Risk factor for market risk concentration

1. Each single name exposure i shall be assigned, in accordance with the following table, a risk factor gi for market risk concentration depending on the weighted average credit quality step of the single name exposure i, calculated in accordance with Article 182(4). (see here for the table).

2. Single name exposures to an insurance or reinsurance undertaking for which a credit assessment by a nominated ECAI is not available and where the undertaking meets its Minimum Capital Requirement, shall be assigned a risk factor gi for market risk concentration depending on the undertaking's solvency ratio in accordance with the following table. (see here for the table).

Where the solvency ratio falls in between the solvency ratios set out in the table above, the value of gi shall be linearly interpolated from the closest values of gi corresponding to the closest solvency ratios set out in the table above. Where the solvency ratio is lower than 95 %, the risk factor gi shall be equal to 73 %. Where the solvency ratio is higher than 196 %, the risk factor gi shall be equal to 12 %.

For the purposes of this paragraph, ‘solvency ratio’ denotes the ratio of the eligible amount of own funds to cover the Solvency Capital Requirement and the Solvency Capital Requirement, using the latest available values.

3. Single name exposures to insurance or reinsurance undertakings which do not meet their Minimum Capital Requirement, shall be assigned a risk factor gi for market risk concentration equal to 73 %.

Paragraphs 2 and 3 of this Article shall only apply as of the first date of public disclosure, by the undertaking corresponding to the exposure, of the report on its solvency and financial condition referred to in Article 51 of Directive 2009/138/EC. Before that date, if a credit assessment by a nominated ECAI is available for the single name exposure, paragraph 1 shall apply, otherwise, the exposures shall be assigned a risk factor gi of 64,5 %.

4. Single name exposures to a third country insurance or reinsurance undertaking, for which a credit assessment by a nominated ECAI is not available, situated in a country whose solvency regime is deemed equivalent pursuant to Article 227 of Directive 2009/138/EC, and which complies with the solvency requirements of those that third-country, shall be assigned a risk factor gi of 64,5 %.

5. Single name exposures to credit institutions and financial institutions within the meaning of points (1) and (26) of Article 4(1) of Regulation (EU) No 575/2013 and which comply with the solvency requirements set out in of Directive 2013/36/EU and Regulation (EU) No 575/2013, for which a credit assessment by a nominated ECAI is not available, shall be assigned a risk factor gi of 64,5 %.

6. Single name exposures other than those identified in paragraphs 1 to 5 shall be assigned a risk factor gi for market risk concentration of 73 %.