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In our ongoing interpretation of the calculation of SCR, we have a question regarding the interpretation of the calculation of derivatives used for risk-taking positions, e.g. investments in equity derivatives instead of a direct investment in the given equity.Our question concerns the calculation...

How accruals and deferrals are valued under SII rules?By "valued" I mean the decision whether they have no value (SIII value = 0) or they should have some value (SII value >0).I am aware of the fact that DAC = 0. But what about other items.By accruals I mean:1) Expense Accrual (e.g. accrual booked...

The Article 180(7) states:"Exposures in the form of bonds and loans to a third country insurance or reinsurance undertaking for which a credit assessment by a nominated ECAI is not available..."This is probably a more matter of language but I would like to ask for a clarification whether sentence...

Should reserves relating to claims incurred (e.g. Incurred But Not Reported and Reported But Not Settled etc.) be included in the calculation of the disability-morbidity SCR stress?i.e. can you confirm that the increase in inceptions "in the following 12 months" does not apply to inceptions that...

Should reserves relating to claims incurred (e.g. Incurred But Not Reported and Reported But Not Settled etc.) be included in the calculation of the mortality SCR stress?(a) where an explicit qx is used in the calculation?(b) where an implicit qx is used in the calculation?Does the "instantaneous"...

Where a look-through has been performed and bond assets have been identified for collective investment undertakings (as per Article 84 of the Delegated Acts) but some aspects of the underlying assets (e.g. duration or credit rating) are not available but these fall in a specific range for the...

Which line of business should insurance covering an offshore wind farm be assigned to?If the wind farm can be classfied as a vessel, then it would appear the Marine, aviation and transport insurance line of business is most appropriate. Is this interpretation correct?We note that oil and gas...

Can you provide guidance on the calculation of the spread SCR for a debt fund with following characteristics- The fund has a credit assessment from a nominated ECAI of CQS = 2 (example)- The fund invests in senior secured loansQuestion 1:Assuming the loans in the fund are UNRATED and do NOT...

The question is what reference date for exchange rate should be used for data in the SCR calculations (e.g. sum insured, value of the benefits payable by the insurance or reinsurance undertaking for the insured person, retention/priority/limits for reinsurance treaty, premiums etc.).