Counterparty default Credit risk

PRA Rules

• Solvency Capital Requirement – General Provisions
• Solvency Capital Requirement – Standard Formula (Chapters 1, 1A, 1B, 1C, 1D, 2, 3, 3D, 3E, 3G, 7)

Supervisory Statements

• Solvency II: reinsurance counterparty credit risk (SS20/16)
• The PRA’s approach to the publication of Solvency II technical information (Statement of Policy)

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)