Q&A

Could EIOPA kindly confirm the basis on which the top 10 Type 1 Counterparties is to be determined, for the purposes of completing S(R).26.02 rows R0110 through R0200.

We had thought (as the template and instructions refer to single name exposure) that the exposure was the basis (ie LGD multipled by PoD) and as such all Type 1 single name exposures should be ordered by LGD*PoD and the ten largest should be reported in S(R).26.02 (with any single name exposures with PoD=0 excluded from the above list).

However, Q&A item 1214 contradicts (at least partially) our understanding as it instructs that single name exposures with PoD=0 should be included in S(R).26.02.

We can see two possible basis for determining the top 10 that would be consistent with Q&A 1214:
- order all single name exposures by LGD and take 10 largest
- order all single name exposures by LGD*PoD first, LGD second and take ten largest (and single name exposures with PoD could potentially be included if there were less than 10 single name exposures where PoD <> 0, and of these those with the largest LGD would be taken)

We would be very grateful if EIOPA could confirm if either of these approaches (or indeed some other approach we have not considered) should be utilised.