Question ID: 1002
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 189
Status: Final
Date of submission: 21 Jun 2018
Question
Would you be so kind and provide me with advice on the following:
Are REINSURANCE RECEIVABLES type 1 or type 2 exposures for the purposes of the calculation of capital requirement for counterparty default risk?
My understanding is that reinsurance receivables are Type 1 and LGD is calculated according to Art 192 paragraph 2 (same as reinsurance recoverables).
EIOPA answer
Reinsurance receivables related to risk-mitigation contracts such as reinsurance arrangements should be included in the calculation of the capital requirement for counterparty default risk on type 1 exposures.