MCT Credit Risk

mdattilomdattilo
in OSFI.MCT

I know this is not captured on the syllabus, but for Battle Card #6 in the Credit Risk section:
Calculate the MCT capital required at target for credit risk. (Include reduction in capital required for excess collateral supporting reinsurance ceded to an unregistered reinsurer).

I noticed the LOC is not limited to 30% of the ceded UEP and O/S. For the credit risk is this the case?

Comments

  • grahamgraham
    edited July 2018

    You're right that the LOC limit wasn't being taken into account. I believe it should be. I made a change to the practice template so that the LOC limit is never breached in the given information. (If this were still on the syllabus, I wouldn't have done that. I would have left it to the student to calculate the limit, and cap it if need be. This was easier though!)

    Thanks for noticing that.

Sign In or Register to comment.