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The Article 192, paragraph 3, indicates the LGD formula to be applied per derivative. Let's assume that the undertaking has three contracts (=positions) with the same counterparty. Two positions share the same derivative (= same issue or same security or same ISIN code) and the third one on...

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...

I have a simple and quick question. It is more a "language issue".Par 4, Article 182 suggest calculating weighted average CQS as a "rounded-up average". I was wondering what does "rounded-up" means. I will show my understanding on example:roundup of 3.2 = 4roundup of 3.7 = 4roundup of 3 = 3roundup...

§134(4) states that for recession risk the basis for calculation is "the premiums earned by the insurance or reinsurance undertaking....".Usually, it is clearly indicated whether premiums are gross premiums (before deduction of ceded premiums) or net premums (after such deduction).Could you please...

Subsection 2, Look-through approach, Article 84 (3)In relation to the above topic, can you please explain clearly the meaning of 'on the basis of the target underlying asset allocation of the collective investment.......and that they do not apply to more than 20% of the total value of the assets...

Do bonds from EU member states have to be included in the "Assets" calculation base for market risk concentration despite them carrying a concentration risk of 0?

How should a receivable from the tax authority of an EU member state be treated in the Counterparty default risk module?

How is capital requirement for type 1 equities calculated for long-short equity portfolios where short positions are not taken for the purpose of risk mitigation?For instance, for a portfolio comrised of a EUR 100 long position in Stock A and EUR 100 position in Stock B, is capital charge (for a 0...

With regards to the operational solution for the Danish market of covered bonds based on the Nykredit Realkreditindeks.Could you please confirm the duration you are applying in the VA calculation. The aforementioned document specifies that the maturity used for YdkkRFR shall correspond to the...