Market Risk

Policies relating to the calculation of market 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 and 5)
  • External Credit Assessments - Commission Delegated Regulation (EU) 2015/35 (Title I, Chapter 1, Section 2)

UK technical standards

  • Equity index for the symmetric adjustment of the standard equity capital charge - Commission Implementing Regulation (EU) 2015/2016, as amended, including The Technical Standards (Solvency II Directive & Institutions for Occupational Retirement Provision Directive) (EU Exit) Annex J and The Technical Standards (Solvency II Directive (EU Exit) (No.2) Instrument 2020, Annex C
  • Adjusted factors to calculate the capital requirement for currency risk for currencies pegged to the euro - Commission Implementing Regulation (EU) 2015/2017, as amended, including by The Technical Standards (Solvency II Directive & Institutions for Occupational Retirement Provision Directive) (EU Exit) Annex N
  • Procedures for the application of the transitional measure for the equity risk sub-module - Commission Implementing Regulation (EU) 2016/1630, as amended, including by The Technical Standards (Solvency II Directive & Institutions for Occupational Retirement Provision Directive) (EU Exit) Annex M
 

Supervisory Statements

  • Solvency II: Data collection of market risk sensitivities (SS7/17)

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)

Back to top

This page was last updated 31 January 2023