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For an issuer there may exist a several types of credit assessments, most typically short-term issuer rating and long-term issuer rating.Which one should be used to derive credit quality step in accordance with COMMISSION IMPLEMENTING REGULATION (EU) 2016/1800? Is there any rule or reccomendation...

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...

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...

Question 1:How should we interpret article 166 and 167 in the DR and 1.14 in guideline 4? Is it enough to recalculate the value of the bond based on e.g. five different maturities, say 2Y, 5Y, 10Y, 20Y and 30Y, where the key rate sensitivities are divided into these buckets, or is it necessary to...

According to Article 142 of the delegated act 2015_35 the capital requirement for the lapse risk refers to all options in paragraphs 4 & 5. Could you please confirm that the option of annuity payments offered in life insurance policy at maturity instead of lump sum should be considered in the...

According to Article 142 of the delegated act 2015_35 the capital requirement for the lapse risk refer to all options in pragraphs 4 & 5. Could you please confirm that the option of annuity payments offered at maturity instead of lump sum should be considered in the options of paragraph 4 b for...

We refer to a scenario where a (re)insurance undertaking holds a Note which is fully and irrevocably guaranteed by a specific credit insurance policy issued by a credit insurer which has a rating published by a nominated ECAI, credit step 2. The credit insurance policy satisfies the requirements...

Article 127 contains the catastrophe risk charge calculations for non-proportional property reinsurance wherein geographical diversification ("DIV") has been set out in Annex III. However point (5) of Annex III states that the factor for geographical diversification shall be equal to 1 (i.e. DIV...

According to Delegated Acts Article 180 (2)(b) exposures to Member States’ central government funded in the domestic currency of that central government are assigend a risk factor stress_i of 0% for Spread Risk.What is the exact definition of ‘Member State’ in this context?- All countries that are...