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Guideline 37 Risk Profile
3.46. Within the information reported with regards to risk exposure,
undertakings should explain how they ensure that derivatives contribute to
the reduction of risks or facilitate efficient portfolio management.
Guideline 38 Risk Profile
3.47. Participating insurance and reinsurance undertakings or insurance holding
companies should provide qualitative and quantitative information on any
significant risk concentration at the level of the group, including:
a) Identification of the risk(s);
b) Probability of risks materialising into losses;
c) Mitigation actions;
d) Analysis and quantification of the risk concentrations along legal entity
lines;
e) Consistency with the group’s business model, risk appetite and
strategy, including compliance with the limits set by the internal control
systems and risk management processes of the group;
f) Whether losses arising from the risk concentrations affect not just the
overall profitability of the group but also its short-term liquidity;
g) Relationship, correlation and interaction between risk factors across the
group, and any potential spill over effects from risk concentrations in a
particular area;
h) Specific information about the group counterparty and the exposure
(nature/country of exposure, rating/rating agency, ID code and sector of
issuer);
i) Quantitative information about the risk concentration and the effect on
the undertaking and the group and the effect of reinsurance contracts; and
j) Whether the item concerned is on the asset side or liability side or if it is
an off-balance sheet item.
Title IV: Valuation for Solvency Purposes
Guideline 39 Assets
3.48. Where related undertakings have been valued with other methods than by
using quoted market prices in active markets or the adjusted equity
method, undertakings should explain why the use of these methods are
not possible or practical.
Guideline 40 Assets
3.49. When deferred tax assets are recognised, undertakings should explain how
they calculated future taxable profits and identified the amount and
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© EIOPA 2011