Counterparty default Credit risk

Policies relating to the calculation of counterparty default credit risk as part of the Standard Formula Solvency Capital Requirement for Solvency II insurers.

UK technical standards

  • 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

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)
This page was last updated 10 December 2024