Delegated Regulation (EU) 2015/35 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II):Article 61 Simplified calculation of the counterparty default adjustment

Delegated Regulation (EU) 2015/35 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II)

Article 61 Simplified calculation of the counterparty default adjustment

Geldend

Deze functie is alleen te gebruiken als je bent ingelogd.Deze functie is alleen te gebruiken als je bent ingelogd.Deze functie is alleen te gebruiken als je bent ingelogd.Deze functie is alleen te gebruiken als je bent ingelogd.Deze functie is alleen te gebruiken als je bent ingelogd.

Without prejudice to Article 56 of this Regulation, insurance and reinsurance undertakings may calculate the adjustment for expected losses due to default of the counterparty, referred to in Article 81 of Directive 2009/138/EC, for a specific counterparty and homogeneous risk group to be equal as follows:

AdjCD = − max(0,5 · PD/1 − PD · Durmod · BErec;0)

where:

(a)

PD denotes the probability of default of that counterparty during the following 12 months;

(b)

Durmod denotes the modified duration of the amounts recoverable from reinsurance contracts with that counterparty in relation to that homogeneous risk group;

(c)

BErec denotes the amounts recoverable from reinsurance contracts with that counterparty in relation to that homogeneous risk group.

Deze functie is alleen te gebruiken als je bent ingelogd.