EIOPA · 100
100
- Regulation
- Guidelines on submission of information to NCAs (Preparatory phase)
- Article
- 35
- Submitted
- 2014-08-12
- Answered
- 2019-10-29
Question
Based on EIOPA’s Q&A log issued in July 2012 (along with Final Report on November 2011 consultation), Prudential assume that when calculating maximum loss under an unwinding event, value of available collaterals should be considered (i.e. maximum loss under an unwinding event should be reduced to the extent of collateral available to cover that credit derivative). Where a credit derivative is 100% collateralised, we assumed maximum loss under an unwinding event is zero. Can you confirm this is correct?
Answer
EIOPA confirms the interpretation. Where a credit derivative is 100% collateralised, the maximum loss under an unwinding event is zero.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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