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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...

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)?

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...

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?

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?

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...