1.Exposures in the form of bonds as referred to Article 52(4) of Directive 2009/65/EC (covered bonds) shall be assigned a relative excess exposure threshold CTi of 15 %, provided that the corresponding exposures in the form of covered bonds have been assigned to credit quality step 0 or 1. Exposures in the form of covered bonds shall be considered as single name exposures, regardless of other exposures to the same counterparty as the issuer of the covered bonds, which constitute a distinct single name exposure.
2.Exposures to a single immovable property shall be assigned a relative excess exposure threshold CTi of 10 % and a risk factor gi for market risk concentration of 12 %.
3.Exposures to the following shall be assigned a risk factor gi for market risk concentration of 0 %:
F1(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
[F2(b) the United Kingdom central government and Bank of England denominated and funded in pounds sterling;]
(c)multilateral development banks referred to in Article 117(2) of Regulation (EU) No 575/2013;
(d)international organisations referred to in Article 118 of Regulation (EU) No 575/2013.
Exposures that are fully, unconditionally and irrevocably guaranteed by one of the counterparties mentioned in points (a) to (d), where the guarantee meets the requirements set out in Article 215, shall also be assigned a risk factor gi for market risk concentration of 0 %.
[F3For the purposes of point (b), exposures that are fully, unconditionally and irrevocably guaranteed by regional governments and local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011, where the guarantee meets the requirements set out in Article 215 of this Regulation, shall be treated as exposures to the central government.]
4.Exposures to central governments and central banks other than those referred to in point (b) of paragraph 3, denominated and funded in the domestic currency of that central government and central bank, shall be assigned a risk factor gi for market risk concentration depending on their weighted average credit quality steps, in accordance with the following table.
| Weighted average credit quality step of single name exposure i | 0 | 1 | 2 | 3 | 4 | 5 | 6 |
|---|---|---|---|---|---|---|---|
| Risk factor gi | 0 % | 0 % | 12 % | 21 % | 27 % | 73 % | 73 % |
[F34a. Exposures to [F4the United Kingdom's] regional governments and local authorities not listed in Article 1 of Implementing Regulation (EU) 2015/2011 shall be assigned a risk factor g i for market risk concentration corresponding to weighted average credit quality step 2 in accordance with paragraph 4.
4b. Exposures that are fully, unconditionally and irrevocably guaranteed by [F5the United Kingdom's] regional government or local authority that is not listed in Article 1 of Implementing Regulation (EU) 2015/2011, where the guarantee meets the requirements set out in Article 215 of this Regulation, shall be assigned a risk factor g i for market risk concentration corresponding to weighted average credit quality step 2 in accordance with paragraph 4.]
5.Exposures in the form of bank deposits shall be assigned a risk factor gi for market risk concentration of 0 %, provided they meet all of the following requirements:
(a)the full value of the exposure is covered by a government guarantee scheme in the [F6United Kingdom];
(b)the guarantee covers the insurance or reinsurance undertaking without any restriction;
(c)there is no double counting of such guarantee in the calculation of the Solvency Capital Requirement.
Textual Amendments
F1 Art. 187(3)(a) omitted (31.12.2020) by virtue of The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 11(29)(a)(i) (as amended by S.I. 2020/1385, regs. 1(2), 54(2) and with savings in S.I. 2019/680, reg. 11)
F2 Art. 187(3)(b) substituted (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 11(29)(a)(ii) (as amended by S.I. 2020/1385, regs. 1(2), 54(2) and with savings in S.I. 2019/680, reg. 11)
F3Inserted by Commission Delegated Regulation (EU) 2019/981 of 8 March 2019 amending Delegated Regulation (EU) 2015/35 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (Text with EEA relevance).
F4 Words in Art. 187(4a) substituted (31.12.2020) by The Risk Transformation and Solvency 2 (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/1233), regs. 1(4), 6(11)(a); 2020 c. 1, Sch. 5 para. 1(1)
F5 Words in Art. 187(4b) substituted (31.12.2020) by The Risk Transformation and Solvency 2 (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/1233), regs. 1(4), 6(11)(b); 2020 c. 1, Sch. 5 para. 1(1)
F6 Words in Art. 187(5)(a) substituted (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 11(29)(b) (as amended by S.I. 2020/1385, regs. 1(2), 54(2) and with savings in S.I. 2019/680, reg. 11)
Editorial Information
X1 Substituted by Corrigendum to Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (Official Journal of the European Union L 12 of 17 January 2015).