1.Where Article 88 is complied with, insurance or reinsurance undertakings may calculate the capital requirement for spread risk referred to in Article 176 of this Regulation as follows:
\mathrm{SCR}_{\mathrm{bonds}} = \mathrm{MV}^{\mathrm{bonds}} \cdot \left( \sum_{\mathrm{i}} \%\mathrm{MV}_{\mathrm{i}}^{\mathrm{bonds}} \cdot \mathrm{stress}_{\mathrm{i}} + \%\mathrm{MV}_{\mathrm{norating}}^{\mathrm{bonds}} \cdot \min [\mathrm{dur}_{\mathrm{norating}} \cdot 0.03; 1] \right) + \Delta \mathrm{Liab}_{\mathrm{ul}}
where:
SCRbonds denotes the capital requirement for spread risk on bonds and loans;
MVbonds denotes the value in accordance with Article 75 of Directive 2009/138/EC of the assets subject to capital requirements for spread risk on bonds and loans;
%MVi bonds denotes the proportion of the portfolio of the assets subject to a capital requirement for spread risk on bonds and loans with credit quality step i, where a credit assessment by a nominated ECAI is available for those assets;
%MVbonds norating denotes the proportion of the portfolio of the assets subject to a capital requirement for spread risk on bonds and loans for which no credit assessment by a nominated ECAI is available;
duri and durnorating denote the modified duration denominated in years of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available;
stressi denotes a function of the credit quality step i and of the modified duration denominated in years of the assets subject to a capital requirement for spread risk on bonds and loans with credit quality step i, set out in paragraph 2;
\mathrm{MV}^{\mathrm{bonds}} \cdot \left( \sum_{i} \%\mathrm{MV}_{i}^{\mathrm{bonds}} \cdot \mathrm{stress}_{i} + \%\mathrm{MV}_{\mathrm{norating}}^{\mathrm{bonds}} \cdot \min [\mathrm{dur}_{\mathrm{norating}} \cdot 0.03; 1] \right)
ΔLiabul denotes the increase in the technical provisions less risk margin for policies where the policyholders bear the investment risk with embedded options and guarantees that would result from an instantaneous decrease in the value of the assets subject to the capital requirement for spread risk on bonds of:
2.stressi referred to in point (f) of paragraph 1, for each credit quality step i, shall be equal to:
\mathrm{dur}_i \cdot b_i
, where duri is the modified duration denominated in years of the assets subject to a capital requirement for spread risk on bonds and loans with credit quality step i, and bi is determined in accordance with the following table:
Credit quality step i | 0 | 1 | 2 | 3 | 4 | 5 | 6 |
bi | 0,9 % | 1,1 % | 1,4 % | 2,5 % | 4,5 % | 7,5 % | 7,5 % |
3.durnoratingreferred to in point (e) of paragraph 1 anddurireferred to in paragraph 2 shall not be lower than 1 year.