18 Del. Admin. Code § 404-8.0

Current through Register Vol. 28, No. 5, November 1, 2024

Section 404-8.0 - Counterparty Exposure

8.1 Counterparty exposure with respect to over-the-counter derivative instruments, other than with respect to a counterparty that is an affiliate of the insurer approved by the Commissioner in accordance with Section 8.2.3 of this regulation, shall be included in determining compliance with any single or aggregate quantitative limitation on investments made by an insurer under18Del.C.Chapter 13.

8.2 An insurer may enter into a transaction for any over-the-counter derivative instrument only with:

8.2.1 A qualified counterparty;

8.2.2 A counterparty, other than a qualified counterparty, provided that (1) the aggregate counterparty exposure of the insurer to any single counterparty, other than a qualified counterparty, shall be limited to one percent (1%) of the insurer's admitted assets, and (2) the aggregate counterparty exposure of the insurer to all counterparties, other than qualified counterparties, shall be limited to three percent (3%) of the insurer's admitted assets; or

8.2.3 A counterparty that is an affiliate of the insurer, if (a) the Commissioner has approved of the application of18Del.C.§ 5933 to such affiliate, in accordance with subsection (h) thereof, or (b) the Commissioner has approved of over-the-counter transactions with such affiliate in accordance with 18Del.C.§ 5005.

8.3 If (i) a counterparty that met the definition of "qualified counterparty" (set forth in Section 2.0 of this regulation) at the time that an insurer entered into a derivative instrument with such counterparty subsequently ceases to satisfy the definition of "qualified counterparty" while such derivative instrument remains in effect, and (ii) as a result of such change in the status of the counterparty, such insurer will exceed the limits set forth in Section 8.2.2 of this regulation, such insurer shall, within 30 days of such change in the status of the counterparty, provide written notice to the Department. Derivative instruments entered into with such counterparty that were acquired in compliance with this regulation need not be divested by an insurer if they exceed the limits set forth in Section 8.2.2 of this regulation. In the event that such insurer desires to enter into additional derivative instruments with such counterparty while such limit has been exceeded, the insurer may request a waiver in accordance with Section 12.1 of this regulation. No further derivative instruments subject to such exceeded limit may be entered into without such waiver.

18 Del. Admin. Code § 404-8.0

18 DE Reg. 393 (11/1/2014) (Final)