PINS A3.5.1 How to calculate off-balance sheet liability risk component

(1) An insurer must calculate its off-balance sheet liability risk component by applying, to the face value of any credit substitute it has issued (including letters of credit, guarantees and put options serving as guarantees) the asset risk component that would be applied to the obligation or asset over which the credit substitute has been written.
(2) Where the credit substitute is supported by collateral or a guarantee, the provisions of PINS Rule A3.2.2(1) and PINS A3.2.2(2) may be applied by the insurer.
Amended by QFCRA RM/2015-3 (as from 1st January 2016).