IPRU-INV 5.14 Counterparty risk requirement

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%