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 2 insurers.

PRA Rules

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)
This page was last updated 25 July 2024