Counterparty default Credit risk

PRA Rules

• Solvency Capital Requirement – General Provisions
• Solvency Capital Requirement – Standard Formula (Chapters 1, 2, 3, 7)

UK legislation

• Solvency Capital Requirement Standard Formula - Commission Delegated Regulation (EU) 2015/35 (Title I, Chapter V, Sections 1, 5, and 6)
• External Credit Assessments - Commission Delegated Regulation (EU) 2015/35 (Title I, Chapter 1, Section 2)

UK technical standards

• Procedures for assessing external credit assessments - Commission Implementing Regulation (EU) 2015/2015, as amended, included by the Technical Standards  (Solvency II Directive & Institutions for Occupational Retirement Provision Directive) (EU Exit) Instrument 2019, Annex I
• Lists of regional governments and local authorities, exposures to whom are to be treated as exposures to the central government - Commission Implementing Regulation (EU) 2015/2011, as amended, included by the Technical Standards  (Solvency II Directive & Institutions for Occupational Retirement Provision Directive) (EU Exit) Instrument 2019, Annex G
• Allocation of credit assessments of external credit assessment institutions to an objective scale of credit quality steps - Commission Implementing Regulation (EU) 2016/1800, as amended, included by the Technical Standards  (Solvency II Directive & Institutions for Occupational Retirement Provision Directive) (EU Exit) Instrument 2019, Annex A

Supervisory Statements

• Solvency II: reinsurance counterparty credit risk (SS20/16)

Other relevant material

Guidelines originally issued by European Supervisory Authorities should be read in conjunction with "Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK’s withdrawal from the EU" (Statement of Policy)

• Guidelines on the treatment of market and counterparty risk exposures in the standard formula (EIOPA-BoS-14/174)