ANNEX I - Correspondence of Probability of default (‘PD’) to Credit quality steps for the purposes of Articles 6 and 7
An internal rating with a PD equal to or lower than the value in Table 1 shall be associated to the corresponding credit quality step.
Table 1
Credit Quality Step
Probability of default, as defined in 575 lower than or equal to:
1
0,10 %
2
0,25 %
3
1 %
4
7,5 %# Table 1 in anx_I
| Credit Quality Step | Probability of default, as defined in Article 4(54) of Regulation (EU) 575/2013 lower than or equal to: |
|---|
| 1 | 0,10 % |
| 2 | 0,25 % |
| 3 | 1 % |
| 4 | 7,5 % |
Table 1 in anx_II
| C | = | the market value of the collateral; |
|---|
Table 2 in anx_II
| HC | = | the haircut appropriate to the collateral, as calculated under paragraph 2; |
|---|
Table 3 in anx_II
| HFX | = | the haircut appropriate to currency mismatch, as calculated under paragraph 6. |
|---|
Table 4 in anx_II
| Credit quality step with which the credit assessment of the debt security is associated | Residual maturity | Haircuts for debt securities issued by entities described in Article 4 (1) (c) to (e) and (h) to (k), in (%) | Haircuts for debt securities issued by entities described in Article 4 (1) (f), (g), (l) to (n) in (%) | Haircuts for securitisation positions meeting the criteria in Article 4 (1) (o) in (%) |
|---|
| 1 | ≤ 1 year | 0,5 | 1 | 2 |
| > 1 ≤ 5 years | 2 | 4 | 8 | |
| > 5 years | 4 | 8 | 16 | |
| 2-3 | ≤ 1 year | 1 | 2 | 4 |
| > 1 ≤ 5 years | 3 | 6 | 12 | |
| > 5 years | 6 | 12 | 24 | |
| 4 or below | ≤ 1 year | 15 | N/A | N/A |
| > 1 ≤ 5 years | 15 | N/A | N/A | |
| > 5 years | 15 | N/A | N/A | |
Table 5 in anx_II
| Credit quality step with which the credit assessment of a short term debt security is associated | Haircuts for debt securities issued by entities described in Article 4(1) (c) and (j) in (%) | Haircuts for debt securities issued by entities described in Article 4(1) (m) in (%) | Haircuts for securitisation positions and meeting the criteria in Article 4(1) (o) in (%) |
|---|
| 1 | 0,5 | 1 | 2 |
| 2-3 or below | 1 | 2 | 4 |
Table 1 in anx_III
| H | = | the haircut to be applied; |
|---|
Table 2 in anx_III
| HM | = | the haircut where there is daily revaluation; |
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Table 3 in anx_III
| NR | = | the actual number of business days between revaluations; |
|---|
Table 4 in anx_III
| TM | = | the liquidation period for the type of transaction in question; |
|---|
Table 5 in anx_III
| C | = | the market value of the collateral; |
|---|
Table 6 in anx_III
| H | = | the haircut as calculated in point (c) above. |
|---|
Table 1 in anx_IV
| Category | Add-on factor |
|---|
| Credit: 0-2 year residual maturity | 2 % |
| Credit: 2-5 year residual maturity | 5 % |
| Credit: 5+ year residual maturity | 10 % |
| Commodity | 15 % |
| Equity | 15 % |
| Foreign exchange | 6 % |
| Interest rate and inflation: 0-2 year residual maturity | 1 % |
| Interest rate and inflation: 2-5 year residual maturity | 2 % |
| Interest rate and inflation: 5+ year residual maturity | 4 % |
| Other | 15 % |