📘 How Credit Ratings Shape Solvency II Capital Charges
EACRA Educational Series #10 – Use of Credit Ratings in Solvency II
Did you know that credit ratings directly impact insurers’ capital requirements under Solvency II?
In this 2-slide explainer, we highlight how ratings affect both Counterparty Default Risk and Market Risk—with a particular focus on spread risk, which often makes up the largest share of the Solvency Capital Requirement (SCR) for life insurers.
Using the example of corporate bonds and loans, we show how capital charges increase with credit risk and duration, based on Article 176 of the Solvency II regulation.
➡️ Swipe through to see how risk, time, and ratings drive capital needs.
