Article 187
Specific exposures
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 %:
(a)
the European Central Bank;
(b)
Member States' central government and central banks denominated and funded in the domestic currency of that central government and central bank;
(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 %.
For 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 % |
4a.
Exposures to Member States' regional governments and local authorities not listed in Article 1 of Implementing Regulation (EU) 2015/2011 shall be assigned a risk factor gi
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 a Member State'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 gi
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 Union;
(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.