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I would like to kindly ask you for a confirmation of my understanding of Article 4, paragraph 4, letter (f).I will show it on a short example:- company nominated three ECAIs to be used for the calculation of the SCR according to the standard formula- let's consider a situation when we need to...

In calculating the capital requirement for spread risk (SCRcd) for a Credit Linked Note, which is the correct approach please?1) sum of (i) SCRbond for the issuer of the Credit Linked Note and (ii) SCRcd for the embedded Credit Default Swap2) the higher of (i) SCRbond for the issuer of the Credit...

We have seen that the English version and the German version are not the same (the German version misses a "not" which changes the meaning of Article 211 (2) lit. c fundamentally).Which version counts and where (is the German one binding in Germany and the English one in UK)?

I have a question on calculation of PD on the level of group of (dependent) counterparties (commonly refered to as "single name exposure").Does paragraph 1 means that I need to assign each exposure a PD (based on the CQS of that exposures) and then agregate it (using weighted averge) to the level...

I have heard that derivatives should appear in the counterparty risk module instead of market risk concentration module. However, Article 189 of the regulation would seem to indicate that this applies to derivatives that are "risk-mitigation contracts" but not credit derivatives.My query is on...

1. Article 4 para 5 refers to larger or more complex exposures of insurance undertaking"2. The provision of Article 4 para 6 delivers for the purpose of para 5 precising what kind of securitisation positions are "larger or more complex exposures of an undertaking". namely: "type 2 securitisation...

I have two question about the SCR formula on market risk :Interest Rate Risk : In the formula I do not see a convexity factor. Can you explain me why you do not take account of this factor whcih is important ? Or Maybe there is an errata about this point?

Does section 3.102. of the December 2009 document still hold? More specifically, in the determination of the adjustment for market risk, should the interest rate risk and the concentration risk on the collateral be neglected?

Could you please explain how to calculate correctly the spread SCR for a not rated bond with duration = 1? If we understand the regulation correctly, it would mean that not rated credit institutions and insurance companies are assumed to be more risky thank corporates? (Despite the far tougher...