EIOPA · 3295
Solvency Capital Requirement (SCR)
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- 84
- Topic
- Solvency Capital Requirement (SCR)
- Submitted
- 2025-03-19
- Answered
- 2025-04-30
Question
Article 84 states that you should apply the look-through approach to "collective investment undertakings and other investments packaged as funds" and also to " indirect exposures to market risk other than collective investment undertakings and investments packaged as funds". Can i confirm the applicability of the look-through in the following scenarios: 1) insurer physically owns corporate bond ETF 2) insurer has indirect exposure to corporate bond ETF through the use of a total return swap (i.e. a derivative which pays the performance of the ETF to the insurer)
Background
I'm seeking to confirm if ETFs meet the definition of "other investments packaged as funds", and also, given article 84 paragraph 2a says "indirect exposures to market risk other than [...] investments packaged as funds", this seemed to suggest that synthetic exposure to ETFs would not be considered applicable for look-through
Answer
This question has been rejected because the issue it deals with is already explained or addressed in the Article 84 of the Commission Delegated Regulation 2015/35. Both in the situations described in paragraph 1 and in the situations described in paragraph 2 of Article 84 look through applies. Hence in both scenarios outlined in the question look-through is applicable pursuant to Article 84 of the Commission Delegated Regulation 2015/35. For further information please refer to the Guidelines on look-through approach (EIOPA-BoS-14/171).
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.
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