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What type of rolling 3-month type 1 equity put option strategies can receive full risk mitigation (assuming all the criteria in article 209(3) are met)?

Certain investment funds publish official Net Asset Values (NAVs) several weeks after the respective quarter-end date. Due to following processes (NAVs are input for valuation of technical provisions under IFRS17 and Solvency II), we are not able to use such updated prices in a way that ensures full consistency with the IFRS/local GAAP and Solvency II valuation of technical provisions. Could you please confirm that a) in the absence of timely availability of final quarter-end valuations (e.g. for illiquid or infrequently priced investment funds) b) provided that the difference is immaterial for the respective insurance undertaking and c) the approach is consistent with IFRS 13 and documented in the valuation policy the use of previous month-end valuations (NAVs) is compliant and doesn't represent any reporting mistake in S.06.02?

QRT S.06.04 - KPI transition risk R0010: we would like to know if we have to include in the total of investments (ratio denominator) also the loans on policies and loans to individuals (rows R0240 and R0250 of the S.02.01). Our doubt is due to the fact that those positions don't have a NACE code in the LoA (S.06.02 QRT),because it's not applicable as mentioned in the log EIOPA for column C0230. Therefore they are not included in the ratio numerator (only positions with NACE codes A-N are included).

An insurance undertaking has a single policyholder in a third country. The undertaking has no other insured risks in this country. The contract in question thus represents an isolated, single risk in this geographical area. The calculation of catastrophe risk according to the standard formula, as set out in reporting template S.27.01, appears disproportionate and not risk-adequate for a single risk. Question: 1. Is there an obligation to calculate a catastrophe risk position according to S.27.01 for an immaterial singular risk in a new geographical market? 2. If a calculation is not mandatory: Based on what criteria or quantitative thresholds should an undertaking decide when to apply the catastrophe risk module for a specific country?

As per Guidelines on look-through approach by EIOPA, https://www.eiopa.europa.eu/document/download/7082c224-1092-4ed4-ba53-7…. It describes that Undertakings should apply the look-through approach to money market funds. When look through is not available, we follow the regulation to regard them as equity and provide Equity shock. However, MMFs usually only holds short term duration and high-quality deposit, CP, CD and corporate bonds. The risk driven from interest rate and credit spread are almost less then 5%. By the MMF nature, it is too punitive when Lookthrough approach to real underlying/target underlying/last reported underlying is operationally impossible. We are asked by clients to advise is there any thing could be done in the middles to: 1. Still capture the appropriate risk from MMF 2. not too unrealistic conservative 3. Avoid regulatory arbitrage that insurers prefer to always use this middle-compromised approach to bypass lookthrough approach

We would like to clarify the treatment of proportional reinsurance in Motor liability Man-made catastrophic risk submodule. When calculating inputs N(a)/N(b) according to Article 129 of DELEGATED REGULATION (EU) 2015/35 "The number of motor vehicles covered by the proportional reinsurance obligations of the insurance or reinsurance undertaking shall be weighted by the relative share of the undertaking's obligations in respect of the sum insured of the motor vehicles." It is not clear to us how this rule should be applied in cases, where proportional reinsurance covers all MTPL business but only to a specified limit per loss. For example: there is QS 50% up to loss of 1mil EUR, and unlimited XL cover above 1mil EUR. N(a) = 80000, N(b) = 0. In that case instantaneous loss L(motor) gross of reinsurance is approximately 14,1mil EUR (calculated by the prescribed formula). To calculate L(motor) net of reinsurance, we see two options: Option 1: Adjust N(a) by 50% proportional reinsurance from 80000 to 40000, in which case L(motor)=10mil, and then apply XL reinsurance, so the final loss is 1mil EUR. However this is not the real impact of 14,1mil nor 10mil loss on insurance company, because QS reinsurance will cover half of retention. But to lower the net loss to half we consider this as double-counting of effect of QS. Option 2: do not adjust N(a) for proportional reinsurance and apply both QS and XL reinsurance on loss of 14,1mil, which would result in 0,5mil net loss. This is the real impact of such loss on own funds, however, it might not be in line with regulation. Could you please clarify expected treatment of limited proportional reinsurance?

Reinsurance company XYZ assumes treaties where each of them has a different settlement currency such as EUR, CHF, PLN etc. All these treaties are entirely retroceded by a single retro contract which settles all retro recoverables in EUR. At the same time this contract comprises an FX clause that converts to EUR all settlement currencies of the underlying treaties other than EUR by using the FX rate at the settlement date. As a result of this clause, XYZ can effectively mitigate their FX risk when the recovered losses are settled in a currency different to EUR. Having said that, should XYZ discount their projection of retrocession recoverable cash flows in EUR or all respective settlement currencies of the underlying treaties? In addition, should XYZ report such expected retrocession recoverable cash flows in EUR currency (retrocession contract settlement currency) or in respective currencies of the underlying reinsurance treaties?

On the Annual RFR Technical Documentation for 2025, it's noted in table 5 of section 6.3 that the 13y GBP swap rate should be used within the construction of the RFR term structure. We do not see that Refinitiv has a GBPOIS13Y= rate available. Can you please confirm how this was derived in the DLT a…

A freight forwarder is organising shipments of goods, from one place to another, on behalf of its customers. Therefore, the company arranges for packaging, stuffing/destuffing the goods in/from a container, road/air/marine transportation, customs procedures, et cetera and strives to successfully...