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TP(life,4) denotes the technical provisions without a risk margin for all other life insurance and reinsurance obligations, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, with a floor equal to zero;Imagine following situation:Net BEL + net TP as...

We have a doubt related to the treatment of covered bonds in the concentration risk module. (art.187 Delegated Acts 2015/35). The article fixes a threshold of 15% to these exposures provided that they have a credit quality step 0 or 1. In this case the covered bonds should be considered as a...

For Concentration risk ScR,when i calculate the amount of each counterparty, Do I have to consider 'Market Value (of assets) + Accrued Interest' or just 'market Value' (without Accrued Interest)?So basically, do I have to stress 'accrued interest' under concentration risk?What about interest rate...

My doubt is about art. 165, par. 2, of the Delegated Regulation 2015/35: if my understanding is correct, according to this provision, when the SCR and the nSCR for interest rate risk are not based on the same scenario, the first one shall be calculated based on the scenario that is relevant for...

Additional guideline requested for the appication of the Look Through approach- First If you are an insurance company and owns e.g. 10% in another insurance company, should you then apply the look-through approach ?- Secondly if in the same situation the 10% share that you own concerns a listed...

Article 188 of the delegated acts require an entity to calculate currency risk by applying 25% up or down shock to the foreign currency that would result in loss in basic own funds.The market risk module shall reflect the risk arising from the level or volatility of market prices of financial...

We are an Alternative Investment Fund Managers managing a closed-end reserved alternative investment fund (the Fund) which invests exclusively in plants for the production of electricity with photovoltaic technology. The Fund invests only in plants which are already in operation and connected to...

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...