EIOPA · 2466
Reinsurance
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- Article 42
- Topic
- Reinsurance
- Submitted
- 2022-07-26
- Answered
- 2022-11-17
Question
In calculation of counterparty default adjustment (CDA) one should take into account collateral holding according to Article 42(2) of COMMISSION DELEGATED REGULATION (EU) 2015/35. Does this include both: on balance sheet collaterals like deposits for reinsurance and off balance sheet collaterals like collaterals held by custodian or other third party?
Background
CDA calculation in reinsurance recoverable for Technical Provision
Answer
The calculation of the counterparty default adjustment described in Article 42 of the Commission Delegated Regulation 2015/35 may take into account any collateral as defined in Article 1(26).
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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