Question ID: 1602
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 84
Status: Final
Date of submission: 23 Jul 2018
Question
I have a question which relates to on what grounds a credit exposure which is insured irrevocably and unconditionally can be regarded to constitute a counterparty exposure under the counterparty module towards the insurance company providing the insurance policy and not be regarded as spreadrisk to the underlying.
EIOPA answer
The question may be paraphrased as follows:
The insurer invests in a security with contractually defined interest (fixed or floating) and principal payments. These payments are fully and irrevocably guaranteed by a party different from the issuer of the security. The requirement set out in Article 84 of Commission Delegated Regulation (EU) 2015/35 is not applicable.
Does the guarantee result in the security to be covered in the counterparty default risk module instead of the spread risk sub-module?
Answer: No. The security has to be covered in the spread risk sub-module.