Consultation on revised guidelines on market and counterparty risk exposures in the standard formula - Solvency II Review

All interested stakeholders.

The proposed amendments aim to specify the correct treatment of securities lending and borrowing transactions and repurchase or reverse repurchase agreements in the calculation of the counterparty default risk module of the Solvency Capital Requirement. In particular, three Guidelines are deleted, some Guidelines are amended to broaden their application, and a new Guideline is introduced to clarify the treatment of leveraged funds.