Solvency II: treatment of sovereign risk in the internal model

Supervisory Statement 30/15
Published on 23 July 2015

Background

This supervisory statement is of interest to UK insurance firms within the scope of Solvency II and to Lloyd’s. The Prudential Regulation Authority (PRA) expects firms to read this statement alongside all relevant European legislation and the Solvency Capital Requirement Parts of the PRA Rulebook.

This statement expands on the PRA’s general approach as set out in its insurance approach document by setting out its expectations of firms in relation to the treatment of sovereign debt in internal models. For the purpose of this statement, sovereign debt refers to exposures in the form of bonds and loans issued or guaranteed by counterparties including but not limited to:

  • central banks;
  • central governments; and
  • supranational organisations.

PDF Supervisory Statement 30/15 

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