PIN A4.4.1

An Insurer must calculate its default risk component as the sum of the amounts obtained by multiplying the value of each asset of the Insurer with the percentage applicable to that asset, as set out in the tables contained in this Rule and subject to the provisions of Rules A4.4.2,A4.4.5, A4.4.6 and A4.4.7.

(a) Assets that are Invested Assets

Asset %
(a) Bonds Rated 'AAA', issued by a Government or Government agency 0.0
(b) Bonds not included in (a), Rated 'A' or better 0.4
(c) Bonds Rated 'BBB' 3.3
(d) Bonds Rated 'BB' 7.5
(e) Bonds Rated 'B' 13.7
(f) Bonds Rated 'CCC' 20.2
(g) Other Rated bonds 30.0
(h) Secured loans — performing 2.0
(i) Secured loans — Non-Performing 14.0
(j) Loans to directors of the Insurer or to directors of Related parties, or to the dependent relatives of such directors 100.0
(k) Unsecured loans to employees (except loans of less than $1,000) 100.0
(l) Other bonds and loans 50.0
(b) Assets that are not Invested Assets

Asset %
Reinsurance recoverable from:  
(a) reinsurers Rated 'AAA' 0.5
(b) reinsurers Rated 'AA' 1.2
(c) reinsurers Rated 'A' 1.9
(d) reinsurers Rated 'BBB' 4.7
(e) reinsurers Rated 'BB' 9.6
(f) reinsurers Rated 'B' 23.8
(g) reinsurers Rated 'CCC' 49.7
(h) reinsurers Rated 'R' 50.0
(i) other reinsurers 25.0
(j) Other assets 3.0