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European Insurance and Occupational Pensions Authority

Simplified calculation of the risk mitigating effect

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TITLE I > CHAPTER V > SECTION 1 > SUBSECTION 6

Article number:  111

Where Article 88 is complied with, insurance or reinsurance undertakings may calculate the risk-mitigating effect on underwriting and market risk of a reinsurance arrangement, securitisation or derivative referred to in Article 196 as the difference between the following capital requirements:

(a) the sum of the hypothetical capital requirement for the sub-modules of the underwriting and market risk modules of the insurance or reinsurance undertaking affected by the risk-mitigating technique, as if the reinsurance arrangement, securitisation or derivative did not exist;

(b) the sum of the capital requirements for the sub-modules of the underwriting and market risk modules of the insurance or reinsurance undertaking affected by the risk-mitigating technique.

Metadata

RULEBOOK TOPIC:  SUBSECTION 6 - Proportionality and simplifications

RULEBOOK CATEGORY:  DELEGATED REGULATION (EU) 2015/35

Last update on:  22 Mar 2024