Counterparty default risk module

(1) The counterparty default risk module takes into account possible losses arising from an unexpected default, or deterioration in the credit standing, of counterparties and debtors of the insurance undertaking over the following twelve months.
(2) The counterparty default risk module covers
1. risk-mitigation contracts such as reinsurance arrangements, securitisations, and derivatives,
2. receivables from intermediaries, and
3. all other credit risks not covered by spread risk under section 104(2), first sentence, point
4. The counterparty default risk module appropriately reflects collateral or other security held by insurance undertakings, including the risks associated with that security.
(3) The counterparty default risk module takes into account, for each counterparty, the insurance undertaking's overall risk exposure to that counterparty, irrespective of the legal form of its contractual obligations towards the counterparty.