PINS A3.4.1 When off-balance sheet asset risk component must be calculated

An insurer must calculate an off-balance sheet asset risk component, if the insurer is, as of the solvency reference date, a party to a derivative contract, including a forward, future, swap, option or other similar contract, but not:

(a) a put option serving as a guarantee;
(b) a foreign exchange contract which has an original maturity of 14 calendar days or less; or
(c) an instrument traded on a futures or options exchange which is subject to daily mark-to-market and margin payments.
Amended by QFCRA RM/2015-3 (as from 1st January 2016).