Credit Risk reflects the risk that the value of a portfolio will decrease due to unexpected defaults. These losses may incur due to total defaults or expected defaults due to the counterparty`s change in rating over a one-year horizon and results from the aggregation of fixed income risks, mortgages, reinsurance and other accounts receivable. The Risks of Fixed Income and Mortgages are listed in: Default: this is the risk of a debt issuer becoming insolvent and therefore not fulfilling its obligations. Migration risk: The risk of a debt issuer experiencing an adverse rating change (for example, a downgrade from Standard & Poor`s AA rating to an A rating), resulting in an increased risk of additional default. These two risks are calculated independently and are simply added to obtain the risk of fixed income or mortgage in the event of counterparty defaults within a one-year period. Other risks related to fixed income instruments, such as interest rate and exchange rate risks, are also considered, but in the Market Risks chapter, which is not covered in this document. The risk of reinsurance arising from exposure to reinsurance counterparties and the risk of Receivables linked to the Company´s credit exposure to accounts receivable from policyholders, intermediaries and other receivables.
