This chapter includes rules that refer to provisions of the UK CRR in the form in which it stood at 31 December 2021. That version of the UK CRR can be found on legislation.gov.uk using this link.

IPRU-INV 5.14 Counterparty risk requirement

IPRU-INV 5.14.1RRP

1Type of counterparty

Risk Weighting

Solvency Ratio

Risk Factor

(1)

A counterparty which is, or the contract of which is, explicitly guaranteed by a category a body.

NIL

8%

NIL

(2)

A counterparty which is, or the contract of which is, explicitly guaranteed by a category b body.

20%

8%

1.6%

(3)

Any other counterparty

100%

8%

8%