Question ID: 2466
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Reinsurance
Article: Article 42(2)
Template: S.02.01
Status: Final
Date of submission: 26 Jul 2022
Question
In calculation of counterparty default adjustment (CDA) one should take into account collateral holding according to Article 42(2) of COMMISSION DELEGATED REGULATION (EU) 2015/35. Does this include both: on balance sheet collaterals like deposits for reinsurance and off balance sheet collaterals like collaterals held by custodian or other third party?
Background of the question
CDA calculation in reinsurance recoverable for Technical Provision
EIOPA answer
The calculation of the counterparty default adjustment described in Article 42 of the Commission Delegated Regulation 2015/35 may take into account any collateral as defined in Article 1(26).