3D24 Specific Exposures
1.
Credit quality step Duration (duri) |
0 | 1 |
up to 5 | 0.7% ∙ duri | 0.9% ∙ duri |
More than 5 years |
- 31/12/2024
2.
A firm must assign to exposures in the form of bonds and loans to the following a risk factor stressi of 0%:
- (1) UK central government and Bank of England denominated and funded in pounds sterling;
- (2) multilateral development banks referred to in paragraph 2 of Article 117 of the CRR; and
- (3) international organisations referred to in Article 118 of the CRR;
- 31/12/2024
3.
A firm must assign a risk factor stressi of 0% to exposures in the form of bonds and loans that are fully, unconditionally and irrevocably guaranteed by one of the counterparties mentioned in 3D24.2(1) to (3), where the guarantee meets the requirements set out in 3G9.
- 31/12/2024
4.
- 31/12/2024
5.
In respect of exposures in the form of bonds and loans to central governments and central banks other than those referred to in 3D24.2(1), denominated and funded in the domestic currency of that central government and central bank, and for which a credit assessment by a nominated external credit assessment institution is available, a firm must be assign a risk factor stressi depending on the credit quality step and the duration of the exposure according to the following table:
Credit quality step | 0 and 1 | 2 | 3 | 4 | 5 and 6 | ||||||
Duration (duri) |
stressi | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi |
up to 5 | — | 0.0% | — | 1.1% | — | 1.4% | — | 2.5% | — | 4.5% | |
More than 5 and up to 10 | 0.0% |
0.0% | 5.5% | 0.6% | 7.0% | 0.7% | 12.5% | 1.5% | 22.5% | 2.5% | |
More than 10 and up to 15 | 0.0% | 0.0% | 8.4% | 0.5% | 10.5% | 0.5% | 20.0% | 1.0% | 35.0% | 1.8% | |
More than 15 and up to 20 | 0.0% | 0.0% | 10.9% | 0.5% | 13.0% | 0.5% | 25.0% | 1.0% | 44.0% | 0.5% | |
More than 20 | 0.0% | 0.0% | 13.4% | 0.5% | 15.5% | 0.5% | 30.0% | 0.5% | 46.5% | 0.5% |
- 31/12/2024
6.
In respect of exposures in the form of bonds and loans to the UK’s regional governments and local authorities not listed in 3D1, a firm must assign a risk factor stressI from the table in 3D24.5 corresponding to credit quality step 2.
- 31/12/2024
7.
In respect of exposures in the form of bonds and loans that are fully, unconditionally and irrevocably guaranteed by the UK’s regional government or local authority that are not listed in 3D1, where the guarantee meets the requirements set out in 3G9, must be assigned a risk factor stressi from the table in 3D24.5 corresponding to credit quality step 2.
- 31/12/2024
8.
In respect of exposures in the form of bonds and loans to a UK Solvency II undertaking for which a credit assessment by a nominated external credit assessment institution is not available and where this UK Solvency II undertaking meets its MCR, a firm must assign a risk factor stressI from the table in 3D17.3 depending on the UK Solvency II undertaking’s solvency ratio, using the following mapping between solvency ratios and credit quality steps:
Solvency ratio | 196% | 175% | 122% | 95% | 75% | 75% |
Credit quality step | 1 | 2 | 3 | 4 | 5 | 6 |
- 31/12/2024
9.
Where the solvency ratio falls in between the solvency ratios set out in the table above, the value of stressi must be linearly interpolated from the closest values of stressi corresponding to the closest solvency ratios set out in the table above, provided that:
- (1) where the solvency ratio is lower than 75%, stressi must be equal to the factor corresponding to the credit quality steps 5 and 6; and
- (2) where the solvency ratio is higher than 196%, stressi must be the same as the factor corresponding to the credit quality step 1.
- 31/12/2024
10.
For the purposes of 3D24.8 and 3D24.9, ‘solvency ratio’ denotes the ratio of the eligible own funds to cover the SCR and the SCR, using the latest available values.
- 31/12/2024
11.
A firm must assign to exposures in the form of bonds and loans to a UK Solvency II undertaking which does not meet its MCR a risk factor stressi according to the following table:
Duration (duri) | risk factor stressi |
up to 5 | 7.5%∙duri |
More than 5 and up to 10 | 37.50% + 4.20%∙(duri −5) |
More than 10 and up to 15 |
58.50% + 0.50%∙(duri −10) |
More than 15 and up to 20 | 61% + 0.50%∙(duri −15) |
More than 20 |
- 31/12/2024
12.
3D24.8 to 3D24.11 only applies as of the first date of public disclosure, by the UK Solvency II undertaking corresponding to the exposure, of the SFCR, and before that date:
- (1) if a credit assessment by a nominated external credit assessment institution is available for the exposures, 3D17 applies;
- (2) in all other cases, a firm must assign to the exposures the same risk factor as the ones that would result from the application of 3D24.8 to 3D24.10 to exposures to a UK Solvency II undertaking whose solvency ratio is 100%.
- 31/12/2024
13.
In respect of exposures in the form of bonds and loans to a third country insurance undertaking or a third country reinsurance undertaking for which a credit assessment by a nominated external credit assessment institution is not available, situated in a third country which is an overseas jurisdiction designated under regulation 11 in relation to regulation 13 of the IRPR regulations in respect of the insurance group capital requirements calculation, and which complies with the solvency requirements of that third country, a firm must assign the same risk factor as the ones that would result from the application of 3D24.8 to 3D24.10 to exposures to a UK Solvency II undertaking whose solvency ratio is 100%.
- 31/12/2024
14.
In respect of exposures in the form of bonds and loans to credit institutions and financial institutions which comply with the solvency requirements set out in the PRA Rulebook, the CRR or technical standards as amended from time to time, for which a credit assessment by a nominated external credit assessment institution is not available, a firm must assign the same risk factor as the ones that would result from the application of 3D24.8 to 3D24.10 to exposures to a UK Solvency II undertaking whose solvency ratio is 100%.
- 31/12/2024
15.
A firm must calculate the capital requirement for spread risk on credit derivatives where the underlying financial instrument is a bond or a loan to any exposure listed in 3D24.2 as nil.
- 31/12/2024
16.
In respect of exposures in the form of bonds and loans that fulfil the criteria set out in 3D24.17, a firm must assign a risk factor stressi depending on the credit quality step and the duration of the exposure, according to the following table:
Credit quality step | 0 | 1 | 2 | 3 | |||||
Duration (duri) |
stressi | ai | bi | ai | bi | ai | bi | ai | bi |
up to 5 | — | 0.64% | — | 0.78% | — | 1.0% | — | 1.67% | |
More than 5 and up to 10 | 3.2% | 0.36% | 3.9% | 0.43% | 5.0% | 0.5% | 8.35% | 1.0% | |
More than 10 and up to 15 | 5.0% | 0.36% | 6.05% | 0.36% | 7.5% | 0.36% | 13.35% | 0.67% | |
More than 15 and up to 20 | 6.8% | 0.36% | 7.85% | 0.36% | 9.3% | 0.36% | 16.7% | 0.67% | |
More than 20 | 8.6% | 0.36% | 9.65% | 0.36% | 11.1% | 0.36% | 20.05% | 0.36% |
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17.
The criteria for exposures that are assigned a risk factor in accordance with 3D24.16 are:
- (1) the exposure relates to a qualifying infrastructure investment that meets the criteria set out in 3D2;
- (2) the exposure is not an asset that fulfils the following conditions:
- (a) it is assigned to a matching adjustment portfolio; and
- (b) it has been assigned a credit quality step between 0 and 2;
- (3) a credit assessment by a nominated external credit assessment institution is available for the exposure; and
- (4) the exposure has been assigned a credit quality step between 0 and 3.
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18.
In respect of exposures in the form of bonds and loans that meet the criteria set out in 3D24.17(1) and (2), but do not meet the criteria set out in 3D24.17(3), a firm must assign a risk factor stressi equivalent to credit quality step 3 and the duration of the exposure in accordance with the table set out in 3D24.16.
- 31/12/2024
19.
In respect of exposures in the form of bonds and loans that fulfil the criteria set out in 3D24.20, a firm must assign a risk factor stressi depending on the credit quality step and the duration of the exposure according to the following table:
Credit quality step | 0 | 1 | 2 | 3 | |||||
Duration (duri) |
stressi | ai | bi | ai | bi | ai | bi | ai | bi |
up to 5 | — | 0.68% | — | 0.83% | — | 1.05% | — | 1.88% | |
More than 5 and up to 10 | 3.38% | 0.38% | 4.13% | 0.45% | 5.25% | 0.53% | 9.38% | 1.13% | |
More than 10 and up to 15 | 5.25% | 0.38% | 6.38% | 0.38% | 7.88% | 0.38% | 15.0% | 0.75% | |
More than 15 and up to 20 | 7.13% | 0.38% | 8.25% | 0.38% | 9.75% | 0.38% | 18.75% | 0.75% | |
More than 20 | 9.0% | 0.38% | 10.13% | 0.38% | 11.63% | 0.38% | 22.50% | 0.38% |
- 31/12/2024
20.
The criteria for exposures that are assigned a risk factor in accordance with 3D24.19 are:
- (1) the exposure relates to a qualifying infrastructure corporate investment that meets the criteria set out in 3D3;
- (2) the exposure is not an asset that fulfils the following conditions:
- (a) it is assigned to a matching adjustment portfolio; and
- (b) it has been assigned a credit quality step between 0 and 2;
- (3) a credit assessment by a nominated external credit assessment institution is available for the infrastructure entity; and
- (4) the exposure has been assigned a credit quality step between 0 and 3.
- 31/12/2024
21.
In respect of exposures in the form of bonds and loans that meet the criteria set out in 3D24.20(1) and (2), but do not meet the criteria set out in 3D24.20(3), a firm must assign a risk factor stressi equivalent to credit quality step 3 and the duration of the exposure in accordance with the table set out in 3D24.19.
- 31/12/2024