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RSSDo government-guaranteed bonds issued in a currency different than the domestic currency of the guarantor get assigned a credit stress risk factor of 0%?
Could you please confirm that OFS should completely be excluded from the calculation of group market risk and counterparty default risk, meaning that neither the participation in an OFS nor the assets of an OFS should be included when calculating these risks for the purpose of Art. 336 a Delegated...
We would ask you to answer the following questions:- can a supervisory report of the own risk and solvency assessment carried out pursuant to the Article 304(1)(c) of the Commission Delegated Regulation (EU) 2015/35 (hereinafter: ORSA Report), which an insurance company submits to the supervisory...
The explanations of Art. 330 regarding the fungibility of own funds instruments leave some questions open in our view. Are there any concrete examples of fungible instruments or a detailed catalog of criteria for possible types of instruments?
Let's assume that there is an undertaking which acquired in December 2014 and February 2015 securitisation positions issued in November 2014 and January 2015. In 2016 insurance undertaking still holds securitisation positions in its portfolio.Is undertaking oblige to meet requirements from...
"A stakeholder, who is a supplier of Cyber Security Services indicated that in negotiating the supply of such services for it, to an Insurer, the issue is whether Article 274 of the Commission Delegated Regulation 2015/35 applies. And, If Article 274 does apply to a Cyber Security Services supply...
Intercompany loans should be stressed within the market risk module.Where intercompany loans are repayable on demand, that is the loan does not have a defined term, is it still appropriate to stress within the market risk module? For example, where two companies (Company A and Company B)...
Should reserves relating to claims incurred (e.g. Incurred But Not Reported and Reported But Not Settled etc.) be included in the calculation of SCR stresses?(Mortality, Morbidity, Longevity risk)
The parameters specified in article 180 (14) of (EU) 2015/35 introduces jumps at at some of the kinks of the parameter funtion. For instance, a qulifying corporate infrastructure investment with CQS 2 and duration of 15 could have a stress factor of 9.78 when calculated as 7.88 + (15-10)*0.38 or a...
My question is about the "Exp UL" item within the Operational risk formula set in Art. 204 of the delegated regulation 2015/35.In managing our unit-linked business, we use to withdraw regular management fees from the units value and, at the same time, we release a certain percentage of theese...