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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 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...

I work at Barclays and I am covering some insurers on the fixed income markets. I was wondering what would be the SCR Ratio for the agency issuer “European Atomic Energy Community” (EURAT) rated Aaa/AA/AAA?More generally speaking is there an exhaustive live of Solvency capital ratio for all SSA...

According to article 182 et seq of the Delegated Acts, a Company "C" which owns (and / or lends money to) subsidiaries which are not consolidated in accordance with Article 335(1)(a) seems to be required to:i) Sum the fair value of all its exposures (equity, debt etc.) to non consolidated...

According to article 186 of the Delegated Acts,i) if Company "C" is exposed to the Insurance Group "G_I", the Group’s SOLVENCY RATIO of "G_I" is one of the inputs to be considered by “C” in order to determinate the Capital Charge for the concentration risk with reference to the exposure of "C" in...

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...

We are referring to the formula V_prem,s=max(P_s; P_last,s)+FP_existing,s+FP_future,s and would like to clarify the recognition of an additional reinsurance treaty for the next 12 months:Example: P_last,s = 100 P_s = 110 Result of max(P_s; P_last,s) = 110New Quota 50 % for the next 12 month...

When calculating the SCR, for bond funds that are leveraged, are there any additional penalties for the SCR or does a 2 to 1 leverage simply mean there is twice the SCR?

We run a timber fund, investing in forests (not leveraged). Our investors want to know whether timber can be treated the same way as real estate with a capital charge of 25%.Would this also apply to agricultural land?