, currency risk.

European Insurance and Occupational Pensions Authority · Accepted Answer

This question has been rejected because it does not identify an issue of practical implementation.

This Q&A only relates to the treatment of the debt by the Greek insurance undertaking on a solo basis. The correct treatment in the solo basis is as noted by the question – the debt should be included in the calculation of all the market risk submodules that are relevant (e.g. only if currency risk actually exists) and treated as an investment CIC = 28 Subordinated bond) in the reporting.

Solvency Capital Requirement (SCR)

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